Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects-Reference-Cited by-同舟云学术

Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects

Published:1989-04 Issue:2 Volume:2 Page:189-223
ISSN:0893-9454
Container-title:Review of Financial Studies
language:en
Short-container-title:Rev. Financ. Stud.

Author:

Admati Anat R.,Pfleiderer Paul

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

http://academic.oup.com/rfs/article-pdf/2/2/189/5307434/020189.pdf

Reference24 articles.

1. A Theory of Intraday Patterns: Volume and Price Variability

2. Admati A. R. Pfleiderer P. , 1989, “Asymmetry in Public Announcements and Asset Returns,” working paper (in preparation), Graduate School of Business, Stanford University.

3. Brock W. A. Kleidon A. W. , 1989, “Exogenous Demand Shocks and Trading Volume: A Model of Intraday Bids and Asks,” working paper, Graduate School of Business, Stanford University.

4. Easley D. O'Hara M. , 1987, “Large Trade Volume and Market Efficiency,” working paper, Cornell University.

5. Stock returns and the weekend effect

Cited by 170 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Nonlinear market liquidity: An empirical examination;International Review of Financial Analysis;2023-05

2. Market Return Around the Clock: A Puzzle;Journal of Financial and Quantitative Analysis;2022-07-25

3. Out-of-sample forecasting of cryptocurrency returns: A comprehensive comparison of predictors and algorithms;Physica A: Statistical Mechanics and its Applications;2022-07

4. The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets;Journal of Futures Markets;2022-05-16

5. Profitability of technical trading strategies under market manipulation;Financial Innovation;2022-01-05