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Returns, volatility, and liquidity on the ASX : undisclosed versus disclosed limit orders

Allen, David E.; Cheng, Alexander Shu-sing; … - In: Stock market liquidity : implications for market …, (pp. 227-245). 2008

Persistent link: https://www.econbiz.de/10003650538

Informational overconfidence in return prediction : more properties

Sonsino, Doron; Regev, Eran - In: Journal of economic psychology : research in economic … 39 (2013), pp. 72-84

Persistent link: https://www.econbiz.de/10010236178

Trading volume and the short and long-run components of volatility

Liesenfeld, Roman - 1997

and the short-run or transitory components of the volatility of daily stock market returns using bivariate mixture models …. For this purpose, the Standard bivariate mixture model of Tauchen and Pitts (1983) in which volatility and volume are … each endowed with their own dynamic behavior are allowed to direct volatility and volume. Since the latent information …

Persistent link: https://www.econbiz.de/10010407096

Information content for investor groups in TAIEX futures trading

Lin, Mei-Chen - In: Asia-Pacific journal of financial studies 40 (2011) 3, pp. 433-466

Persistent link: https://www.econbiz.de/10009388575

The relations between the informational content of implied volatility and arbitrage costs : evidence from the Oslo Stock Exchange

Ahmed, Parvez; Swidler, Steven Mark - In: International review of economics & finance : IREF 7 (1998) 4, pp. 465-480

Persistent link: https://www.econbiz.de/10001427818

Modelling S&P 100 volatility : the information content of stock returns

Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen - In: Journal of banking & finance 25 (2001) 9, pp. 1665-1679

Persistent link: https://www.econbiz.de/10001603579

Stock return dynamics, option volume, and the information content of implied volatility

Mayhew, Stewart; Stivers, Christopher T. - In: The journal of futures markets 23 (2002) 7, pp. 615-646

Persistent link: https://www.econbiz.de/10001769715

Discussion of: The option market's anticipation of information content in earnings announcements

Burks, Jeffrey J. - In: Review of accounting studies 16 (2011) 3, pp. 620-629

Persistent link: https://www.econbiz.de/10009300518

The option market’s anticipation of information content in earnings announcements

Billings, Mary Brooke; Jennings, Robert H. - In: Review of accounting studies 16 (2011) 3, pp. 587-619

Persistent link: https://www.econbiz.de/10009300523

The Option Market's Anticipation of Information Content in Earnings Announcements

Billings, Mary Brooke - 2014

We exploit information in option prices in order to study whether the ex post responsiveness of tock prices to earnings information is reflected from an ex ante, firm- and quarter-specific perspective. Specifically, we develop a measure of anticipated information content (AIC) that isolates the...

Persistent link: https://www.econbiz.de/10013068375