Market Efficiency in Real-Time

By Jeffrey A. Busse, T. Green. 2002

329 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/962dc6ecb85e89bc9db1ad00b67a43438f269a69

Citations in the corpus

• The Marketing of Seasoned Equity Offerings (2010, unknown): “Busse and Green (2002) report that trading volume for Nasdaq-listed stocks increases by an average of 300,000 shares in the four minutes after an analyst has mentioned a stock favorably on CNBC’s Midday Call segment.”
• Weather and intraday patterns in stock returns and trading activity (2008, unknown): “Third, intraday data permit a more reliable and efficient estimation of the effect of psychological factors on share prices (Barclay and Litzenberger, 1988; Busse and Green, 2002).”
• All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2008, unknown): “For example, when Maria Bartiromo mentions a stock during the Midday Call on CNBC, volume in the stock increases nearly fivefold (on average) in the minutes following the mention (Busse and Green (2002)).”
• Economic Consequences of the Sarbanes-Oxley Act of 2002 (2007, unknown): “Second, as intraday returns are not normally distributed (Busse and Green, 2002), I use non-parametric bootstrapping tests to determine the statistical significance of intraday returns.”
• customers as advisors: the role of social media in financial markets (2011, unknown): “This study contributes to the growing body of literature that examines the media’s effect on stock markets (e.g., Barber and Loeffler (1993); Busse and Green (2002); Antweiler and Frank (2006); Tetlock (2007); Engelberg (2008); Tetlock et al. (2008); Fang and Peress (2009); Engelberg and Parsons…”
• Empirical evaluation of an automated intraday stock recommendation system incorporating both market data and textual news (2014, unknown): “Examples of such joint patterns have been described in [7] and [45].”
• News Trading and Speed (2012, unknown): “That is, (a) the informed investor’s trading strategy is optimal given dealers’ pricing policy and (b) dealers’ pricing policy follows equations (6) or (7) (depending on the model) with dyt = dut + dx ∗ t where dx ∗ t is the optimal trading strategy for the informed investor.”
• On the Information Role of Stock Recommendation Revisions (2009, unknown): “These results are robust to wider windows of one hour and two hours and they agree with growing evidence showing that stock prices react in minutes to new information (Dann et al., 1977; Barclay and Litzenberger, 1988; Kim et al., 1997; Busse and Green, 2002; Chordia et al., 2008).”