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Information, trading, and volatility

, , and . Journal of Financial Economics, 36 (1): 127--154 (August 1994)

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Macroeconomic news and bond market volatility, , and . Journal of Financial Economics, 47 (3): 315--337 (March 1998)Short-sale constraints and stock returns, and . Journal of Financial Economics, 66 (2-3): 207--239 (00 2002)Sixteenths: direct evidence on institutional execution costs, and . Journal of Financial Economics, 59 (2): 253--278 (February 2001)Information, trading, and volatility, , and . Journal of Financial Economics, 36 (1): 127--154 (August 1994)