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Volumn 52, Issue 5, 1997, Pages 2113-2127

Cost of transacting and expected returns in the Nasdaq market

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0040063451     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1997.tb02754.x     Document Type: Article
Times cited : (111)

References (17)
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    • Amihud, Y.1    Mendelson, H.2
  • 4
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    • Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
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    • Brennan, M.J.1    Subrahmanyam, A.2
  • 6
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    • Why do Nasdaq market makers avoid odd-eighth quotes?
    • Christie, William G., and Paul H. Schultz, 1994, Why do Nasdaq market makers avoid odd-eighth quotes?, Journal of Finance 49, 1813-1840.
    • (1994) Journal of Finance , vol.49 , pp. 1813-1840
    • Christie, W.G.1    Schultz, P.H.2
  • 7
    • 84993843848 scopus 로고
    • Why do Nasdaq market makers stop avoiding odd-eighth quotes?
    • Christie, William G., Jeffrey H. Harris, and Paul H. Schultz, 1994, Why do Nasdaq market makers stop avoiding odd-eighth quotes?, Journal of Finance 49, 1841-1860.
    • (1994) Journal of Finance , vol.49 , pp. 1841-1860
    • Christie, W.G.1    Harris, J.H.2    Schultz, P.H.3
  • 8
    • 0011572323 scopus 로고
    • The seasonal behavior of the liquidity premium in asset pricing
    • Eleswarapu, Venkat R., and Marc R. Reinganum, 1993, The seasonal behavior of the liquidity premium in asset pricing, Journal of Financial Economics 34, 373-386.
    • (1993) Journal of Financial Economics , vol.34 , pp. 373-386
    • Eleswarapu, V.R.1    Reinganum, M.R.2
  • 9
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    • Cross-section of expected stock returns
    • Fama, Eugene F., and Kenneth French, 1992, Cross-section of expected stock returns, Journal of Finance 47, 429-465.
    • (1992) Journal of Finance , vol.47 , pp. 429-465
    • Fama, E.F.1    French, K.2
  • 10
    • 0000928969 scopus 로고
    • Risk, return, and equilibrium: Empirical tests
    • Fama, Eugene F., and James D. Macbeth, 1973, Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 71, 607-636.
    • (1973) Journal of Political Economy , vol.71 , pp. 607-636
    • Fama, E.F.1    Macbeth, J.D.2
  • 12
    • 0030191637 scopus 로고    scopus 로고
    • Dealer versus auction markets: A paired comparison of execution costs on the Nasdaq and the NYSE
    • Huang, Roger D., and Hans R. Stoll, 1996, Dealer versus auction markets: A paired comparison of execution costs on the Nasdaq and the NYSE, Journal of Financial Economics 41, 313-357.
    • (1996) Journal of Financial Economics , vol.41 , pp. 313-357
    • Huang, R.D.1    Stoll, H.R.2
  • 15
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    • Posted versus effective spreads: Good prices or bad quotes?
    • Petersen, Mitchell A., and David Fialkowski, 1994, Posted versus effective spreads: Good prices or bad quotes?, Journal of Financial Economics 35, 269-292.
    • (1994) Journal of Financial Economics , vol.35 , pp. 269-292
    • Petersen, M.A.1    Fialkowski, D.2
  • 17
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    • An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias
    • Zellner, Arnold, 1962, An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias, Journal of American Statistical Association 57, 348-368.
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    • Zellner, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.