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Failure is an Option: Impediments to Short Selling and Options Prices Richard B. Evans Christopher C. Geczy David K. Musto Adam V. Reed* This Version: May 25, 2006 Abstract…
Journal of Financial Markets 5 (2002) 31–56 Illiquidity and stock returns: cross-section and time-series effects$ Yakov Amihud* Stern School of Business, New York University,…
An Investigation of the Informational Role of Short Interest in the Nasdaq Market HEMANG DESAI K RAMESH S RAMU THIAGARAJAN and BALA V BALACHANDRAN* ABSTRACT This paper examines…
Direct Gradient-Based Reinforcement Learning: II Gradient Ascent Algorithms and Experiments Jonathan Baxter Research School of Information Sciences and Engineering Australian…
Review of Finance 2005 9: 305–351 © Springer 2005 Do Investor Sophistication and Trading Experience Eliminate Behavioral Biases in Financial Markets � LEI FENG1 and…
Annual Report Readability, Current Earnings, and Earnings Persistence ∗ Feng Li Ross School of Business, University of Michigan 701 Tappan St., Ann Arbor, MI 48109 Phone:…
Fear and Greed in Financial Markets: A Clinical Study of Day-Traders∗ Andrew W Lo† Dmitry V Repin‡ and Brett N Steenbarger†† First Draft: December 27 2004 This…
Annual Report Readability Current Earnings and Earnings Persistence ∗ Feng Li Ross School of Business University of Michigan 701 Tappan St Ann Arbor MI 48109 Phone: 734936-2771…
Trading Volume and Cross-Autocorrelations in Stock Returns TARUN CHORDIA and BHASKARAN SWAMINATHAN* ABSTRACT This paper finds that trading volume is a significant determinant…
Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications Bruno Biais, Larry Glosten and Chester Spatt* Abstract We survey the literature…
Does Beta React to Market Conditions?: Estimates of Bull and Bear Betas using a Nonlinear Market Model with Endogenous Threshold Parameter by George Woodward and Heather…
Option Returns and the Cross-Sectional Predictability of Implied Volatility∗ Alessio Saretto The Krannert School of Management Purdue University† November 2005 ‡ Abstract…
Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual Reports? ∗ Feng Li Stephen M. Ross School of Business, University of Michigan 701 Tappan St.,…
Surprise! It’s Illiquid: The January 2006 Tokyo Stock Exchange Shutdown Roni Israelov† November 29 2006 Abstract On January 18 2006 the Tokyo Stock Exchange TSE unexpectedly…
Two-Sided Markets and Inter-Temporal Trade Clustering: Insights into Trading Motives Asani Sarkar Senior Economist Federal Reserve Bank of New York Robert A. Schwartz Professor…
Underreaction Trading Volume and Post-Earnings Announcement Drift* Wonseok Choi wchoi@fasharvardedu Department of Economics Harvard University Jung-Wook Kim** jungwookkim@ualbertaca…
Beyond the Numbers: An Analysis of Optimistic and Pessimistic Language in Earnings Press Releases Angela K. Davis Washington University, Olin School of Business, St. Louis,…
WHICH SHORTS ARE INFORMED? Ekkehart Boehmer Mays Business School Texas A&M University Charles M. Jones Graduate School of Business Columbia University Xiaoyan Zhang Johnson…
Mathematical Finance 84:325-347 1998 ��������� �� ������������� ������ �� ������ ���! #����%$��*����+%���…
WHICH SHORTS ARE INFORMED Ekkehart Boehmer Mays Business School Texas AM University Charles M Jones Graduate School of Business Columbia University Xiaoyan Zhang Johnson…