| Referências: |
Aggarwal, Reena, Pedro a. C. Saffi, e Jason Sturgess. 2015. “The Role of Institutional Investors in Voting: Evidence from the Securities Lending Market”. The Journal of Finance 70 (5): 2309–46. https://doi.org/10.1111/jofi.12284.
Alldredge, Dallin M., e David C. Cicero. 2015. “Attentive insider trading”. Journal of Financial Economics 115 (1): 84–101. https://doi.org/10.1016/j.jfineco.2014.09.005.
Antoniou, Constantinos, John A. Doukas, e Avanidhar Subrahmanyam. 2013. “Cognitive Dissonance, Sentiment, and Momentum”. Journal of Financial and Quantitative Analysis 48 (01): 245–75. https://doi.org/10.1017/S0022109012000592.
Barbedo, Claudio Henrique, Eduardo Camilo da Silva, e Ricardo Pereira Câmara Leal. 2009. “Probabilidade de informação privilegiada no mercado de ações, liquidez intra-diária e níveis de governança corporativa”. Revista Brasileira de Economia 63 (1): 51–62. https://doi.org/10.1590/S0034-71402009000100004.
Biais, Bruno, Thierry Foucault, e Sophie Moinas. 2015. “Equilibrium fast trading”. Journal of Financial Economics 116 (2): 292–313. https://doi.org/10.1016/j.jfineco.2015.03.004.
Black, Fischer, e Myron Scholes. 1973. “The Pricing of Options and Corporate Liabilities”. Journal of Political Economy 81 (3): 637–54.
Brennan, Michael, Sahn-Wook Huh, e Avanidhar Subrahmanyam. 2013. “An Analysis of the Amihud Illiquidity Premium”. Review of Asset Pricing Studies 3 (1): 133–76. https://doi.org/10.1093/rapstu/ras017.
Brennan, Michael J., Tarun Chordia, e Avanidhar Subrahmanyam. 1998. “Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1”. Journal of Financial Economics 49 (3): 345–73. https://doi.org/10.1016/S0304-405X(98)00028-2.
Brennan, Michael J., Sahn-Wook Huh, e Avanidhar Subrahmanyam. 2015. “High-frequency measures of information risk”. Available at SSRN 2578168. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2578168.
Brennan, Michael J., e Avanidhar Subrahmanyam. 1996. “Market microstructure and asset pricing: On the compensation for illiquidity in stock returns”. Journal of Financial Economics 41 (3): 441–64. https://doi.org/10.1016/0304-405X(95)00870-K.
Cheng, Si, Allaudeen Hameed, Avanidhar Subrahmanyam, e Sheridan Titman. 2014. “Short-Term Reversals: The Effects of Institutional Exits and Past Returns”. SSRN Scholarly Paper ID 2389408. Rochester, NY: Social Science Research Network. http://papers.ssrn.com/abstract=2389408.
Chen, Nai-Fu, Richard Roll, e Stephen A. Ross. 1986. “Economic Forces and the Stock Market”. The Journal of Business 59 (3): 383–403.
Chordia, Tarun, Sahn-Wook Huh, e Avanidhar Subrahmanyam. 2009. “Theory-Based Illiquidity and Asset Pricing”. Review of Financial Studies 22 (9): 3629–68. https://doi.org/10.1093/rfs/hhn121.
Chordia, Tarun, Richard Roll, e Avanidhar Subrahmanyam. 2000. “Commonality in liquidity”. Journal of Financial Economics 56 (1): 3–28. https://doi.org/10.1016/S0304-405X(99)00057-4.
———. 2001. “Market Liquidity and Trading Activity”. The Journal of Finance 56 (2): 501–30.
———. 2002. “Order imbalance, liquidity, and market returns”. Journal of Financial Economics 65 (1): 111–30. https://doi.org/10.1016/S0304-405X(02)00136-8.
———. 2008. “Liquidity and market efficiency”. Journal of Financial Economics 87 (2): 249–68. https://doi.org/10.1016/j.jfineco.2007.03.005.
———. 2011. “Recent trends in trading activity and market quality”. Journal of Financial Economics 101 (2): 243–63. https://doi.org/10.1016/j.jfineco.2011.03.008.
Chordia, Tarun, Asani Sarkar, e Avanidhar Subrahmanyam. 2005. “An Empirical Analysis of Stock and Bond Market Liquidity”. Review of Financial Studies 18 (1): 85–129. https://doi.org/10.1093/rfs/hhi010.
