Market maker inventories and stock prices

American Economic Review

Volumn 97, Issue 2, 2007, Pages 210-214

  Hendershott, Terrence ^a   Seasholes, Mark S ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34547310247     PISSN: 00028282     EISSN: None     Source Type: Journal    
DOI: 10.1257/aer.97.2.210     Document Type: Conference Paper

References (11)

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2. Campbell, John Y., Sanford J. Grossman, and Jiang Wang. 1993. "Trading Volume and Serial Correlation in Stock Returns." Quarterly Journal of Economics, 108(4): 905-39.
3. Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam. 2002. "Order Imbalance, Liquidity, and Market Returns." Journal of Financial Economics, 65(1): 111-30.
4. Grossman, Sanford J., and Merton H. Miller. 1988. "Liquidity and Market Structure." Journal of Finance, 43(3): 617-37.
5. Hasbrouck, Joel, and George Sofianos. 1993. "The Trades of Market-Makers: An Analysis of NYSE Specialists." Journal of Finance, 48(5): 1565-93.
6. Ho, Thomas, and Hans R. Stoll. 1981. "Optimal Dealer Pricing under Transactions and Return Uncertainty." Journal of Financial Economics, 9(1): 47-73.
7. Kraus, Alan, and Hans R. Stoll. 1972. "Price Impacts of Block Trading on the New York Stock Exchange." Journal of Finance, 27(3): 569-88.
8. Lehmann, Bruce N. 1990. "Fads, Martingales, and Market Efficiency." Quarterly Journal of Economics, 105(1): 1-28.
9. Madhavan, Ananth, and Seymour Smidt. 1993. "An Analysis of Changes in Specialist Inventories and Quotations." Journal of Finance, 48(5): 1595-1628.
10. Pastor, Lubos, and Robert F. Stambaugh. 2003. "Liquidity Risk and Expected Stock Returns." Journal of Political Economy, 111(3): 642-85.
11. Roll, Richard. 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market." Journal of Finance, 39(4): 1127-39.