Three essays on market microstructure
This dissertation studies price discovery processes, stock order imbalances, and trading patterns around seasoned equity offerings. First chapter studies how the volatility of a stock is affected by the trading activity of other stocks. I construct a model of price discovery process after a public a...
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| Format: | Others |
| Language: | en |
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VANDERBILT
2009
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| Online Access: | http://etd.library.vanderbilt.edu/available/etd-06182009-123724/ |