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The upstairs market for large-block transactions : analysis and measurement of price effects
Keim, Donald B.; Madhavan, Ananth Narayan - 1994 - Rev
Persistent link: https://www.econbiz.de/10000887996
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Essays on the transactions process for common stocks
Algert, Peter M. - 1991
Persistent link: https://www.econbiz.de/10000862817
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On the estimation of bid-ask spreads and their implications for stock volatility and return distributions
Choi, Jong-yeon - 1987
Persistent link: https://www.econbiz.de/10000786453
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Essays on market frictions and model misspecification in asset pricing
Seeger, Norman - 2009
Persistent link: https://www.econbiz.de/10003863665
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Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version July 2009
Persistent link: https://www.econbiz.de/10003936746
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Ex-dividend day price and volume : the case of 2003 dividend tax cut
Zhang, Yi; Farrell, Kathleen A.; Brown, Todd A. - In: National tax journal 61 (2008) 1, pp. 105-127
Persistent link: https://www.econbiz.de/10003698730
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Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009
We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...
Persistent link: https://www.econbiz.de/10003961414
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Security analysis, dealer-analyst collaboration, and market quality : evidence from the NASDAQ market in the USA
Chung, Kee H.; Li, Mingsheng; Zhao, Xin - In: Journal of business finance & accounting : JBFA 39 (2012) 9/10, pp. 1376-1402
Persistent link: https://www.econbiz.de/10009713438
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Predictable dynamics in higher-order risk-neutral moments : evidence from the S&P 500 options
Neumann, Michael; Skiadopoulos, George - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 3, pp. 947-977
Persistent link: https://www.econbiz.de/10010201777
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Contracting with feedback
Lin, Tse-chun; Liu, Qi; Sun, Bo - 2015
Persistent link: https://www.econbiz.de/10011457637