[go: up one dir, main page]
create a website
Market sidedness: insights into motives for trade initiation. (2007). Sarkar, Asani ; Schwartz, Robert A..
In: Staff Reports.
RePEc:fip:fednsr:292.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 42

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Why is PIN priced?. (2009). Duarte, Jefferson ; Young, Lance .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:91:y:2009:i:2:p:119-138.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. 1. Balduzzi, P., Elton, E. J. and T. C. Green, 2001, Economic News and Bond Prices: Evidence from the U.S. Treasury Market, The Journal of Financial and Quantitative Analysis, 36, 523-543.

  2. 10. Cohen, K. J., Maier, S. F., Schwartz, R. A. and D. K. Whitcomb, 1981, Transactions Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread, Journal of Political Economy, 89, 287-305.

  3. 11. Cushing, D. and A. Madhavan, 2000, Stock Returns and Trading at the Close, Journal of Financial Markets, 3, 45-67.

  4. 12. Diether, K., Malloy, C. and A. Scherbina, 2002, Differences of Opinion and the CrossSection of Stock Returns, Journal of Finance, 57, 2113-2141.

  5. 13. Dufour, A. and R. F. Engle, 2000, Time and the Price Impact of a Trade, Journal of Finance, 55, 2467-2498.

  6. 14. Easley, D., N. M. Kiefer and M. OHara, 1996, Cream Skimming or Profit Sharing, Journal of Finance, 51, 811-833. 32
    Paper not yet in RePEc: Add citation now
  7. 15. Easley, D., N. M. Kiefer and M. OHara, 1997a, The Information Content of the Trading Process, Journal of Empirical Finance, 4, 159-186.
    Paper not yet in RePEc: Add citation now

  8. 16. Easley, D., N. M. Kiefer and M. OHara, 1997b, One Day in the Life of a Very Common Stock, Review of Financial Studies, 10, 805-835.

  9. 17. Easley, D., R. F. Engle, M. OHara and L. Wu, 2005, Time-Varying Arrival Rates of Informed and Uninformed Trades, Working Paper.

  10. 18. Ellis, K., R. Michaely and M. OHara, 2000, The Accuracy of Trade Classification Rules: Evidence from Nasdaq, Journal of Financial and Quantitative Analysis, 35, 4, 529-551.

  11. 19. Fishman, M. J. and M. J. Hagerty, 1989, Disclosure Decisions by Firms and the Competition for Price Efficiency, Journal of Finance, 44, 633-646.

  12. 2. Bamber, L. D., 0. E. Banon and T. L. Stober, 1999, Differential Interpretations and Trading Volume, The Journal of Financial and Quantitative Analysis, 3, 369-386.

  13. 20. Fleming, M. and E. M. Remolona, 1999, Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information, Journal of Finance, 54, 190 119 15.

  14. 21. Foster, F. and S. Viswanathan, 1993, Public Information and Competition, Review of Financial Studies, 6, 23-56.

  15. 22. Foucalt, T., Kadan 0. and E. Kandel, 2005, Limit Order Book as a Market For Liquidity, The Review of Financial Studies, 18, 1171-1217.

  16. 23. Frankel, J. F. and K. Froot, 1990, Chartists, Fundamentalists and Trading in the Foreign Exchange Market, American Economic Review, 80, 18 1-185.

  17. 24. Green, T. C., 2004, Economic News and the Impact of Trading on Bond Prices, Journal of Finance, 59, 120 1-1233.

  18. 25. Grundy, B. D. and M. McNichols, 1990, Trade and the Revelation of Information Through Prices and Direct Disclosure, Review of Financial Studies, 2, 495-526.
    Paper not yet in RePEc: Add citation now

  19. 26. Hall, A. D. and N. Hautsch, 2004, A Continuous Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market, Working Paper, University of Copenhagen.

  20. 27. Harris, M. and A. Raviv, 1993, Differences of Opinion Make a Horse Race, Review of Financial Studies, 6, 473-506.

  21. 28. Hasbrouck, J., 1991, Measuring the Information Content of Stock Trades, Journal of Finance, 46, 179-207.

  22. 29. He, H. and J. Wang, 1995, Differential Information and Dynamic Behavior of Stock Trading Volume; Review of Financial Studies; 8, 9 19-972. 33

  23. 30. Kandel, E. and N. D. Pearson, 1995, Differential Interpretation of Public Signals and Trade in Speculative Markets, Journal of Political Economy~ 103, 83 1-872.

