- Abad, D., Cutillas-Gomariz, M. F., Sánchez-Ballesta, J. P., & Yagüe, J. (2018). Real earnings management and information asymmetry in the equity market. European Accounting Review, 27(2), 209-235.
- Admati, A. R. (1985). A noisy rational expectations equilibrium for multi-asset securities markets. Econometrica: Journal of the Econometric Society, 629-657.
- Admati, A. R., & Pfleiderer, P. (1986). A monopolistic market for information. Journal of Economic Theory, 39(2), 400-438.
- Admati, A. R., & Pfleiderer, P. (1987). Viable allocations of information in financial markets. Journal of Economic Theory, 43(1), 76-115.
- Admati, A. R., & Pfleiderer, P. (1988). A theory of intraday patterns: Volume and price variability. The review of financial studies, 1(1), 3-40.
- Admati, A. R., & Pfleiderer, P. (1990). Direct and indirect sale of information. Econometrica: Journal of the Econometric Society, 901-928.
- Aigbovo, O., & Isibor, B. (2017). Market Microstructure: A Review of Literature. Research Journal of Financial Sustainable Reporting, 2(2), 116-143.
- Aktas, N., De Bodt, E., Declerck, F., & Van Oppens, H. (2007). The PIN anomaly around M&A announcements. Journal of Financial Markets, 10(2), 169-191.
- Amihud, Y., & Mendelson, H. (1980). Dealership market: Market-making with inventory. Journal of financial economics, 8(1), 31-53.
- Asmar, M., & Ahmad, Z. (2011). Market microstructure: The components of black-box. International Journal of Economics and Finance, 3(1), 152-159.
- Bagehot, W. (1971). The only game in town. Financial Analysts Journal, 27(2), 12-14.
- Breon-Drish, B. (2015). On existence and uniqueness of equilibrium in a class of noisy rational expectations models. The Review of Economic Studies, 82(3), 868-921.
- Copeland, T. E., & Galai, D. (1983). Information effects on the bid‐ask spread. the Journal of Finance, 38(5), 1457-1469.
- Easley, D., de Prado, M. L., & O’Hara, M. (2010). Measuring flow toxicity in a high frequency world. Unpublished Working paper, Cornell University and Tudor Investment Corp.
- Easley, D., Engle, R. F., O'Hara, M., & Wu, L. (2008). Time-varying arrival rates of informed and uninformed trades. Journal of Financial Econometrics, 6(2), 171-207.
- Easley, D., Hvidkjaer, S., & O'hara, M. (2002). Is information risk a determinant of asset returns? The journal of finance, 57(5), 2185-2221.
- Easley, D., Kiefer, N. M., & O'hara, M. (1996). Cream‐skimming or profit‐sharing? The curious role of purchased order flow. The Journal of Finance, 51(3), 811-833.
- Easley, D., Kiefer, N. M., & O'Hara, M. (1997). One day in the life of a very common stock. The Review of Financial Studies, 10(3), 805-835.
- Easley, D., Kiefer, N. M., O'hara, M., & Paperman, J. B. (1996). Liquidity, information, and infrequently traded stocks. The Journal of Finance, 51(4), 1405-1436.
- Easley, D., López de Prado, M. M., & O'Hara, M. (2012). Flow toxicity and liquidity in a high-frequency world. The Review of Financial Studies, 25(5), 1457-1493.
- Easley, D., & O'hara, M. (1987). Price, trade size, and information in securities markets. Journal of Financial economics, 19(1), 69-90.
- Easley, D., & O'hara, M. (1992). Time and the process of security price adjustment. The Journal of finance, 47(2), 577-605.
- Easley, D., & O'hara, M. (2004). Information and the cost of capital. The journal of finance, 59(4), 1553-1583.
- Easley, D., O'hara, M., & Saar, G. (2001). How stock splits affect trading: A microstructure approach. Journal of Financial and Quantitative analysis, 36(1), 25-51.
