Price improvement and price discovery on a primary market: Evidence from the American stock exchange

Journal of Portfolio Management

Volumn 25, Issue 3, 1999, Pages 55-64

  Handa, Puneet ^a   Schwartz, Robert A ^b   Tiwari, Ashish ^a  

^a UNIVERSITY OF IOWA   (United States)

^b CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033095690     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1999.319713     Document Type: Article

References (8)

1. Battalio, Robert, Brian Hatch, and Robert Jennings. "The Quality of Trade Execution on Regional Exchanges." Working paper, 1996.
2. Bloch, Ernest, and Robert A. Schwartz. "The Great Debate over NYSE Rule 390." Journal of Portfolio Management, Fall 1978, pp. 5-8.
3. Blume, Marshall E., and Michael A. Goldstein. "Quotes, Order Flow, and Price Discovery." Journal of Finance, March 1997, pp. 221-244.
4. Handa, Puneet, and Robert A. Schwartz. "Dynamic Price Discovery." Review of Quantitative Finance and Accounting, July 1996, pp. 5-28.
5. Hasbrouck, Joel. "One Security, Many Markets: Determining the Contributions to Price Discovery." Journal of Finance, September 1995, pp. 1175-1199.
6. Petersen, M., and D. Fialkowski. "Posted Versus Effective Spreads: Good Prices or Bad Quotes?" Journal of Financial Economics, Vol. 35 (1994), pp. 269-292.
7. Ross, Katharine D., James E. Shapiro, and Katherine A. Smith. "Price Improvement of Super Dot Market Orders on the NYSE." NYSE working paper, 1996.
8. Schreiber, Paul, and Robert A. Schwartz. "Price Discovery in Securities Markets." Journal of Portfolio Management, Summer 1986, pp. 43-48.