Using Time Series Methods to Assess Information And Inventory Effects in a Dealer Market in Il-liquid Stocks
The purpose of this paper is to test for the existence of inventory control and asymmetric information in stock market price quotes, and then quantify...
Determinants of Price Quote Revisions on the London Stock Exchange
This paper investigates the determinants of price quote revisions on the London Stock Exchange for a sample of highly liquid stocks over a two week...
UK Directors' Trading: The Impact of Dealings in Smaller Firms
This paper reassesses the UK results of significant abnormal returns from directors' trading for a new sample of directors' trades 1984-1986, and...
Trading Volumes and Stock Market Prices
This paper examines the empirical relationship between half-hourly trading volume and price quotes announced by market makers for a sample of liquid...
Cross-Sectional Volatility of Dividend Yields on the UK Stock Market
This paper computes perfect foresight stock prices for 248 stocks on the UK stock market 1955-74. By comparing actual and perfect foresight dividend...
Asset Price Variability Under Assymetric Information
This paper examines the effect of a change in the percentage of informed participants in an asset market on the variability of prices. We consider...
Volatility of US Stock Prices
A number of recent papers have reported evidence that stock prices are more volatile than is consistent with efficient markets. We argue that the...
The Reorganisation of the London Stock Market: The Causes and Consequences of Big-Bang
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