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Dynamic Market Processes and the Rewards to Up-to-Date Information

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  • Beja, Avraham
  • Hakansson, Nils H

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  • Beja, Avraham & Hakansson, Nils H, 1977. "Dynamic Market Processes and the Rewards to Up-to-Date Information," Journal of Finance, American Finance Association, vol. 32(2), pages 291-304, May.
    • Handle: RePEc:bla:jfinan:v:32:y:1977:i:2:p:291-304
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    Cited by:

    1. David M. Walsh, 1998. "Evidence of Price Change Volatility Induced by the Number and Proportion of Orders of a Given Size," Australian Journal of Management, Australian School of Business, vol. 23(1), pages 39-55, June.
    2. Walsh, David M., 1997. "Price reaction to order flow 'news' in Australian equities," Pacific-Basin Finance Journal, Elsevier, vol. 5(1), pages 1-23, February.
    3. Sudhanshu Pani, 2020. "A Theory of 'Auction as a Search' in speculative markets," Papers 2006.00775, arXiv.org.
    4. Mark D. Flood, 1991. "Microstructure theory and the foreign exchange market," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 52-70.
    5. Rodolfo Apreda, 1998. "Dynamic Arbitrage Gaps for Financial Assets," CEMA Working Papers: Serie Documentos de Trabajo. 134, Universidad del CEMA.

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