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The power of tests employing log-transformed volume in detecting abnormal trading

Citations

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Cited by:

  1. Benjamin M. Blau & Ryan J. Whitby, 2014. "Speculative Trading In Reits," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 37(1), pages 55-74, February.
  2. Jiang Wang, 2002. "Trading Volume and Asset Prices," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 299-359, November.
  3. Chuang, Wen-I & Lee, Bong-Soo, 2006. "An empirical evaluation of the overconfidence hypothesis," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2489-2515, September.
  4. Ernest Biktimirov & Boya Li, 2014. "Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index," Review of Quantitative Finance and Accounting, Springer, vol. 42(1), pages 95-122, January.
  5. Guragai, Binod, 2022. "Market response to stock exchange listing deficiency notices: Evidence from Nasdaq," Advances in accounting, Elsevier, vol. 59(C).
  6. Phillip Fuller & Ehab Yamani & Geungu Yu, 2019. "The impact of the new real estate sector on REITs: an event study," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 143-161, January.
  7. Kross, William J. & Suk, Inho, 2012. "Does Regulation FD work? Evidence from analysts' reliance on public disclosure," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 225-248.
  8. Ruoyun (Lucy) Zhao & C Schmidt & C Terry, 2016. "Index effects: Evidence from Australia," Published Paper Series 2016-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  9. Prateek Sharma & Samit Paul, 2021. "Game of names: Blockchain premium in corporate names," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(5), pages 1059-1078, July.
  10. Taoufik Bouraoui, 2008. "L'impact des spams boursiers sur les volumes : Application de la méthodologie des études d’événement," Working Papers hal-04140747, HAL.
  11. Ante, Lennart, 2023. "How Elon Musk's Twitter activity moves cryptocurrency markets," Technological Forecasting and Social Change, Elsevier, vol. 186(PA).
  12. Moritz Wagner & Xiaopeng Wei, 2020. "Cum-Ex Trading – The Biggest Fraud in History?," Working Papers in Economics 20/19, University of Canterbury, Department of Economics and Finance.
  13. Kumar Sivakumar & Gregory Waymire, 1994. "Voluntary Interim Disclosure by Early 20th Century NYSE Industrials," Contemporary Accounting Research, John Wiley & Sons, vol. 10(2), pages 673-698, March.
  14. Dan Palmon & Ephraim Sudit & Ari Yezegel, 2009. "The value of columnists’ stock recommendations: an event study approach," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 209-232, October.
  15. Imre Karafiath, 2009. "Detecting cumulative abnormal volume: a comparison of event study methods," Applied Economics Letters, Taylor & Francis Journals, vol. 16(8), pages 797-802.
  16. Elayan, Fayez A. & Pacharn, Parunchana & Li, Jennifer & Brown, Kareen & Chen, Yijia, 2023. "The market response to mandatory disclosure of payments to foreign governments," The British Accounting Review, Elsevier, vol. 55(6).
  17. Guillermo Llorente & Roni Michaely & Gideon Saar & Jiang Wang, 2002. "Dynamic Volume-Return Relation of Individual Stocks," The Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1005-1047.
  18. Perotti, Pietro, 2010. "Order aggressiveness as a metric to assess the usefulness of accounting information," The International Journal of Accounting, Elsevier, vol. 45(3), pages 306-333, September.
  19. Barry A.N. Bloom & Leonard A. Jackson, 2016. "Abnormal Stock Returns and Volume Activity Surrounding Lodging Firms' CEO Transition Announcements," Tourism Economics, , vol. 22(1), pages 141-161, February.
  20. Agapova, Anna & Volkov, Nikanor, 2021. "Asymmetric tax-induced trading: The effect of capital gains tax changes," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 245-259.
  21. Agapova, Anna & Kaprielyan, Margarita, 2020. "Stock volatility and trading," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  22. Li, Wei & Rhee, Ghon & Wang, Steven Shuye, 2017. "Differences in herding: Individual vs. institutional investors," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 174-185.
  23. Gyoshev, Stanley B. & Kaplan, Todd R. & Szewczyk, Samuel H. & Tsetsekos, George P., 2021. "Why do investment banks buy put options from companies?," Journal of Corporate Finance, Elsevier, vol. 67(C).
  24. Yadav, Pradeep K., 1992. "Event studies based on volatility of returns and trading volume: A review," The British Accounting Review, Elsevier, vol. 24(2), pages 157-184.
  25. Latha Chari & Mohd Merajuddin Inamdar, 2024. "Short-term Securities Market Surveillance Measures and Market Performance — An Empirical Analysis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 27(01), pages 1-18, March.
  26. Tomislav Globan & Tihana Skrinjaric, 2020. "Penny wise and pound foolish: capital gains tax and trading volume on the Zagreb Stock Exchange," Public Sector Economics, Institute of Public Finance, vol. 44(3), pages 299-329.
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