  24. 31. Kim, 0. and R. E. Verrecchia, 1994, Liquidity and Volume Around Earnings Announcements, Journal of Accounting and Economics, 17, 4 1-67.
    Paper not yet in RePEc: Add citation now

  25. 32. Krinsky, I. and J. Lee, 1996, Earnings announcements and the components of the bid-ask spread; Journal of Finance, 51, 1523-1535.

  26. 33. Kyle, A.S., 1985, Continuous Auctions and Insider Trading, Econometrica, 53, 13 151335.

  27. 34. Lee, C. and M. J. Ready, 1991, Inferring Trade Directions from Intraday Data, Journal of Finance, 46, 733-746.

  28. 36. Llorente, G., R. Michaely, G. Saar and J. Wang, 2002, Dynamic Volume-Return Relation of Individual Stocks, Review of Financial Studies, 4, 1005-1047.

  29. 37. Morse, D., Stephan, J. and E. K. Stice, 1991, Earnings Announcements and the Convergence (or Divergence) of Beliefs, The Accounting Review, 66, 376-8 8.
    Paper not yet in RePEc: Add citation now

  30. 38. Peterson. M. and E. Sirri, 2003, Evaluation of the Biases in Execution Cost Estimation Using Trade and Quote Data, Journal of Financial Markets, 6, 259-280.

  31. 39. Rosu, I., 2006, A Dynamic Model of the Limit Order Book, Mimeo, MIT.
    Paper not yet in RePEc: Add citation now
  32. 4. Banon, 0. E., Byard D. and 0. Kim, 2002, Changes in Analysts Information around Earnings Announcements, The Accounting Review, 77, 821-846.
    Paper not yet in RePEc: Add citation now
  33. 40. Sadka, R. and A. Scherbina, 2006, Analyst Disagreement, Mispricing and Liquidity, Journal of Finance, forthcoming.
    Paper not yet in RePEc: Add citation now

  34. 41. Shalen, C. T., 1993, Volume, Volatility and the Dispersion of Beliefs, Review of Financial Studies, 6, 405-434.

  35. 42. Tkatch, A. and E. Kandel, 2006, Demand for the Immediacy of Execution: Time is Money, Working Paper, Georgia State University.
    Paper not yet in RePEc: Add citation now

  36. 43. Wang, J., 1993, A Model of Intertemporal Asset Prices Under Asymmetric Information, Review of Financial Studies, 60, 249-282.

  37. 44. Wang, J., 1994, A Model of Competitive Stock Market Trading, Journal of Political Economy, 102, 127-168. 34
    Paper not yet in RePEc: Add citation now

  38. 5. Beber, A. and M. W. Brandt, 2006, Resolving Macroeconomic Uncertainty in Stock and Bond Markets, NBER Working Paper No. W12270.

  39. 6. Brown, L. D. and J. C. Y. Han, 1992, The Impact of Annual Earnings Announcements on Convergence of Beliefs, The Accounting Review, 67, 862-875.
    Paper not yet in RePEc: Add citation now

  40. 7. Campbell, J. Y., Ramadorai, T. and T. Vuolteenaho, 2004, Caught on Tape: Predicting Institutional Ownership with Order Flow, Working Paper, Harvard University.

  41. 8. Chakravarti, I., Laha R. and J. Roy, 1967, Handbook of Methods of Applied Statistics, Volume 1, John Wiley and Sons, New York.
    Paper not yet in RePEc: Add citation now

  42. 9. Chordia, T., R. Roll and A. Subrahmanyam, 2002, Order Imbalance, Liquidity and Market Returns, Journal of Financial Economics, 65, 111-130.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Does U.S. Macroeconomic News Make the South African Stock Market Riskier?. (2016). GUPTA, RANGAN ; Cakan, Esin.
    In: Working Papers.
    RePEc:pre:wpaper:201646.

    Full description at Econpapers || Download paper

  2. Surprise, Surprise; What Drives the Rand / U.S. Dollar Exchange Rate Volatility?. (2016). Perrelli, Roberto ; Schimmelpfennig, Axel ; Mavee, Nasha .
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2016/205.

    Full description at Econpapers || Download paper

  3. Price drift before U.S. macroeconomic news: private information about public announcements?. (2016). Strasser, Georg ; Kurov, Alexander ; Wolfe, Marketa ; Sancetta, Alessio .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161901.

    Full description at Econpapers || Download paper

  4. A global index of information transparency and accountability. (2015). Williams, Andrew.
    In: Journal of Comparative Economics.
    RePEc:eee:jcecon:v:43:y:2015:i:3:p:804-824.

    Full description at Econpapers || Download paper

  5. Measuring bond mutual fund performance with portfolio characteristics. (2015). Moneta, Fabio.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:223-242.

