Frederick Douglas Foster : Citation Profile


Are you Frederick Douglas Foster?

University of Sydney

8

H index

8

i10 index

1057

Citations

RESEARCH PRODUCTION:

14

Articles

RESEARCH ACTIVITY:

   24 years (1990 - 2014). See details.
   Cites by year: 44
   Journals where Frederick Douglas Foster has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 5 (0.47 %)

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   Permalink: http://citec.repec.org/pfo219
   Updated: 2021-01-16    RAS profile: 2015-07-06    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Frederick Douglas Foster.

Is cited by:

Ito, Takatoshi (16)

Bernhardt, Dan (12)

Subrahmanyam, Avanidhar (12)

Lyons, Richard (10)

Engle, Robert (9)

Nöldeke, Georg (8)

Pasquariello, Paolo (8)

Weber, Enzo (7)

Cespa, Giovanni (7)

Boulatov, Alexei (7)

Hautsch, Nikolaus (6)

Cites to:

Viswanathan, S (9)

Lyons, Richard (6)

Evans, Martin (5)

Kyle, Albert (4)

Shleifer, Andrei (4)

Whiteman, Charles (3)

Madhavan, Ananth (3)

Miller, Merton (3)

Gallagher, David (3)

Ingram, Beth (2)

Subrahmanyam, Avanidhar (2)

Main data


Where Frederick Douglas Foster has published?


Journals with more than one article published# docs
Australian Journal of Management5
Journal of Finance3
Review of Financial Studies2

Recent works citing Frederick Douglas Foster (2021 and 2020)


YearTitle of citing document
2020Trading in Crowded Markets. (2020). Gorban, Stepan ; Wang, Yajun ; Obizhaeva, Anna A. In: Working Papers. RePEc:abo:neswpt:w0275.

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2020Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010. (2020). Lerner, P B. In: Papers. RePEc:arx:papers:2004.06200.

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2020News media analytics in finance: a survey. (2020). Hahn, Tobias ; Vanstone, Bruce ; Marty, Tom. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1385-1434.

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2020The seasonality of gold prices in China does the risk‐aversion level matter?. (2020). Xiao, Bing ; Zhu, Zhenzhen ; van Hoang, Thi Hong ; Wong, Wing Keung. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2617-2664.

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2020Does news travel slowly before a market crash? The role of margin traders. (2020). Li, Yan ; Qian, LI. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:3065-3101.

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2020Strategic insider trading around earnings announcements in Australia. (2020). Katselas, Dean. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3709-3741.

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2020The type of corporate announcements and its implication on trading behaviour. (2020). Zheng, Liyi . In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:s1:p:629-659.

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2020The Overnight Drift. (2020). Boyarchenko, Nina ; Larsen, Lars C ; Whelan, Paul. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14462.

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2020How do Calendar Anomalies Affect an Investment Choice? A Proposal of an Analytic Hierarchy Process Model. (2020). Lucadamo, Antonio ; Ferraro, Antonella ; Marcarelli, Gabriella ; Rossi, Matteo. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-01-30.

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2020The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Pham, Manh Cuong ; Lajbcygier, Paul ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603.

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2020Insider, outsider and information heterogeneity. (2020). Wang, Wenjie ; Zhou, Deqing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300905.

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2020When do retail investors pay attention to their trading platforms?. (2020). Qadan, Mahmoud ; Aharon, David Y. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301066.

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2021Extreme heat and stock market activity. (2021). el Ouadghiri, Imane ; Peillex, Jonathan ; Jaballah, Jamil ; Gomes, Mathieu. In: Ecological Economics. RePEc:eee:ecolec:v:179:y:2021:i:c:s092180092030015x.

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2020An observation regarding Hamilton’s recent criticisms of Kilian’s global real economic activity index. (2020). Nonejad, Nima. In: Economics Letters. RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303517.

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2020More shareholders, higher liquidity? Evidence from an emerging stock market. (2020). Goh, Kim-Leng ; Lim, Kian-Ping ; Chia, Yee-Ee. In: Emerging Markets Review. RePEc:eee:ememar:v:44:y:2020:i:c:s1566014118305016.

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2020Crude oil price volatility and equity return predictability: A comparative out-of-sample study. (2020). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301654.

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2020Macroeconomic uncertainty, information competition, and liquidity. (2020). Chiu, Yen-Chen . In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303629.

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2020Discretionary liquidity trading, information production and market efficiency. (2020). Liu, Shancun ; Wen, Chunhui ; Qi, Zhen. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612318300229.

