Clifton Green

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This paper uses intraday data from the interdealer government bond market to investigate the effects of scheduled macroeconomic announcements on prices, trading volume, and bid-ask spreads. We find that 17 public news releases, as measured by the surprise in the announced quantity, have a significant impact on the price of at least one of the following(More)
This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to(More)
Order Imbalance and Individual Stock Returns This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a model which explicitly considers how market makers dynamically accommodate autocorrelated imbalances emanating from large traders who optimally choose to split their orders. Price(More)
This paper examines newly-available intra-day data from the interdealer government bond market to investigate the effects of economic-news announcements on prices, trading volume, and bid-ask spreads. The use of this new data set together with data on market expectations allows us to obtain new and different results regarding which announcements are(More)
We study the role played by private and public information in the process of price formation in the U.S. Treasury bond market. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions – information heterogeneity and imperfect competition among informed traders – and a public signal. We(More)
We examine whether the firm-level asset growth effects documented in Cooper, Gulen, and Schill (2008) extend to the aggregate stock market. We find that aggregate asset growth is a robust negative predictor of future stock market returns. The return predictability is short-term but economically large, and holds both in and out-ofsample. Consistent with the(More)
  • C Green
  • Psychiatric journal of the University of Ottawa…
  • 1990
This paper summarizes the development of the concept of metachoric experiences from 1961 onwards. The name of metachoric experience was given to one in which the whole of the environment was replaced by a hallucinatory one, although this may provide a precise replica of the physical world and appear to be completely continuous with normal experience. Prior(More)
We examine how sell-side analysts allocate their effort among firms in their research portfolios and the consequences of their effort allocation decisions. We show that analysts play favorites among portfolio firms by devoting more effort to firms that are relatively more important for their career concerns. Specifically, controlling for analyst and firm(More)
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