    Full description at Econpapers || Download paper

  6. EMU sovereign spreads and macroeconomic news. (2012). Pericoli, Filippo Maria ; Monteforte, Libero ; Arru, Daniela ; Iacovoni, Davide .
    In: MPRA Paper.
    RePEc:pra:mprapa:37200.

    Full description at Econpapers || Download paper

  7. Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test. (2011). Hess, Dieter ; Orbe, Sebastian .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1113.

    Full description at Econpapers || Download paper

  8. The Impact of Macroeconomic News on Bond Yields: (In)Stabilities over Time and Relative Importance. (2011). Liebermann, Joëlle.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:7/rt/11.

    Full description at Econpapers || Download paper

  9. Size, Book-to-Market Ratio and Macroeconomic News. (2010). Cenesizoglu, Tolga.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:1033.

    Full description at Econpapers || Download paper

  10. The Reaction of Stock Returns to News about Fundamentals. (2010). Cenesizoglu, Tolga.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:1032.

    Full description at Econpapers || Download paper

  11. Predictions of short-term rates and the expectations hypothesis. (2010). Thornton, Daniel ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2010-013.

    Full description at Econpapers || Download paper

  12. Price and trading response to public information. (2010). Malinowska, Magdalena .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20101177.

    Full description at Econpapers || Download paper

  13. Spillover impacts of the US macroeconomic news: Australian sectoral perspective. (2010). Nguyen, Tho ; Tho D. Q. Nguyen, .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-10-00096.

    Full description at Econpapers || Download paper

  14. Euro-Area Yield Curve Reaction to Monetary News. (2010). Coffinet, Jerome ; Jerôme Coffinet, ; Gouteron, Sylvain .
    In: German Economic Review.
    RePEc:bla:germec:v:11:y:2010:i::p:208-224.

    Full description at Econpapers || Download paper

  15. The Price Impact of Economic News, Private Information and Trading Intensity. (2010). Paiardini, Paola.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:1011.

    Full description at Econpapers || Download paper

  16. Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market. (2009). Pinter, Klara ; Frömmel, Michael ; Norbert Kiss M., ; Frommel, Michael.
    In: MNB Working Papers.
    RePEc:mnb:wpaper:2009/3.

    Full description at Econpapers || Download paper

  17. Intraday volatility responses to monetary policy events. (2009). Lunde, Asger ; Zebedee, Allan .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:23:y:2009:i:4:p:383-399.

    Full description at Econpapers || Download paper

  18. The Effects of Economic News on Commodity Prices; Is Gold Just Another Commodity?. (2009). Rossi, Marco ; Roache, Shaun K.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2009/140.

    Full description at Econpapers || Download paper

  19. Fundamentals, Macroeconomic Announcements and Asset Prices. (2009). Belgacem, Aymen.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2009-16.

    Full description at Econpapers || Download paper

  20. Which News Moves the Euro Area Bond Market?. (2009). Sebestyén, Szabolcs ; Overby, Lars Jul ; Sebestyen, Szabolcs ; Andersson, Magnus.
    In: German Economic Review.
    RePEc:bla:germec:v:10:y:2009:i::p:1-31.

    Full description at Econpapers || Download paper

  21. Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics. (2009). Rangel, Jose.
    In: Working Papers.
    RePEc:bdm:wpaper:2009-15.

    Full description at Econpapers || Download paper

  22. The Effects of Interest Rate Movements on Assets’ Conditional Second Moments. (2009). Palandri, Alessandro.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-32.

    Full description at Econpapers || Download paper

  23. Price adjustment to news with uncertain precision. (2008). Hautsch, Nikolaus ; Muller, Christoph ; Hess, Dieter E..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200828.

    Full description at Econpapers || Download paper

  24. Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market. (2008). Coluzzi, Chiara ; Ginebri, Sergio ; Turco, Manuel.
    In: Economics & Statistics Discussion Papers.
    RePEc:mol:ecsdps:esdp08044.

    Full description at Econpapers || Download paper

  25. The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements. (2008). Lunde, Asger ; Hansen, Peter ; Bentzen, Eric ; Zebedee, Allan .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:22:y:2008:i:1:p:3-20.

    Full description at Econpapers || Download paper

  26. Macroeconomic News, Business Cycles and Australian Financial Markets. (2008). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:15:y:2008:i:3:p:185-207.

    Full description at Econpapers || Download paper

  27. Price Adjustment to News with Uncertain Precision. (2008). Hautsch, Nikolaus ; Muller, Christoph ; Hess, Dieter .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-025.

    Full description at Econpapers || Download paper

  28. Measuring causality between volatility and returns with high-frequency data. (2008). Taamouti, Abderrahim ; Garcia, René ; Dufour, Jean-Marie.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we084422.

