30
H index
36
i10 index
3544
Citations
Arizona State University | 30 H index 36 i10 index 3544 Citations RESEARCH PRODUCTION: 42 Articles 2 Papers RESEARCH ACTIVITY: 34 years (1989 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pbe151 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Hendrik Bessembinder. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Journal of Financial Economics | 15 |
Journal of Financial and Quantitative Analysis | 6 |
Review of Financial Studies | 6 |
Journal of Finance | 6 |
Journal of Economic Perspectives | 2 |
Year | Title of citing document | |
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2023 | Are Front-running HFTs Harmful?. (2022). Cheng, Xue ; Xu, Ziyi. In: Papers. RePEc:arx:papers:2211.06046. Full description at Econpapers || Download paper | |
2023 | High-frequency Anticipatory Trading and Its Influences: Small Informed Trader vs. Front-runner. (2023). Cheng, Xue ; Xu, Ziyi. In: Papers. RePEc:arx:papers:2304.13985. Full description at Econpapers || Download paper | |
2023 | Market Making and Pricing of Financial Derivatives based on Road Travel Times. (2023). Kornhauser, Alain ; Wan, KE. In: Papers. RePEc:arx:papers:2305.02523. Full description at Econpapers || Download paper | |
2023 | Auctioning Corporate Bonds: A Uniform-Price under Investment Mandates. (2023). Zarpala, Labrini. In: Papers. RePEc:arx:papers:2306.07134. Full description at Econpapers || Download paper | |
2023 | FLAIR: A Metric for Liquidity Provider Competitiveness in Automated Market Makers. (2023). Adams, Austin ; Wan, Xin ; Milionis, Jason. In: Papers. RePEc:arx:papers:2306.09421. Full description at Econpapers || Download paper | |
2023 | Investigating Short-Term Dynamics in Green Bond Markets. (2023). Rroji, Edit ; Perchiazzo, Andrea ; Mercuri, Lorenzo. In: Papers. RePEc:arx:papers:2308.12179. Full description at Econpapers || Download paper | |
2023 | The Price of Empire: Unrest Location and Sovereign Risk in Tsarist Russia. (2023). Vaaler, Paul M ; Hartwell, Christopher A. In: Papers. RePEc:arx:papers:2309.06885. Full description at Econpapers || Download paper | |
2023 | Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2023). Wunderlich, Ralf ; Auer, Benjamin R ; Lamert, Kerstin. In: Papers. RePEc:arx:papers:2311.15635. Full description at Econpapers || Download paper | |
2023 | Dollar and government bond liquidity: evidence from Korea. (2023). Lee, Jieun. In: BIS Working Papers. RePEc:bis:biswps:1145. Full description at Econpapers || Download paper | |
2023 | Longitudinal accounting comparability and bond credit spreads: Evidence from China. (2023). Wang, Jianqiong ; Cao, Shijiao. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:1953-1981. Full description at Econpapers || Download paper | |
2023 | Do Municipal Bond Dealers Give Their Customers “Fair and Reasonable” Pricing?. (2023). Kruger, Samuel ; Hirschey, Nicholas ; Griffin, John M. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:887-934. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Physical and transition risk premiums in euro area corporate bond markets. (2023). Kapp, Daniel ; Bua, Giovanna ; Bats, Joost. In: Working Papers. RePEc:dnb:dnbwpp:761. Full description at Econpapers || Download paper | |
2023 | Can the Basis Lead to Arbitrage Profits on the MISO Exchange?. (2023). Jones, Kevin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-03-1. Full description at Econpapers || Download paper | |
2023 | How does credit risk affect cost management strategies? Evidence on the initiation of credit default swap and sticky cost behavior. (2023). Yan, Yan ; Huang, Rong ; Dai, Jing. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000500. Full description at Econpapers || Download paper | |
2023 | Short selling, divergence of opinion and volatility in the corporate bond market. (2023). Tian, Xiao ; Kalev, Petko S ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188922002950. Full description at Econpapers || Download paper | |
2023 | Impacts of trading restrictions on price volatilities and speculative activities: Evidence from CSI 300 futures. (2023). Zhang, QI ; Chang, Chiu-Lan ; Fang, Ming. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:184-204. Full description at Econpapers || Download paper | |
2023 | Hedging pressure momentum and the predictability of oil futures returns. (2023). Zhang, Yaojie ; Wang, Yudong ; Chen, Chuang ; Yu, Dan. In: Economic Modelling. RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000263. Full description at Econpapers || Download paper | |
2023 | Lottery preference, short-sale constraint, and the salience effect: Evidence from China. (2023). Zhu, Dongming ; Sun, Peng ; Liu, Chang. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001530. Full description at Econpapers || Download paper | |
2023 | Do exchange-traded fund activities destabilize the stock market? Evidence from the China securities index 300 stocks. (2023). Xu, Liao ; Chen, Jilong. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002626. Full description at Econpapers || Download paper | |
