Catching Falling Knives: Speculating on Liquidity Shocks

Published Online:https://doi.org/10.1287/mnsc.2016.2440

References

  • Anand A, Irvine P, Puckett A, Venkataraman K (2013) Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis. J. Financial Econom. 108(3):773–797.CrossrefGoogle Scholar
  • Aragon GO, Strahan PE (2012) Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy. J. Financial Econom. 103(3):570–587.CrossrefGoogle Scholar
  • Avery C, Zemsky P (1998) Multidimensional uncertainty and herd behavior in financial markets. Amer. Econom. Rev. 88(4):724–748.Google Scholar
  • Back K, Baruch S (2004) Information in securities markets: Kyle meets Glosten and Milgrom. Econometrica 72(2):433–465.CrossrefGoogle Scholar
  • Bai J, Philippon T, Savov A (2016) Have financial markets become more informative? J. Financial Econom. 122(3):625–654.CrossrefGoogle Scholar
  • Banerjee S, Davis J, Gondhi N (2015) When transparency improves, must prices reflect fundamentals better? Working paper, University of California, San Diego, La Jolla.Google Scholar
  • Baron MD, Brogaard J, Kirilenko AA (2014) Risk and return in high frequency trading. Working paper, Cornell University, Ithaca, NY.CrossrefGoogle Scholar
  • Biais B, Declerck F, Moinas S (2015) Who supplies liquidity, how and when? Working paper, Toulouse School of Economics, Toulouse, France.Google Scholar
  • Blume L, Easley D, O’Hara M (1994) Market statistics and technical analysis: The role of volume. J. Finance 49(1):153–181.CrossrefGoogle Scholar
  • Brogaard J, Hendershott T, Riordan R (2014) High frequency trading and price discovery. Rev. Financial Stud. 27(8):2267–2306.CrossrefGoogle Scholar
  • Brogaard J, Carrion A, Moyaert T, Riordan R, Shkilko A, Sokolov K (2015) High-frequency trading and extreme price movements. Working paper, University of Washington, Seattle.Google Scholar
  • Brown DP, Jennings RH (1989) On technical analysis. Rev. Financial Stud. 2(4):527–551.CrossrefGoogle Scholar
  • Brunnermeier MK, Pedersen LH (2005) Predatory trading. J. Finance 60(4):1825–1863.CrossrefGoogle Scholar
  • Carrion A (2013) Very fast money: High-frequency trading on the NASDAQ. J. Financial Markets 16(4):680–711.CrossrefGoogle Scholar
  • Cella C, Ellul A, Giannetti M (2013) Investors’ horizons and the amplification of market shocks. Rev. Financial Stud. 26(7):1607–1648.CrossrefGoogle Scholar
  • Cespa G, Foucault T (2014) Sale of price information by exchanges: Does it promote price discovery? Management Sci. 60(1):148–165.LinkGoogle Scholar
  • Cespa G, Vives X (2015) The beauty contest and short-term trading. J. Finance 70(5):2099–2154.CrossrefGoogle Scholar
  • Chordia T, Roll R, Subrahmanyam A (2005) Evidence on the speed of convergence to market efficiency. J. Financial Econom. 76(2):271–292.CrossrefGoogle Scholar
  • Cochrane JH (2013) Finance: Function matters, not size. J. Econom. Perspect. 27(2):29–50.CrossrefGoogle Scholar
  • Coval J, Stafford E (2007) Asset fire sales (and purchases) in equity markets. J. Financial Econom. 86(2):479–512.CrossrefGoogle Scholar
  • Da Z, Gao P, Jagannathan R (2011) Impatient trading, liquidity provision, and stock selection by mutual funds. Rev. Financial Stud. 24(3):675–720.CrossrefGoogle Scholar
  • De Long JB, Shleifer A, Summers LH, Waldmann RJ (1990) Positive feedback investment strategies and destabilizing rational speculation. J. Finance 45(2):379–395.CrossrefGoogle Scholar
  • Duffie D (2010) Presidential address: Asset price dynamics with slow-moving capital. J. Finance 65(4):1237–1267.CrossrefGoogle Scholar
