Common factors in prices, order flows, and liquidity

Journal of Financial Economics

Volumn 59, Issue 3, 2001, Pages 383-411

  Hasbrouck, Joel ^a   Seppi, Duane J ^b  

^a NEW YORK UNIVERSITY   (United States)

^b CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

Common factors; Equities; G14; Liquidity; Microstructure

Indexed keywords

EID: 0000760894     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0304-405x(00)00091-x     Document Type: Article

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