Liquidity, information, and infrequently traded stocks

Journal of Finance

Volumn 51, Issue 4, 1996, Pages 1405-1436

  Easley, David ^a   Kiefer, Nicholas M ^a   O'Hara, Maureen ^a   Paperman, Joseph B ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040898818     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1996.tb04074.x     Document Type: Article

References (13)

1. Amihud, Y., and H. Mendleson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.
2. Brennan, M. J., Jegadeesh, N., and B. Swaminathan, 1993, Investment analysis and the adjustment of stock prices to common information, Review of Financial Studies 6, 799-824.
3. Brennan, M. J., and A. Subrahmanyam, 1994, Market microstructure and asset pricing: On the compensation for adverse selection in stock returns, Working paper, UCLA.
4. Easley, D., and M. O'Hara, 1987, Price, trade size, and information in securities markets, Journal of Financial Economics 19, 69-90.
5. Easley, D., Kiefer, N., and M. O'Hara, 1993, One day in the life of a very common stock, Working paper, Cornell University.
6. Glosten, L., and P. Milgrom, 1985, Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 13, 71-100.
7. Goldberger, A. S., 1991, A Course in Econometrics (Harvard University Press, Cambridge, Mass.).
8. Hasbrouck, J., 1988, Trades, quotes, inventory, and information, Journal of Financial Economics 22, 229-252.
9. Hasbrouck, J., 1991, Measuring the information content of stock trades, Journal of Finance 46, 179-207.
10. Kyle, A., 1985, Continuous auctions and insider trading, Econometrica 53, 1315-1336.
11. Lee, C., and M. Ready, 1991, Inferring trade direction from intraday data, Journal of Finance 46, 733-746.
12. O'Hara, M., Market Microstructure Theory, 1995, (Blackwell Publishers, Cambridge, Mass.).
13. Pagano, M., and A. Roell, 1996, Transparency and liquidity: A comparison of auction and dealer markets with informed trading, Journal of Finance, 51, 579-612.