Chordia, Tarun, Avanidhar Subrahmanyam, e Qing Tong. 2014. “Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?” Journal of Accounting and Economics 58 (1): 41–58. https://doi.org/10.1016/j.jacceco.2014.06.001.
Daniel, Kent D., David Hirshleifer, e Avanidhar Subrahmanyam. 2001. “Overconfidence, Arbitrage, and Equilibrium Asset Pricing”. The Journal of Finance 56 (3): 921–65.
Daniel, Kent, David Hirshleifer, e Avanidhar Subrahmanyam. 1998. “Investor Psychology and Security Market Under- and Overreactions”. The Journal of Finance 53 (6): 1839–85. https://doi.org/10.1111/0022-1082.00077.
Fama, Eugene F. 1965. “The Behavior of Stock-Market Prices”. The Journal of Business 38 (1): 34–105.
———. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work”. The Journal of Finance 25 (2): 383–417. https://doi.org/10.2307/2325486.
———. 1991. “Efficient Capital Markets: II”. The Journal of Finance 46 (5): 1575–1617. https://doi.org/10.2307/2328565.
Hirshleifer, David, Avanidhar Subrahmanyam, e Sheridan Titman. 1994. “Security Analysis and Trading Patterns when Some Investors Receive Information Before Others”. The Journal of Finance 49 (5): 1665–98. https://doi.org/10.2307/2329267.
Holden, Craig W., e Avanidhar Subrahmanyam. 1992. “Long-Lived Private Information and Imperfect Competition”. The Journal of Finance 47 (1): 247–70. https://doi.org/10.2307/2329097.
Kahneman, Daniel, e Amos Tversky. 1979. “Prospect Theory: An Analysis of Decision under Risk”. Econometrica 47 (2): 263. https://doi.org/10.2307/1914185.
Lee, Inmoo, Michael Lemmon, Yan Li, e John M. Sequeira. 2014. “Do voluntary corporate restrictions on insider trading eliminate informed insider trading?” Journal of Corporate Finance 29: 158–78. https://doi.org/10.1016/j.jcorpfin.2014.07.005.
Lintner, John. 1965. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”. The Review of Economics and Statistics 47 (1): 13–37. https://doi.org/10.2307/1924119.
Markowitz, Harry. 1952. “Portfolio Selection*”. The Journal of Finance 7 (1): 77–91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x.
Merton, Robert C. 1973. “Theory of Rational Option Pricing”. The Bell Journal of Economics and Management Science 4 (1): 141–83. https://doi.org/10.2307/3003143.
Mossin, Jan. 1966. “Equilibrium in a Capital Asset Market”. Econometrica 34 (4): 768–83.
Roll, Richard, Eduardo Schwartz, e Avanidhar Subrahmanyam. 2009. “Options trading activity and firm valuation”. Journal of Financial Economics 94 (3): 345–60. https://doi.org/10.1016/j.jfineco.2009.02.002.
———. 2010. “O/S: The relative trading activity in options and stock”. Journal of Financial Economics 96 (1): 1–17. https://doi.org/10.1016/j.jfineco.2009.11.004.
———. 2014. “Trading activity in the equity market and its contingent claims: An empirical investigation”. Journal of Empirical Finance 28 (setembro): 13–35. https://doi.org/10.1016/j.jempfin.2014.05.007.
Sharpe, William F. 1964. “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk*”. The Journal of Finance 19 (3): 425–42. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x.
Subrahmanyam, Avanidhar. 1991. “A Theory of Trading in Stock Index Futures”. Review of Financial Studies 4 (1): 17–51. https://doi.org/10.1093/rfs/4.1.17.
———. 2008. “Behavioural Finance: A Review and Synthesis”. European Financial Management 14 (1): 12–29. https://doi.org/10.1111/j.1468-036X.2007.00415.x.
———. 2009. “Optimal financial education”. Review of Financial Economics 18 (1): 1–9. https://doi.org/10.1016/j.rfe.2008.10.003.
———. 2010. “The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research?” European Financial Management 16 (1): 27–42. https://doi.org/10.1111/j.1468-036X.2009.00520.x.
Subrahmanyam, Avanidhar, e Hui Zheng. 2015. “Limit Order Placement by High-Frequency Traders”. Available at SSRN 2688418. http://www.valuewalk.com/wp-content/uploads/2015/11/SSRN-id2688418.pdf.
Tirapat, Sunti, e Nuttawat Visaltanachoti. 2013. “Opportunistic insider trading”. Pacific-Basin Finance Journal 21 (1): 1046–61. https://doi.org/10.1016/j.pacfin.2012.07.006.
|
