Market Microstructure and Ex-Dividend Day Pricing Anomaly: Evidence from a Unique Environment

SSRN Electronic Journal ◽

10.2139/ssrn.2043203 ◽

2012 ◽

Author(s):

Khamis Al-Yahyaee

Keyword(s):

Market Microstructure ◽

Pricing Anomaly

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Market Microstructure

10.1017/cbo9780511625930 ◽

1999 ◽

Author(s):

Daniel F. Spulber

Keyword(s):

Market Microstructure

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The Capital Asset Pricing Model and Market Microstructure

10.2469/dig.v29.n4.589 ◽

1999 ◽

Vol 29 (4) ◽

pp. 96-96

Author(s):

Frank T. Magiera

Keyword(s):

Asset Pricing ◽

Market Microstructure ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

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Corporate Break-Ups and Information Asymmetry: A Market Microstructure Perspective

SSRN Electronic Journal ◽

10.2139/ssrn.1343807 ◽

2010 ◽

Author(s):

Florian Bardong ◽

Söhnke M. Bartram ◽

Pradeep K. Yadav

Keyword(s):

Information Asymmetry ◽

Market Microstructure

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Fat Tails and Slumping Shoulders: Kurtosis and the Market Microstructure of Daily Stock Returns

SSRN Electronic Journal ◽

10.2139/ssrn.1364860 ◽

2009 ◽

Author(s):

Suman Banerjee ◽

David A. Lesmond ◽

Thomas H. Noe

Keyword(s):

Stock Returns ◽

Market Microstructure ◽

Fat Tails ◽

Daily Stock Returns

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Fed Speak: A Market Microstructure Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.687139 ◽

2005 ◽

Author(s):

John Elder ◽

Jang-Chul Kim

Keyword(s):

Market Microstructure ◽

Microstructure Analysis

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Stock Market Microstructure Measures of Information Asymmetry are Related to Marketwide Information

SSRN Electronic Journal ◽

10.2139/ssrn.951491 ◽

2006 ◽

Author(s):

Clara Vega ◽

Jin (Ginger) Wu

Keyword(s):

Stock Market ◽

Information Asymmetry ◽

Market Microstructure

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Corporate Break-ups and Information Asymmetry: A Market-Microstructure Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.966301 ◽

2007 ◽

Author(s):

Florian Bardong ◽

Söhnke M. Bartram ◽

Pradeep K. Yadav

Keyword(s):

Information Asymmetry ◽

Market Microstructure ◽

Microstructure Analysis

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A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2741911 ◽

2016 ◽

Author(s):

Yacine Ait-Sahalia ◽

Dacheng Xiu

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Hausman Test ◽

Market Microstructure Noise

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REITs and Market Microstructure: A Comprehensive Analysis of Market Quality

Journal of Real Estate Research ◽

10.1080/10835547.2017.12091464 ◽

2017 ◽

Vol 39 (1) ◽

pp. 65-98

Author(s):

Pawan Jain ◽

Mark Sunderman ◽

K. Janean Westby-Gibson

Keyword(s):

Market Microstructure ◽

Comprehensive Analysis ◽

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High-Frequency Data Analysis and Market Microstructure

Analysis of Financial Time Series ◽

10.1002/0471264105.ch5 ◽

2003 ◽

pp. 175-220

Keyword(s):

Data Analysis ◽

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

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