Journal ArticleDOI
Price, trade size, and information in securities markets*
David Easley,Maureen O'Hara +1 more
TLDR
In this paper, the effect of trade size on security prices was investigated and it was shown that informed traders tend to trade larger amounts at any given price, and market makers' pricing strategies must also depend on trade size.About:
This article is published in Journal of Financial Economics.The article was published on 1987-09-01. It has received 2287 citations till now. The article focuses on the topics: Block trade & Nominal size.read more
Citations
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Journal ArticleDOI
Illiquidity and stock returns: cross-section and time-series effects $
TL;DR: In this article, the authors show that expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock ex ante excess return partly represents an illiquid price premium, which complements the cross-sectional positive return-illiquidity relationship.
Journal ArticleDOI
Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
TL;DR: In this paper, the effects of stock illiquidity on stock return have been investigated and it was shown that expected market illiquidities positively affects ex ante stock excess return (usually called risk premium) over time.
Book ChapterDOI
Market Liquidity: Illiquidity and Stock Returns Cross-Section and Time-Series Effects＊
TL;DR: In this paper, the effects of stock illiquidity on stock return have been investigated and it was shown that expected market illiquidities positively affects ex ante stock excess return (usually called risk premium) over time.
Journal ArticleDOI
Measuring the Information Content of Stock Trades
TL;DR: In this article, the interactions of security trades and quote revisions are modeled as a vector autoregressive system and the extent of the information asymmetry is measured as the ultimate price impact of the trade innovation.
Journal ArticleDOI
Market liquidity and volume around earnings announcements
Oliver Kim,Robert E. Verrecchia +1 more
TL;DR: In this paper, the authors suggest that earnings announcements provide information that allows certain traders to make judgements about a firm's performance that are superior to the judgements of other traders, and that there may be more information asymmetry at the time of an announcement than in nonannouncement periods.
References
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Journal ArticleDOI
Using daily stock returns: The case of event studies
TL;DR: In this paper, the authors examine properties of daily stock returns and how the particular characteristics of these data affect event study methodologies and show that recognition of autocorrelation in daily excess returns and changes in their variance conditional on an event can sometimes be advantageous.
Journal ArticleDOI
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
TL;DR: The presence of traders with superior information leads to a positive bid-ask spread even when the specialist is risk-neutral and makes zero expected profits as discussed by the authors, and the expectation of the average spread squared times volume is bounded by a number that is independent of insider activity.
Journal ArticleDOI
Information Effects on the Bid‐Ask Spread
Thomas E. Copeland,Dan Galai +1 more
TL;DR: In this paper, it is shown that the bid-ask spread is a positive function of the price level and return variance, a negative function of measures of market activity, depth, and continuity, and negatively correlated with the degree of competition.
Journal ArticleDOI
Information, trade and common knowledge
Paul Milgrom,Nancy L. Stokey +1 more
TL;DR: In this paper, it was shown that risk-averse traders can still never agree to any non-null trade when they receive private information, and that an equilibrium with fully revealing price changes always exists, and even at other equilibria the information revealed by price changes “swamps” each trader's private information.