2023 | One for the money, two for the show? The number of designated market makers and liquidity. (2023). Westheide, Christian ; Theissen, Erik. In: Economics Letters. RePEc:eee:ecolet:v:224:y:2023:i:c:s0165176523000174. Full description at Econpapers || Download paper | |
2023 | Joint optimization of sales-mix and generation plan for a large electricity producer. (2023). Ruiz, Carlos ; Falbo, Paolo. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000336. Full description at Econpapers || Download paper | |
2023 | Forecasting commodity prices returns: The role of partial least squares approach. (2023). Dai, Zhifeng ; Zhu, Haoyang ; Wen, Chufu. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003237. Full description at Econpapers || Download paper | |
2023 | Revisiting the pricing benchmarks for Asian LNG — An equilibrium analysis. (2023). Luo, Meifeng ; Wu, Shining ; Yang, Dong ; Zhang, Lingge. In: Energy. RePEc:eee:energy:v:262:y:2023:i:pa:s0360544222023088. Full description at Econpapers || Download paper | |
2023 | Commodity exposure in the eurozone: How EU energy security is conditioned by the Euro. (2023). Martinez-Salgueiro, Andrea ; Vivel-Bua, Milagros ; de Llano-Paz, Fernando ; Lado-Sestayo, Ruben. In: Energy. RePEc:eee:energy:v:277:y:2023:i:c:s0360544223009222. Full description at Econpapers || Download paper | |
2023 | The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns. (2023). Peng, Zhe ; Arkorful, Gideon Bruce ; Ma, Huan ; Zhang, Chuanhai. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000133. Full description at Econpapers || Download paper | |
2023 | Financialization and speculators risk premia in commodity futures markets. (2023). Revoredo-Giha, Cesar ; Carter, Colin A. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002077. Full description at Econpapers || Download paper | |
2023 | Expected long-term rates of return when short-term returns are serially correlated. (2023). Tronnes, Haakon Andreas ; Mork, Knut Anton. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002120. Full description at Econpapers || Download paper | |
2023 | Stock market reaction to mandatory ESG disclosure. (2023). Zhong, Angel ; Hu, Xiaolu ; Wang, Jiazhen. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322005797. Full description at Econpapers || Download paper | |
2023 | Stock illiquidity and option returns. (2023). Uhrig-Homburg, Marliese ; Korn, Olaf ; Kanne, Stefan. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000556. Full description at Econpapers || Download paper | |
2023 | ETF ownership and firm-specific information in corporate bond returns. (2023). Mason, Joseph R ; Rhodes, Meredith E. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000623. Full description at Econpapers || Download paper | |
2023 | Informational linkage and price discovery between Chinas futures and spot markets: Evidence from the US–China trade dispute. (2023). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000527. Full description at Econpapers || Download paper | |
2023 | The effect of tick size on managerial learning from stock prices. (2023). Zhu, Wei ; Zheng, Miles Y ; Ye, Mao. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:75:y:2023:i:1:s0165410122000386. Full description at Econpapers || Download paper | |
2023 | Fixed income conference calls. (2023). Zhu, Zhiwei ; Xu, DA ; Shohfi, Thomas ; de Franco, Gus. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:75:y:2023:i:1:s0165410122000416. Full description at Econpapers || Download paper | |
2023 | The effect of bond market transparency on bank loan contracting. (2023). Kyung, Hoyoun ; Chy, Mahfuz. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:75:y:2023:i:2:s0165410122000593. Full description at Econpapers || Download paper | |
2023 | Retail bond investors and credit ratings. (2023). Watts, Edward M ; Li, Jiacui ; Dehaan, ED. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:76:y:2023:i:1:s0165410123000113. Full description at Econpapers || Download paper | |
2023 | Stock liquidity and algorithmic market making during the COVID-19 crisis. (2023). Pascual, Roberto ; Chakrabarty, Bidisha. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622000152. Full description at Econpapers || Download paper | |
2023 | Internal risk limits of dealers and corporate bond market making. (2023). Wang, KE ; McArthur, David C ; Anderson, Christopher S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622002333. Full description at Econpapers || Download paper | |
2023 | The Pricing of Skewness Over Different Return Horizons. (2023). Arisoy, Eser Y ; Aretz, Kevin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s037842662200293x. Full description at Econpapers || Download paper | |
2023 | The changing landscape of treasury auctions. (2023). Tedongap, Romeo ; Amin, Shehryar. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622002941. Full description at Econpapers || Download paper | |