- Foster, F. D., & Viswanathan, S. (1996). Strategic trading when agents forecast the forecasts of others. The Journal of Finance, 51(4), 1437-1478.
- Gao, F., Song, F., & Wang, J. (2013). Rational expectations equilibrium with uncertain proportion of informed traders. Journal of Financial Markets, 16(3), 387-413.
- Garman, M. B. (1976). Market microstructure. Journal of financial Economics, 3(3), 257-275.
- Glosten, L. R., & Milgrom, P. R. (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of financial economics, 14(1), 71-100.
- Grossman, S. J., & Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. The American economic review, 70(3), 393-408.
- Hasbrouck, J. (1991a). Measuring the information content of stock trades. The Journal of Finance, 46(1), 179-207.
- Hasbrouck, J. (1991b). The summary informativeness of stock trades: An econometric analysis. The Review of Financial Studies, 4(3), 571-595.
- Hellwig, M. F. (1980). On the aggregation of information in competitive markets. Journal of economic theory, 22(3), 477-498.
- Ho, T. S., & Stoll, H. R. (1981). Optimal dealer pricing under transactions and return uncertainty. Journal of Financial economics, 9(1), 47-73.
- Ho, T. S., & Stoll, H. R. (1983). The dynamics of dealer markets under competition. The Journal of finance, 38(4), 1053-1074.
- Huang, R. D., & Stoll, H. R. (1994). Market microstructure and stock return predictions. The Review of Financial Studies, 7(1), 179-213.
- Huang, R. D., & Stoll, H. R. (1997). The components of the bid-ask spread: A general approach. The Review of Financial Studies, 10(4), 995-1034.
- Jaffe, J. F., & Winkler, R. L. (1976). Optimal speculation against an efficient market. The Journal of Finance, 31(1), 49-61.
- Jones, C. M., Kaul, G., & Lipson, M. L. (1994). Information, trading, and volatility. Journal of Financial Economics, 36(1), 127-154.
- Keim, D. B., & Madhavan, A. (1995). Anatomy of the trading process empirical evidence on the behavior of institutional traders. Journal of Financial Economics, 37(3), 371-398.
- Keim, D. B., & Madhavan, A. (1997). Transactions costs and investment style: an inter-exchange analysis of institutional equity trades. Journal of Financial Economics, 46(3), 265-292.
- Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, 1315-1335.
- Leland, H. E. (1992). Insider trading: Should it be prohibited? Journal of Political Economy, 100(4), 859-887.
- Madhavan, A. (2000). Market microstructure: A survey. Journal of financial markets, 3(3), 205-258.
- Madhavan, A., Richardson, M., & Roomans, M. (1997). Why do security prices change? A transaction-level analysis of NYSE stocks. The Review of Financial Studies, 10(4), 1035-1064.
- Madhavan, A., & Smidt, S. (1991). A Bayesian model of intraday specialist pricing. Journal of Financial Economics, 30(1), 99-134.
- McInish, T. H., & Wood, R. A. (1992). An analysis of intraday patterns in bid/ask spreads for NYSE stocks. the Journal of Finance, 47(2), 753-764.
- O'Hara, M. (2003). Presidential address: Liquidity and price discovery. The journal of Finance, 58(4), 1335-1354.
- O’Hara, M. (1995). Market Microstructure TheoryBlackwell. Cambridge, MA.
- Roll, R. (1984). A simple implicit measure of the effective bid‐ask spread in an efficient market. The Journal of finance, 39(4), 1127-1139.
- Spulber, D. F. (1996). Market microstructure and intermediation. Journal of Economic perspectives, 10(3), 135-152.
- Stoll, H. R. (1978). The supply of dealer services in securities markets. The Journal of Finance, 33(4), 1133-1151.
- Verrecchia, R. E. (1982). Information acquisition in a noisy rational expectations economy. Econometrica: Journal of the Econometric Society, 1415-1430.
|