The relation between stock market movements and NYSE seat prices

Journal of Finance

Volumn 55, Issue 6, 2000, Pages 2817-2840

  Keim, Donald B ^a   Madhavan, Ananth ^a  

^a ASSOCIATION OF SUPER ADVANCED ELECTRONICS TECHNOLOGIES ASET   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040196006     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00308     Document Type: Article

References (29)

1. Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.
2. Arnold, Thomas, Phillip Hersch, J. Harold Mulherin, and Jeffrey Netter, 1999, Merging markets, Journal of Finance 54, 1083-1107.
3. Bagnoli, Mark, and Robert Battalio, 1996, CBOT membership prices and the value of specialization: Theory and evidence, 1982-86, Working paper, Indiana University.
4. Campbell, John Y., 1987, Stock returns and the term structure, Journal of Financial Economics 18, 373-400.
5. Chiang, Raymond, Gerald Gay, and Robert Kolb, 1987, Commodity exchange seat prices, Review of Futures Markets 6, 1-10.
6. Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam, 1998, Commonality in liquidity, Working paper, University of California Los Angeles.
7. Doede, Robert W., 1967, The monopoly power of the New York Stock Exchange, Unpublished Dissertation, University of Chicago.
8. Fama, Eugene, and Kenneth R. French, 1988, Dividend yields and expected stock returns, Journal of Financial Economics 22, 3-25.
9. Fama, Eugene, and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
10. Fama, Eugene, and G. William Schwert, 1977, Asset returns and inflation, Journal of Financial Economics 77, 115-146.
11. Harvey, Campbell, 1991, The world price of covariance risk, Journal of Finance 46, 111-157.
12. Ip, Greg, and Deborah Lohse, 1998, Nasdaq plan with AMEX set for vote, The Wall Street Journal, March 18, C1.
13. Jarrell, Gregory A., 1984, Change at the exchange: The causes and effects of deregulation, Journal of Law and Economics 27, 273-312.
14. Keim, Donald B., and Ananth Madhavan, 1996, The upstairs market for large-block trades: Analysis and measurement of price effects, Review of Financial Studies 9, 1-36.
15. Keim, Donald B., and Ananth Madhavan, 1997, Transactions costs and investment style: An inter-exchange analysis of institutional equity trades, Journal of Financial Economics 46, 265-292.
16. Keim, Donald B., and Robert F. Stambaugh, 1986, Predicting returns in the stock and bond markets, Journal of Financial Economics 17, 357-390.
17. Kothari, S. P., and Jay Shanken, 1997, Book-to-market, dividend yield, and expected market returns: A time series analysis, Journal of Financial Economics 44, 169-203.
18. McGee, Susan, 1998, Stocks are in stratosphere, by some measures, The Wall Street Journal March 4, C1.
19. Merton, Robert C., 1980, On estimating the expected return on the market: An exploratory investigation, Journal of Financial Economics 8, 323-361.
20. Pontiff, Jeffery, and Lawrence D. Schall, 1998, Book-to-market ratios as predictors of stock returns, Journal of Financial Economics 49, 141-160.
21. Roeder, David, 1999, CSE seats become a hot commodity, Chicago Sun-Times February 18 Fin 46.
22. Schwert, G. William, 1977a, Stock exchange seats as capital assets, Journal of Financial Economics 4, 51-78.
23. Schwert, G. William, 1977b, Public regulation of national securities exchanges: A test of the capture hypothesis, Bell Journal of Economics 8, 128-150.
24. Schwert, G. William, 1989, Why does stock market volatility change over time, Journal of Finance 44, 1115-1154.
25. Schwert, G. William, 1990, Indexes of U.S. stock prices from 1802 to 1987, Journal of Business 63, 399-426.
26. Scruggs, John T., 1998, Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: A two-factor approach, Journal of Finance 53, 575-604.
27. Siegel, Jeremy, 1992, The equity premium: Stock and bond returns since 1802, Financial Analysts Journal 48, 28-38.
28. Stoll, Hans, 1979, Regulation of securities markets: An examination of the effects of increased competition, Monograph Series in Finance and Economics, New York University.
29. Working, Holbrook, 1960, Note on the correlation of first differences of averages in a random chain, Econometrica 28, 916-918.