2023 | Anticipating jumps: Decomposition of straddle price. (2023). Vasquez, Aurelio ; Gan, Quan ; Chen, Bei. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426622003351. Full description at Econpapers || Download paper | |
2023 | Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000043. Full description at Econpapers || Download paper | |
2023 | Information acquisition costs and credit spreads. (2023). Rettl, Daniel A ; Jaskowski, Marcin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300016x. Full description at Econpapers || Download paper | |
2023 | Downside variance premium, firm fundamentals, and expected corporate bond returns. (2023). Li, Junye ; Jiang, Liang ; Huang, Tao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001516. Full description at Econpapers || Download paper | |
2023 | Additions to and deletions from the S&P 500 index: A resolution to the asymmetric price response puzzle. (2023). Rodriguez, Ivan M ; Prakash, Arun ; Lawrence, Edward R ; Kumar, Rajnish. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001747. Full description at Econpapers || Download paper | |
2023 | Shades of trade: Dark trading and price efficiency. (2023). Watson, Ethan D ; McBrayer, Garrett A ; Egginton, Jared F. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001954. Full description at Econpapers || Download paper | |
2023 | Industry momentum in Latin America. (2023). Lizarzaburu, Edmundo ; Cardona, Emilio ; Berggrun, Luis. In: Journal of Business Research. RePEc:eee:jbrese:v:158:y:2023:i:c:s0148296323000693. Full description at Econpapers || Download paper | |
2023 | Does market design contribute to market stability? Indications from a corporate bond exchange during the COVID-19 crisis. (2023). Shust, Efrat ; Abudy, Menachem. In: Journal of Economics and Business. RePEc:eee:jebusi:v:123:y:2023:i:c:s0148619522000613. Full description at Econpapers || Download paper | |
2023 | Refusing the best price?. (2023). Zheng, Miles ; Ye, Mao ; Li, Sida. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:317-337. Full description at Econpapers || Download paper | |
2023 | Fire sale risk and expected stock returns. (2023). Kim, Min S ; Aragon, George O. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:578-609. Full description at Econpapers || Download paper | |
2023 | Volatility in US dairy futures markets. (2023). Yu, Linda ; Tse, Yiuman ; Jump, Jeff ; Fan, Zaifeng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000666. Full description at Econpapers || Download paper | |
2023 | Theory of storage implications in the European natural gas market. (2023). Torro, Hipolit ; Martinez, Beatriz. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000678. Full description at Econpapers || Download paper | |
2023 | Microstructure and high-frequency price discovery in the soybean complex. (2023). Debie, Philippe ; Gohin, Alexandre ; Bagnarosa, Guillaume ; Zhou, Xinquan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000041. Full description at Econpapers || Download paper | |
2023 | Commodity futures return predictability and intertemporal asset pricing. (2023). Poti, Valerio ; Eyiah-Donkor, Emmanuel ; Cotter, John. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851322000460. Full description at Econpapers || Download paper | |
2023 | Trading time seasonality in electricity futures. (2023). Ewald, Christian-Oliver ; Haugom, Erik ; Lien, Gudbrand ; Stordal, Stle. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851322000484. Full description at Econpapers || Download paper | |
2023 | Information and communication technologies development and the resource curse. (2023). Saydaliev, Hayot Berk ; Taghizadeh-Hesary, Farhad ; Shi, Fanglan ; Chang, Lei. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005669. Full description at Econpapers || Download paper | |
2023 | Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints. (2023). Sundaresan, Suresh ; Klingler, Sven. In: Journal of Monetary Economics. RePEc:eee:moneco:v:135:y:2023:i:c:p:55-69. Full description at Econpapers || Download paper | |
2023 | Dealership versus continuous auction: Evidence from the JASDAQ market. (2023). Zhang, Ye Zhou ; Rhee, Ghon S ; Iwatsubo, Kentaro. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002190. Full description at Econpapers || Download paper | |
2023 | Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market. (2023). Liao, Xiaosai ; Ma, Huan ; Zhang, Chuanhai. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000161. Full description at Econpapers || Download paper | |
2023 | Do M&A funds create value in Chinese listed firms?. (2023). Ma, Lina ; Guo, Feng ; Huang, Ying Sophie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23001014. Full description at Econpapers || Download paper | |
2023 | Mispricing and anomalies in China. (2023). Zhen, Hongxian ; Xia, YU ; Wang, Haomiao ; Shi, Yongdong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x2300104x. Full description at Econpapers || Download paper | |
