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Order imbalances and market efficiency : evidence from the Taiwan stock exchange
Lee, Yi-tsung; Liu, Yu-jane; Roll, Richard; … - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 2, pp. 327-341
Persistent link: https://www.econbiz.de/10002103632
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Big data analytics, order imbalance and the predictability of stock returns
Akyildirim, Erdinc; Sensoy, Ahmet; Gulay, Guzhan; … - In: Journal of multinational financial management 62 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10013271582
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Order imbalance and selling aggression under a shorting ban : evidence from the UK
Sifat, Imtiaz Mohammad; Azhar Mohamad - In: International review of financial analysis 42 (2015), pp. 368-379
Persistent link: https://www.econbiz.de/10011573532
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The impact of upstairs trading on market quality : evidence from a highly segmented market
Białkowski, Je̜drzej; Hong, Sanghyun; Wagner, Moritz - In: New Zealand economic papers 56 (2022) 3, pp. 326-332
Persistent link: https://www.econbiz.de/10013459654
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Do heterogeneous beliefs matter to post-announcement informed trading?
Chen, Tao; Karathanasopoulos, Andreas - In: Abacus : a journal of accounting, finance and business … 58 (2022) 4, pp. 714-741
Persistent link: https://www.econbiz.de/10013478865
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Strategic trading as a response to short sellers
Di Maggio, Marco; Franzoni, Francesco; Massa, Massimo; … - In: Journal of financial markets 69 (2024), pp. 1- 20
Persistent link: https://www.econbiz.de/10014574339
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Strategic trading as a response to short sellers
Franzoni, Francesco; Di Maggio, Marco; Massa, Massimo; … - 2019 - This version: April, 2019
Persistent link: https://www.econbiz.de/10012177348
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Influence of institutional investor heterogeneity on stock liquidity and its underlying liquidity channels
Hing, Jia Jia; Yee Peng Chow - In: International journal of business and emerging markets … 14 (2022) 3, pp. 252-278
Persistent link: https://www.econbiz.de/10013326837
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Reporting delays and the information content of off-market trades
Frino, Alex; Galati, Luca; Gerace, Dionigi - In: The journal of futures markets 42 (2022) 11, pp. 2053-2067
Persistent link: https://www.econbiz.de/10013465864
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Asset pricing with large investors
Malamud, Semyon; Teguia, Alberto - 2017
We derive closed form expressions for equilibrium asset prices and liquidity in an economy populated by a finite number of large, strategic, risk averse investors. The model allows for arbitrary risk preferences, any number of assets, and an arbitrary distribution of asset payoffs. In...
Persistent link: https://www.econbiz.de/10011874850