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Early peek advantage? : efficient price discovery with tiered information disclosure
Hu, Xing; Pan, Jun; Wang, Jiang - In: Journal of financial economics 126 (2017) 2, pp. 399-421
Persistent link: https://www.econbiz.de/10011818175
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Early Peek Advantage? Efficient Price Discovery with Tiered Information Disclosure
Hu, Grace Xing - 2017
From 2007 to June 2013, a small group of fee-paying, high-speed traders receive the Michigan Index of Consumer Sentiment (ICS) from Thomson Reuters at 9:54:58, two seconds before its broader release. Focusing on the trading and price behavior in E-mini S&P 500 futures, we find that this tiered...
Persistent link: https://www.econbiz.de/10012973729
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A model of intertemporal asset prices under asymmetric information
Wang, Jiang - In: The review of economic studies 60 (1993) 2, pp. 249-282
Persistent link: https://www.econbiz.de/10001141667
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Liquidity and asset prices : a unified framework
Vayanos, Dimitri; Wang, Jiang - 2009
Persistent link: https://www.econbiz.de/10003879945
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Liquidity and asset prices : a unified framework
Vayanos, Dimitri; Wang, Jiang - 2009
Persistent link: https://www.econbiz.de/10003874359
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Liquidity and asset returns under asymmetric information and imperfect competition
Vayanos, Dimitri; Wang, Jiang - 2012
Persistent link: https://www.econbiz.de/10009619930
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How to tell if a money manager knows more?
Iskoz, Sergey; Wang, Jiang - 2003
Persistent link: https://www.econbiz.de/10001768139
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Market structure, security prices, and informational efficiency
Huang, Jennifer - In: Macroeconomic dynamics 1 (1997) 1, pp. 169-205
Persistent link: https://www.econbiz.de/10001337435
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Liquidity and asset returns under asymmetric information and imperfect competition
Vayanos, Dimitri; Wang, Jiang - In: The review of financial studies 25 (2012) 5, pp. 1339-1365
Persistent link: https://www.econbiz.de/10009536416
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Volatility information trading in the option market
Ni, Sophie X.; Pan, Jun; Poteshman, Allen M. - In: The journal of finance : the journal of the American … 63 (2008) 3, pp. 1059-1091
Persistent link: https://www.econbiz.de/10003822210