2023 | The revolving door of former civil servants and firm value: A comprehensive approach. (2023). Michelson, Noam. In: European Journal of Political Economy. RePEc:eee:poleco:v:79:y:2023:i:c:s0176268023000654. Full description at Econpapers || Download paper | |
2023 | Performance effects of sell-offs and the role of sell-off experience. (2023). Schiereck, Dirk ; Koenigsmarck, Markus ; Kiesel, Florian ; Erl, Ludwig. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:244-257. Full description at Econpapers || Download paper | |
2023 | Outliers and momentum in the corporate bond market. (2023). Galvani, Valentina ; Li, Lifang. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:135-148. Full description at Econpapers || Download paper | |
2023 | Machine learning assessment under the development of green technology innovation: A perspective of energy transition. (2023). Aliyeva, Alina ; Zhong, Kaiyang ; Zou, Wandan ; Chen, Wei. In: Renewable Energy. RePEc:eee:renene:v:214:y:2023:i:c:p:65-73. Full description at Econpapers || Download paper | |
2023 | Studying the green economic growth with clean energy and green finance: The role of financial policy. (2023). Li, Ran ; Zhao, TI ; Liu, Xiaoyu. In: Renewable Energy. RePEc:eee:renene:v:215:y:2023:i:c:s0960148123008777. Full description at Econpapers || Download paper | |
2023 | Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363. Full description at Econpapers || Download paper | |
2023 | Corporate bond liquidity and yield spreads: A review. (2023). Namin, Elmira Shekari ; Goldstein, Michael A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300051x. Full description at Econpapers || Download paper | |
2023 | An innovative tool for cost control under fragmented scenarios: The container freight index microinsurance. (2023). Yang, MO ; Wang, Xuanhe ; Xiang, Zhiyuan ; Yu, Fangping ; Kuang, Haibo. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:169:y:2023:i:c:s1366554522003520. Full description at Econpapers || Download paper | |
2023 | Risk Management in Electricity Markets: Dominant Topics and Research Trends. (2023). Velasquez, Juan D ; Londoo, Adriana A. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:7:p:116-:d:1176522. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Optimal Tick Size. (2023). Rindi, Barbara ; Graziani, Giuliano. In: Working Papers. RePEc:igi:igierp:688. Full description at Econpapers || Download paper | |
2023 | Immediacy Provision and Matchmaking. (2023). Zheng, Zeyu ; An, YU. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:2:p:1245-1263. Full description at Econpapers || Download paper | |
2023 | Implied Volatility Changes and Corporate Bond Returns. (2023). Zhan, Xintong ; Xiao, Xiao ; Goyal, Amit ; Cao, Jie. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:3:p:1375-1397. Full description at Econpapers || Download paper | |
2023 | The Real Effects of Implicit Government Guarantee: Evidence from Chinese State-Owned Enterprise Defaults. (2023). Zhang, Zilong ; Wang, Wei ; Jin, Shuang. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:6:p:3650-3674. Full description at Econpapers || Download paper | |
2023 | Tick Size, Trading Strategies, and Market Quality. (2023). Wen, Yuanji ; Buti, Sabrina ; Rindi, Barbara ; Werner, Ingrid M. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:3818-3837. Full description at Econpapers || Download paper | |
2023 | Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes. (2023). Noorani, Idin ; Mehrdoust, Farshid. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10232-4. Full description at Econpapers || Download paper | |
2023 | Calibration of Storage Model by Multi-Stage Statistical and Machine Learning Methods. (2023). Assa, Hirbod ; Karimi, Nader ; Adibi, Hojatollah ; Salavati, Erfan. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10304-z. Full description at Econpapers || Download paper | |
2023 | How does green economic recovery impact social and financial performance?. (2023). Yang, Jiayu ; Jiang, Hong ; Guan, Weimin ; Sun, Yunpeng. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:2:d:10.1007_s10644-022-09453-w. Full description at Econpapers || Download paper | |
2023 | Impact of digitization on green economic recovery: an empirical evidence from China. (2023). Cai, Shuang. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:5:d:10.1007_s10644-022-09473-6. Full description at Econpapers || Download paper | |
2023 | The predictive ability of technical trading rules: an empirical analysis of developed and emerging equity markets. (2023). Rink, Kevin. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00433-2. Full description at Econpapers || Download paper | |
2023 | Employing gain-sharing regulation to promote forward contracting in the electricity sector. (2023). Sappington, David ; Brown, David. In: Journal of Regulatory Economics. RePEc:kap:regeco:v:63:y:2023:i:1:d:10.1007_s11149-022-09456-5. Full description at Econpapers || Download paper | |