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2021Data snooping in equity premium prediction. (2021). Wendt, Viktoria-Sophie ; Neuhierl, Andreas ; Drobetz, Wolfgang ; Dichtl, Hubert. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:72-94.

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2020Does financial statement comparability mitigate delayed trading volume before earnings announcements?. (2020). Kim, Junwoo. In: Journal of Business Research. RePEc:eee:jbrese:v:107:y:2020:i:c:p:62-75.

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2020Is information risk priced? Evidence from abnormal idiosyncratic volatility. (2020). Yang, Yung Chiang ; Zhang, Chu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:528-554.

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2020Liquidity regimes and optimal dynamic asset allocation. (2020). Salam, Mehmet ; Daniel, Kent ; Collin-Dufresne, Pierre. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:379-406.

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2020David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs. (2020). Kashyap, Ravi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119316206.

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2020Measuring the multi-faceted dimension of liquidity in financial markets: A literature review. (2020). Diaz, Antonio ; Escribano, Ana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311024.

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2020Who moves the stock market in an emerging country – Institutional or retail investors?. (2020). Koesrindartoto, Deddy P ; Arroisi, Abdurrohman ; Dharma, Wirata A ; Yusgiantoro, Inka ; Aaron, Aurelius. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919300327.

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2020The Overnight Drift. (2020). Boyarchenko, Nina ; Whelan, Paul ; Larsen, Lars C. In: Staff Reports. RePEc:fip:fednsr:87539.

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2020Information Aggregation and P-Hacking. (2020). Zhong, Xun ; Rytchkov, Oleg. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:4:p:1605-1626.

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2020High Frequency Trading: Strategic Competition Between Slow and Fast Traders. (2020). Germain, Laurent ; Boco, Herve ; Rousseau, Fabrice. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n296-20.pdf.

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2020Liquidity commonality beyond best prices: Indian evidence. (2020). Dixit, Alok ; Vipul, ; Tripathi, Abhinava. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:4:d:10.1057_s41260-020-00164-3.

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2020.

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2020Does the price of crude oil help predict the conditional distribution of aggregate equity return?. (2020). Nonejad, Nima. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01643-2.

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2020Cryptocurrencies: market analysis and perspectives. (2020). Vinogradov, Dmitri ; Milne, Alistair ; Giudici, Giancarlo. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:47:y:2020:i:1:d:10.1007_s40812-019-00138-6.

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2020Shall One Sit “Longer” for a Free Lunch? Impact of Trading Durations on the Realized Variances and Volatility Spillovers. (2020). Raizada, Gaurav ; S. V. D. Nageswara Rao, ; Srivastava, Vartika. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:1:d:10.1007_s40953-019-00169-9.

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2020When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests. (2020). Loveland, Robert ; Fung, Scott. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1459-1485.

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2020Examining Granger Causality in the Behavioral Reactions of Institutional Investors— Evidence from India. (2020). Mohnot, Rajesh. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:22:y:2020:i:04:n:s0219091519500279.

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Works by Frederick Douglas Foster:


YearTitleTypeCited
1995Can Speculative Trading Explain the Volume-Volatility Relation? In: Journal of Business & Economic Statistics.
[Citation analysis]
article74
1993 Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models. In: Journal of Finance.
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article219
1996 Strategic Trading When Agents Forecast the Forecasts of Others. In: Journal of Finance.
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article173
1997 Assessing Goodness-of-Fit of Asset Pricing Models: The Distribution of the Maximal R-Squared. In: Journal of Finance.
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article106
1994Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information In: Journal of Financial and Quantitative Analysis.
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article79
2011Institutional trading and share returns In: Journal of Banking & Finance.
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article17
1999An Application of Bayesian Option Pricing to the Soybean Market In: American Journal of Agricultural Economics.
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article4
1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets. In: Review of Financial Studies.
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article273
1993The Effect of Public Information and Competition on Trading Volume and Price Volatility. In: Review of Financial Studies.
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article99
2002Bayesian Cross Hedging: An Example From the Soybean Market In: Australian Journal of Management.
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article6
2006Bayesian Prediction, Entropy, and Option Pricingx In: Australian Journal of Management.
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article3
2013Does portfolio emulation outperform its target funds? In: Australian Journal of Management.
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article2
2014Measuring the information content of customer foreign exchange orders In: Australian Journal of Management.
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article1
2014Customer foreign exchange orders: When timing really does matter In: Australian Journal of Management.
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article1

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