  • Dugast J, Foucault T (2014) False news, informational efficiency, and price reversals. Working paper, HEC Paris, Paris.CrossrefGoogle Scholar
  • Easley D, O’Hara M (1992) Time and the process of security price adjustment. J. Finance 47(2):576–605.CrossrefGoogle Scholar
  • Easley D, Kiefer NM, O’Hara M, Paperman JB (1996) Liquidity, information, and infrequently traded stocks. J. Finance 51(4):1405–1436.CrossrefGoogle Scholar
  • Easley D, O’Hara M, Yang L (2016) Differential access to price information in financial markets. J. Financial Quant. Anal. 122(3):625–654.Google Scholar
  • Ganguli J, Yang L (2009) Complementarities, multiplicity and supply information. J. Eur. Econom. Assoc. 7(1):90–115.CrossrefGoogle Scholar
  • Gao F, Song F, Wang J (2013) Rational expectations equilibrium with uncertain proportion of informed traders. J. Financial Markets 16(3):387–413.CrossrefGoogle Scholar
  • Gennotte G, Leland H (1990) Market liquidity, hedging, and crashes. Amer. Econom. Rev. 80(5):999–1021.Google Scholar
  • Giannetti M, Kahraman B (2014) Who trades against mispricing? Working paper, Stockholm School of Economics, Stockholm.CrossrefGoogle Scholar
  • Glosten LR (2010) Welfare cost of informed trade. Working paper, Columbia University, New York.Google Scholar
  • Glosten LR, Harris LE (1988) Estimating the components of the bid/ask spread. J. Financial Econom. 21(1):123–142.CrossrefGoogle Scholar
  • Glosten LR, Milgrom PR (1985) Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. J. Financial Econom. 14(1):71–100.CrossrefGoogle Scholar
  • Goldstein I, Yang L (2015) Information diversity and complementarities in trading and information acquisition. J. Finance 70(4):1723–1765.CrossrefGoogle Scholar
  • Grundy BD, McNichols M (1989) Trade and the revelation of information through prices and direct disclosure. Rev. Financial Stud. 2(4):495–526.CrossrefGoogle Scholar
  • Jacklin CJ, Kleidon AW, Pfleiderer P (1992) Underestimation of portfolio insurance and the crash of October 1987. Rev. Financial Stud. 5(1):35–63.CrossrefGoogle Scholar
  • Korajczyk R, Murphy D (2015) High frequency market making to large institutional trades. Working paper, Northwestern University, Evanston, IL.CrossrefGoogle Scholar
  • Lee S (2013) Active investment, liquidity externalities, and markets for information. Working paper, Santa Clara University, Santa Clara, CA.Google Scholar
  • Madrigal V (1996) Non-fundamental speculation. J. Finance 51(2):553–578.CrossrefGoogle Scholar
  • Malinova K, Park A (2014) The impact of competition and information on intraday trading. J. Banking Finance 44(July):55–71.CrossrefGoogle Scholar
  • Menkveld A, Yueshen B (2013) Middlemen interaction and its effect on market quality. Working paper, VU University Amsterdam, Amsterdam.Google Scholar
  • O’Hara M (2015) High frequency market microstructure. J. Financial Econom. 116(2):257–270.CrossrefGoogle Scholar
  • Park A, Sabourian H (2011) Herding and contrarian behavior in financial markets. Econometrica 79(4):973–1026.CrossrefGoogle Scholar
  • Pedersen LH (2015) Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined (Princeton University Press, Princeton, NJ).CrossrefGoogle Scholar
  • Schneider J (2009) A rational expectations equilibrium with informative trading volume. J. Finance 64(6):2783–2805.CrossrefGoogle Scholar
  • Van Kervel V, Menkveld A (2015) High-frequency trading around large institutional orders. Working paper, Pontifical Catholic University of Chile, Santiago.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.