2023 | Trade-time clustering. (2023). Sun, Wei ; Jain, Pankaj K ; Black, Jeffrey R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:3:d:10.1007_s11156-023-01125-8. Full description at Econpapers || Download paper | |
2023 | Can volume be more informative than prices? Evidence from Chinese housing markets. (2023). Yu, Ziliang ; Tong, Meng ; Yang, Jian. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:2:d:10.1007_s11156-023-01161-4. Full description at Econpapers || Download paper | |
2023 | Small Rebalanced Portfolios Often Beat the Market over Long Horizons. (2023). Hjalmarsson, Erik ; Farago, Adam. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:13:y:2023:i:2:p:307-342.. Full description at Econpapers || Download paper | |
2023 | The Term Structure of Equity Risk Premia: Levered Noise and New Estimates*. (2023). Simutin, Mikhail ; Fisher, Adlai ; Carlson, Murray ; Boguth, Oliver. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:4:p:1155-1182.. Full description at Econpapers || Download paper | |
2023 | Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market. (2023). Badhani, K N ; Ali, Asgar. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:1:d:10.1057_s41260-022-00290-0. Full description at Econpapers || Download paper | |
2023 | Event studies in international finance research. (2023). Sy, Oumar ; Mansi, Sattar A ; Guedhami, Omrane ; el Ghoul, Sadok. In: Journal of International Business Studies. RePEc:pal:jintbs:v:54:y:2023:i:2:d:10.1057_s41267-022-00534-6. Full description at Econpapers || Download paper | |
2023 | Impact of corporate hedging practices on firms value: An empirical evidence from Indian MNCs. (2023). Kumar, Shailendra ; Das, Jyoti Prakash. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:2:d:10.1057_s41283-023-00115-3. Full description at Econpapers || Download paper | |
2023 | Impact of futures’ trader types on stock market quality: evidence from Taiwan. (2023). Lai, Ya-Wen. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09612-9. Full description at Econpapers || Download paper | |
2023 | Trust, social capital, and the bond market benefits of ESG performance. (2023). Servaes, Henri ; Tamayo, Ane ; Lins, Karl V ; Amiraslani, Hami. In: Review of Accounting Studies. RePEc:spr:reaccs:v:28:y:2023:i:2:d:10.1007_s11142-021-09646-0. Full description at Econpapers || Download paper | |
2023 | Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020. (2023). Scheicher, Martin. In: ESRB Occasional Paper Series. RePEc:srk:srkops:202324. Full description at Econpapers || Download paper | |
2023 | Why is water illiquid?: The NQH2O water index futures. (2023). Wang, Xiaoyang. In: Applied Economic Perspectives and Policy. RePEc:wly:apecpp:v:45:y:2023:i:1:p:602-621. Full description at Econpapers || Download paper | |
2023 | The order flow cost of index rolling in commodity futures markets. (2023). Yan, Lei ; Sanders, Dwight R ; Irwin, Scott H. In: Applied Economic Perspectives and Policy. RePEc:wly:apecpp:v:45:y:2023:i:2:p:1025-1050. Full description at Econpapers || Download paper | |
2023 | STORABLE GOOD MARKET WITH INTERTEMPORAL COST VARIATIONS. (2023). Fiocco, Raffaele ; ANTONIOU, FABIO. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:1:p:361-385. Full description at Econpapers || Download paper | |
2023 | A span of continuous trades and liquidity dynamics in foreign exchange markets. (2023). Chang, Ming Jen ; Chen, Shikuan ; Chien, Chihchung. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:144-168. Full description at Econpapers || Download paper | |
2023 | Bayesian non?linear quantile effects on modelling realized kernels. (2023). Asai, Manabu ; Dong, Manh Cuong. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:981-995. Full description at Econpapers || Download paper | |
2023 | Effects of nondiscretionary trading on futures prices. (2023). Whaley, Robert E ; O'Neill, Michael J. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:33-68. Full description at Econpapers || Download paper | |
2023 | Probability weighting in commodity futures markets. (2023). Wang, Ying ; Xu, QI ; Yuan, Jun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:4:p:516-548. Full description at Econpapers || Download paper | |
2023 | A tale of two premiums revisited. (2023). Marechal, Loic. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:580-614. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2008 | Markets: Transparency and the Corporate Bond Market In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 80 |
2008 | Comments In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 0 |
1992 | Futures-Trading Activity and Stock Price Volatility. In: Journal of Finance. [Full Text][Citation analysis] | article | 135 |
1995 | Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure. In: Journal of Finance. [Full Text][Citation analysis] | article | 152 |
