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Details about Kerry Back

Homepage:http://www.kerryback.net
Workplace:Department of Economics, Rice University, (more information at EDIRC)
Jesse H. Jones Graduate School of Management, Rice University, (more information at EDIRC)

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Short-id: pba1359


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Working Papers

2013

  1. Liquidity and Governance
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (2)

1995

  1. Long-Lived Information and Intraday Patterns
    Finance, University Library of Munich, Germany Downloads
    Also in Finance, University Library of Munich, Germany (1995) Downloads

    See also Journal Article in Journal of Financial Markets (1998)

1986

  1. Discrete Versus Continuous Trading in Securities Markets with Net Worth Constraints
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads
  2. Securities Market Equilibrium Without Bankruptcy: Contingent ClaimValuation and the Martingale Property
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads View citations (3)
  3. Structure of Consumption Sets and Existence of Equilibria in Infinite Dimensional Spaces
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads
    See also Journal Article in Journal of Mathematical Economics (1988)
  4. The Shadow Price of Information in Continuous Time Decision Problems
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads

1985

  1. On Neighboring Consumers
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads

1983

  1. Continuity of the Fenchel Transform of Convex Functions
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads
  2. Continuous and Hypograph Convergence of Utilities
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads

Journal Articles

2015

  1. The Informational Role of Stock and Bond Volume
    Review of Financial Studies, 2015, 28, (5), 1381-1427 Downloads View citations (1)

2014

  1. A characterization of the coskewness–cokurtosis pricing model
    Economics Letters, 2014, 125, (2), 219-222 Downloads

2013

  1. Strategic Liquidity Provision in Limit Order Markets
    Econometrica, 2013, 81, (1), 363-392 Downloads View citations (6)

2010

  1. Martingale Pricing
    Annual Review of Financial Economics, 2010, 2, (1), 235-250 Downloads View citations (3)

2009

  1. Open-Loop Equilibria and Perfect Competition in Option Exercise Games
    Review of Financial Studies, 2009, 22, (11), 4531-4552 Downloads View citations (28)

2007

  1. Working Orders in Limit Order Markets and Floor Exchanges
    Journal of Finance, 2007, 62, (4), 1589-1621 Downloads View citations (16)

2004

  1. Information in Securities Markets: Kyle Meets Glosten and Milgrom
    Econometrica, 2004, 72, (2), 433-465 Downloads View citations (45)

2001

  1. Auctions of divisible goods with endogenous supply
    Economics Letters, 2001, 73, (1), 29-34 Downloads View citations (54)

2000

  1. Imperfect Competition among Informed Traders
    Journal of Finance, 2000, 55, (5), 2117-2155 Downloads View citations (89)

1999

  1. Portfolio Turnpikes
    Review of Financial Studies, 1999, 12, (1), 165-95 View citations (21)

1998

  1. Long-lived information and intraday patterns
    Journal of Financial Markets, 1998, 1, (3-4), 385-402 Downloads View citations (47)
    See also Working Paper (1995)

1993

  1. Asymmetric Information and Options
    Review of Financial Studies, 1993, 6, (3), 435-72 Downloads View citations (72)
  2. Auctions of Divisible Goods: On the Rationale for the Treasury Experiment
    Review of Financial Studies, 1993, 6, (4), 733-64 Downloads View citations (184)
  3. Implied Probabilities in GMM Estimators
    Econometrica, 1993, 61, (4), 971-75 Downloads View citations (42)
  4. Incomplete Markets and Individual Risks
    Economic Theory, 1993, 3, (1), 35-42

1992

  1. GMM, maximum likelihood, and nonparametric efficiency
    Economics Letters, 1992, 39, (1), 23-28 Downloads View citations (1)
  2. Insider Trading in Continuous Time
    Review of Financial Studies, 1992, 5, (3), 387-409 Downloads View citations (110)

1991

  1. Asset pricing for general processes
    Journal of Mathematical Economics, 1991, 20, (4), 371-395 Downloads View citations (61)
  2. On the fundamental theorem of asset pricing with an infinite state space
    Journal of Mathematical Economics, 1991, 20, (1), 1-18 Downloads View citations (21)

1988

  1. Structure of consumption sets and existence of equilibria in infinite-dimensional spaces
    Journal of Mathematical Economics, 1988, 17, (1), 89-99 Downloads View citations (11)
    See also Working Paper (1986)

1987

  1. A compact space of transitive locally non-satiated preference relations
    Economics Letters, 1987, 24, (3), 253-256 Downloads

1986

  1. Concepts of similarity for utility functions
    Journal of Mathematical Economics, 1986, 15, (2), 129-142 Downloads View citations (4)

Books

2010

  1. Asset Pricing and Portfolio Choice Theory
    OUP Catalogue, Oxford University Press View citations (26)
 
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