    Full description at Econpapers || Download paper

  29. Macroeconomic Surprises and the Inflation Compensation Curve in the Euro Area.. (2008). Frappa, Sébastien ; Coffinet, Jerome.
    In: Working papers.
    RePEc:bfr:banfra:220.

    Full description at Econpapers || Download paper

  30. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12962.

    Full description at Econpapers || Download paper

  31. The Asymmetric Response of Equity REIT Returns to Inflation. (2007). Ramchander, Sanjay ; Simpson, Marc ; Webb, James.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:34:y:2007:i:4:p:513-529.

    Full description at Econpapers || Download paper

  32. Media Coverage and Macroeconomic Information Processing. (2007). Niessen, Alexandra .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2007-011.

    Full description at Econpapers || Download paper

  33. Information shares in the U.S. treasury market. (2007). Neely, Christopher ; Mizrach, Bruce.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-070.

    Full description at Econpapers || Download paper

  34. Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices. (2006). Rigobon, Roberto ; Sack, Brian.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12420.

    Full description at Econpapers || Download paper

  35. Which news moves the euro area bond market?. (2006). Sebestyén, Szabolcs ; Sebestyen, Szabolcs ; Hansen, Lars Jul ; Andersson, Magnus.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006631.

    Full description at Econpapers || Download paper

  36. Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts. (2006). Chen, Kim Heng ; Han, Li-Ming.
    In: Review of Applied Economics.
    RePEc:ags:reapec:50279.

    Full description at Econpapers || Download paper

  37. The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market. (2005). Nath, Purnendu ; Goldreich, David ; Hanke, Bernd.
    In: Review of Finance.
    RePEc:kap:eurfin:v:9:y:2005:i:1:p:1-32.

    Full description at Econpapers || Download paper

  38. How is Macro News Transmitted to Exchange Rates? (December 2003). (2005). Lyons, Richard ; Evans, Martin ; Martin D. D. Evans, .
    In: Working Papers.
    RePEc:geo:guwopa:gueconwpa~05-05-05.

    Full description at Econpapers || Download paper

  39. Where Are We Now? Real-time Estimates of the Macro Economy. (2005). Evans, Martin ; Martin D. D. Evans, .
    In: Working Papers.
    RePEc:geo:guwopa:gueconwpa~05-05-02.

    Full description at Econpapers || Download paper

  40. The implied jump risk of LIBOR rates. (2005). Ting, Christopher ; Warachka, Mitch ; Guan, Lim Kian .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:10:p:2503-2522.

    Full description at Econpapers || Download paper

  41. Stocks, bonds, money markets and exchange rates: measuring international financial transmission. (2005). Fratzscher, Marcel ; Ehrmann, Michael ; Rigobon, Roberto.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005452.

    Full description at Econpapers || Download paper

  42. The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes. (2005). Rangel, Jose ; Gonzalo, Jesus ; Engle, Robert.
    In: Working Papers.
    RePEc:cnb:wpaper:2005/13.

    Full description at Econpapers || Download paper

  43. The European Bond Markets under EMU. (2004). von Thadden, Ernst-Ludwig ; Pagano, Marco.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:126.

    Full description at Econpapers || Download paper

  44. Economic News and the Impact of Trading on Bond Prices. (2004). Green, Clifton T..
    In: Journal of Finance.
    RePEc:bla:jfinan:v:59:y:2004:i:3:p:1201-1234.

    Full description at Econpapers || Download paper

  45. Determinants of the relative price impact of unanticipated information in US macroeconomic releases. (2003). Hess, Dieter .
    In: Frankfurt School - Working Paper Series.
    RePEc:zbw:fsfmwp:46.

    Full description at Econpapers || Download paper

  46. A Note on the Observed Downward Bias in Real-Time Estimates of Payroll Jobs Growth in Early Expansions. (2003). Kitchen, John.
    In: MPRA Paper.
    RePEc:pra:mprapa:21070.

    Full description at Econpapers || Download paper

  47. Is Transparency Good for You, and Can the IMF Help?. (2003). Shin, Yongseok ; Glennerster, Rachel.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2003/132.

    Full description at Econpapers || Download paper

  48. An empirical analysis of stock and bond market liquidity. (2003). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun .
    In: Staff Reports.
    RePEc:fip:fednsr:164.

    Full description at Econpapers || Download paper

  49. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8959.

    Full description at Econpapers || Download paper

  50. Time-Varying Liquidity in Foreign Exchange. (2001). Evans, Martin ; Lyons, David .
    In: Working Papers.
    RePEc:geo:guwopa:gueconwpa~01-01-11.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-19 00:16:19 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.