Easley is from the Department of Economics, Cornell University. O'Hara is from Johnson Graduate School of Management, Cornell University. We would like to thank Judson Caskie, Scott Condie, Thiery Foucault, Simon Gervais, Carole Gresse, Tim Riddiough, Gideon Saar, two referees, and Cam Harvey (the Editor), as well as seminar participants at Collegio Carlo Alberto, Cornell, HKUST, ISCTE, Singapore Management University, the University of Miami, the University of Porto, the University of Wisconsin, the Euronext—Universite Paris Dauphine conference (March 2006), the NBER Market Microstructure meetings (May 2007), and the Western Finance Association Meetings (2007) for helpful comments and suggestions.
Microstructure and Ambiguity
Version of Record online: 21 SEP 2010
© 2010 the American Finance Association
The Journal of Finance
Volume 65, Issue 5, pages 1817–1846, October 2010
How to Cite
EASLEY, D. and O'HARA, M. (2010), Microstructure and Ambiguity. The Journal of Finance, 65: 1817–1846. doi: 10.1111/j.1540-6261.2010.01595.x
- Issue online: 21 SEP 2010
- Version of Record online: 21 SEP 2010
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