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News Events, Information Acquisition, and Serial Correlation

Citations

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Cited by:

  1. Darrat, Ali F. & Zhong, Maosen & Cheng, Louis T.W., 2007. "Intraday volume and volatility relations with and without public news," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2711-2729, September.
  2. 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.
  3. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, vol. 88(2), pages 406-423, May.
  4. Alan D. Morrison, 2004. "Competition and Information Production in Market Maker Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7-8), pages 1171-1190.
  5. Subrahmanyam, Avanidhar, 2018. "Equity market momentum: A synthesis of the literature and suggestions for future work," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 291-296.
  6. García, Diego & Urošević, Branko, 2013. "Noise and aggregation of information in large markets," Journal of Financial Markets, Elsevier, vol. 16(3), pages 526-549.
  7. Albuquerque, Rui & Miao, Jianjun, 2014. "Advance information and asset prices," Journal of Economic Theory, Elsevier, vol. 149(C), pages 236-275.
  8. Masahiro Watanabe, 2002. "Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry," Yale School of Management Working Papers amz2636, Yale School of Management, revised 01 Jul 2002.
  9. Yamada, Masahiro & Ito, Takatoshi, 2022. "Price discovery and liquidity recovery: Forex market reactions to macro announcements," Journal of International Money and Finance, Elsevier, vol. 120(C).
  10. Wu, Lei & Liu, Chunlin & Meng, Qingbin & Zeng, Hongchao, 2018. "Price discovery in China's inter-bank bond market," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 84-98.
  11. Dugast, Jérôme & Foucault, Thierry, 2018. "Data abundance and asset price informativeness," Journal of Financial Economics, Elsevier, vol. 130(2), pages 367-391.
  12. Winter, Christoph, 2018. "The Impact of Heterogeneous Signals on Stock Price Predictability in a Rational Expectations Model," Working papers 2018/21, Faculty of Business and Economics - University of Basel.
  13. Lesmond, David A. & Schill, Michael J. & Zhou, Chunsheng, 2004. "The illusory nature of momentum profits," Journal of Financial Economics, Elsevier, vol. 71(2), pages 349-380, February.
  14. Gębka, Bartosz & Wohar, Mark E., 2013. "The determinants of quantile autocorrelations: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 51-61.
  15. Chordia, Tarun & Subrahmanyam, Avanidhar, 2004. "Order imbalance and individual stock returns: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 72(3), pages 485-518, June.
  16. Masahiro Watanabe, 2002. "Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry," Yale School of Management Working Papers amz2636, Yale School of Management, revised 01 Jul 2002.
  17. Marcus Schulmerich & Yves-Michel Leporcher & Ching-Hwa Eu, 2015. "Stock Market Anomalies," Management for Professionals, in: Applied Asset and Risk Management, edition 127, chapter 3, pages 175-244, Springer.
  18. Andrei, Daniel & Cujean, Julien, 2017. "Information percolation, momentum and reversal," Journal of Financial Economics, Elsevier, vol. 123(3), pages 617-645.
  19. Avdis, Efstathios, 2016. "Information tradeoffs in dynamic financial markets," Journal of Financial Economics, Elsevier, vol. 122(3), pages 568-584.
  20. Winter, Christoph, 2018. "The Impact of Heterogeneous Signals on Stock Price Predictability in a Strategic Trade Model," Working papers 2018/22, Faculty of Business and Economics - University of Basel.
  21. Alan D. Morrison, 2004. "Competition and Information Production in Market Maker Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1171-1190, September.
  22. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross‐section of Stock Returns," Journal of Finance, American Finance Association, vol. 65(4), pages 1369-1407, August.
  23. Gebka, Bartosz & Henke, Harald & Bohl, Martin T., 2006. "Institutional trading and stock return autocorrelation: Empirical evidence on Polish pension fund investors' behavior," Global Finance Journal, Elsevier, vol. 16(3), pages 233-244, March.
  24. Rossi, Stefano & Tinn, Katrin, 2021. "Rational quantitative trading in efficient markets," Journal of Economic Theory, Elsevier, vol. 191(C).
  25. Ming†Chang Wang & Lon†Ping Zu, 2013. "Trade Timing, Price Volatility and Serial Correlation," European Financial Management, European Financial Management Association, vol. 19(5), pages 911-934, November.
  26. Shiyang Huang & Bart Zhou Yueshen, 2021. "Speed Acquisition," Management Science, INFORMS, vol. 67(6), pages 3492-3518, June.
  27. Banerjee, Snehal & Breon-Drish, Bradyn, 2020. "Strategic trading and unobservable information acquisition," Journal of Financial Economics, Elsevier, vol. 138(2), pages 458-482.
  28. Geoffrey M. Ngene & Catherine Anitha Manohar & Ivan F. Julio, 2020. "Overreaction in the REITs Market: New Evidence from Quantile Autoregression Approach," JRFM, MDPI, vol. 13(11), pages 1-28, November.
  29. Avanidhar Subrahmanyam, 2009. "Optimal financial education," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 1-9, January.
  30. Subrahmanyam, Avanidhar, 2009. "Optimal financial education," Review of Financial Economics, Elsevier, vol. 18(1), pages 1-9, January.
  31. Manela, Asaf, 2014. "The value of diffusing information," Journal of Financial Economics, Elsevier, vol. 111(1), pages 181-199.
  32. Julien Cujean & Daniel Andrei, 2016. "Information Percolation, Momentum, and Reversal," 2016 Meeting Papers 431, Society for Economic Dynamics.
  33. Chordia, Tarun & Subrahmanyam, Avanidhar, 2000. "Order Imbalance and Individual Stock Returns," University of California at Los Angeles, Anderson Graduate School of Management qt34k8f3pv, Anderson Graduate School of Management, UCLA.
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