2002 | Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets In: Journal of Finance. [Full Text][Citation analysis] | article | 309 |
2013 | Noisy Prices and Inference Regarding Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 73 |
2015 | Market Making Contracts, Firm Value, and the IPO Decision In: Journal of Finance. [Full Text][Citation analysis] | article | 20 |
2018 | Capital Commitment and Illiquidity in Corporate Bonds In: Journal of Finance. [Full Text][Citation analysis] | article | 80 |
1991 | Forward Contracts and Firm Value: Investment Incentive and Contracting Effects In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 143 |
1989 | FORWARD CONTRACTS AND FIRM VALUE: INVESTMENT INCENTIVE AND CONTRACTING EFFECTS.(1989) In: Rochester, Business - Managerial Economics Research Center. [Citation analysis] This paper has nother version. Agregated cites: 143 | paper | |
1993 | Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 273 |
1997 | A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 125 |
1999 | Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 97 |
2003 | Trade Execution Costs and Market Quality after Decimalization In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 184 |
2020 | A Survey of the Microstructure of Fixed-Income Markets In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 18 |
2003 | Issues in assessing trade execution costs In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 113 |
2013 | Firm characteristics and long-run stock returns after corporate events In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 40 |
2016 | Liquidity, resiliency and market quality around predictable trades: Theory and evidence In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 30 |
2018 | Do stocks outperform Treasury bills? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 34 |
2022 | Overallocation and secondary market outcomes in corporate bond offerings In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 0 |
2023 | Mutual fund performance at long horizons In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 0 |
1992 | Time-varying risk premia and forecastable returns in futures markets In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 129 |
1994 | Bid-ask spreads in the interbank foreign exchange markets In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 106 |
1996 | An empirical examination of information, differences of opinion, and trading activity In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 111 |
1997 | The degree of price resolution and equity trading costs In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 30 |
1997 | A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 104 |
2003 | Quote-based competition and trade execution costs in NYSE-listed stocks In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 43 |
2004 | Does an electronic stock exchange need an upstairs market? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 59 |
2006 | Market transparency, liquidity externalities, and institutional trading costs in corporate bonds In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 190 |
2009 | Hidden liquidity: An analysis of order exposure strategies in electronic stock markets In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 68 |
2010 | Liquidity biases in asset pricing tests In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 66 |
2000 | Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 35 |
1995 | The profitability of technical trading rules in the Asian stock markets In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 95 |
1998 | Market Efficiency and the Returns to Technical Analysis In: Financial Management. [Citation analysis] | article | 100 |
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2022 | Long Run Stock Returns after Corporate Events Revisited In: Critical Finance Review. [Full Text][Citation analysis] | article | 1 |
2009 | Measuring Abnormal Bond Performance In: Review of Financial Studies. [Full Text][Citation analysis] | article | 163 |
2015 | Predictable Corporate Distributions and Stock Returns In: Review of Financial Studies. [Full Text][Citation analysis] | article | 7 |
2019 | Characteristic-Based Benchmark Returns and Corporate Events In: Review of Financial Studies. [Full Text][Citation analysis] | article | 12 |
2020 | Liquidity Provision Contracts and Market Quality: Evidence from the New York Stock Exchange In: Review of Financial Studies. [Full Text][Citation analysis] | article | 6 |
1992 | Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 251 |
1993 | Return Autocorrelations around Nontrading Days. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 37 |
2006 | Gains from Trade under Uncertainty: The Case of Electric Power Markets In: The Journal of Business. [Full Text][Citation analysis] | article | 14 |
1993 | An empirical analysis of risk premia in futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 11 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team