347 Jacobs Management Center
State University of New York (SUNY) - Department of Finance
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Kalman filter, asset pricing, dynamic factors
Options Market Making, Hedging, Informed Trading, Information Asymmetry, Adverse Selection, Bid-Ask Spreads
Volume, Market Efficiency, Liquidity
illiquidity, Kyle lambda, theory-based illiquidity, asset pricing
SEOs, order imbalance, market efficiency
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Information Asymmetry; Decomposition of PIN; Good-News PIN; Bad-News PIN; Earnings Announcements; Earnings Surprises; CAR; SUE; Cost of Equity Capital
Price-Impact Parameters, Order Flows, High-Frequency-Based Measures, Illiquidity, Adverse-Selection, Asset Pricing
High-Frequency Measures of Information Asymmetry; Daily Conditional Probability of Informed Trading; Good- and Bad-News Components; Earnings Surprises; CAR; SUE
Order Flows, Lee-Ready Method, Holden-Jacobsen Algorithm, Trading Costs, Order-Processing Cost, Inventory-Holding Cost, Non-Information Cost, Information Asymmetry, Adverse-Section Cost, Asset Pricing, Equilibrium Returns
Information Asymmetry; Informed Trading; Price Impact; Order Imbalance; Conditional Probability of Informed Trading; Corporate Innovation; Patenting Activities; Product Similarity Scores; Cross-Firm Effects in Rival Firms
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