Market Making with Costly Monitoring: An Analysis of the SOES Controversy

Review of Financial Studies

Volumn 16, Issue 2, 2003, Pages 345-384

  Foucault, Thierry ^a   Röell, Ailsa ^b   Sandås, Patrik ^c  

^a HEC PARIS   (France)

^b PRINCETON UNIVERSITY   (United States)

^c UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0344543121     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/hhg005     Document Type: Article

References (14)

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2. Battalio, R., B. Hatch, and R. Jennings, 1997, "SOES Trading and Market Volatility," Journal of Financial and Quantitative Analysis, 32, 225-238.
3. Bernhardt, D., V. Dvoracek, E. Hughson, and I. Werner, 2003, "Why Do Large Orders Receive Discounts on the London Stock Exchange?" working paper, University of Colorado.
4. Copeland, T., and D. Galai, 1983, "Information Effects on the Bid-Ask Spread," Journal of Finance, 38, 1457-1469.
5. Dennert, J., 1993, "Price Competition Between Market Makers," Review of Economic Studies, 60, 735-751.
6. General Accounting Office, 1995, "The Effects of SOES on the Nasdaq Market," Report no. 98-194, U.S. General Accounting Office, Washington, DC.
7. Harris, L., 1994, "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes," Review of Financial Studies, 7, 149-178.
8. Harris, J., and P. Schultz, 1997, "The Importance of Firm Quotes and Rapid Executions: Evidence from the January 1994 SOES Rules Change," Journal of Financial Economics, 45, 135-166.
9. Harris, J., and P. Schultz, 1998, "The Trading Profits of SOES Bandits," Journal of Financial Economics, 50, 39-62.
10. Hinden, S., 1994, "Nasdaq's Big Guns Send Trading Bandits Packing," Washington Post, February 7, p. F33.
11. Houtkin, H., 1998, Secrets of the SOES Bandit, McGraw-Hill, Hightstown, NJ.
12. Kandel, E., and L. Marx, 1999, "Odd-Eight Avoidance as a Defense Against SOES Bandits," Journal of Financial Economics, 51, 85-102.
13. Kumar, P., and D. Seppi, 1994, "Information and Index Arbitrage," Journal of Business. 67, 481-509.
14. Whitcomb, D., 1998, "The NASDAQ Small Order Execution System: Myth and Reality," testimony before the House Committee on Commerce, Subcommittee on Finance, August 3.