What we measure in execution cost measurement

Journal of Financial Markets

Volumn 6, Issue 3, 2003, Pages 227-231

  Lehmann, Bruce N ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037403197     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(03)00005-3     Document Type: Editorial

References (3)

1. Ellis, K., Michaely, R., & O'Hara, M. (2000). The accuracy of trade classification rules: evidence from Nasdaq. Journal of Financial and Quantitative Analysis, 35 529-552.
2. Lee, C. M., & Ready, M. J. (1991). Inferring trade direction from intraday data. Journal of Finance, 46 733-746.
3. Roll, R. (1984). A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance, 39 1127-1139.