메뉴 건너뛰기




Volumn 63, Issue 6, 2008, Pages 3031-3067

Limited attention and the allocation of effort in securities trading

Author keywords

[No Author keywords available]

Indexed keywords


EID: 55949091140     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2008.01420.x     Document Type: Article
Times cited : (140)

References (55)
  • 2
    • 84984485371 scopus 로고
    • The neglected and small firm effects
    • Arbel, Avner, and Paul Strebel, 1982, The neglected and small firm effects, Financial Review 17, 201 218.
    • (1982) Financial Review , vol.17 , pp. 201-218
    • Arbel, A.1    Strebel, P.2
  • 3
    • 38049051830 scopus 로고    scopus 로고
    • All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors
    • Barber, Brad M., and Terrance Odean, 2008, All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors, Review of Financial Studies 21, 785 818.
    • (2008) Review of Financial Studies , vol.21 , pp. 785-818
    • Barber, B.M.1    Odean, T.2
  • 4
    • 48549108822 scopus 로고
    • Differential information and the small firm effect
    • Barry, Christopher B., and Stephen J. Brown, 1984, Differential information and the small firm effect, Journal of Financial Economics 13, 283 294.
    • (1984) Journal of Financial Economics , vol.13 , pp. 283-294
    • Barry, C.B.1    Brown, S.J.2
  • 5
  • 6
    • 34248179127 scopus 로고    scopus 로고
    • Reputation effects in trading on the New York Stock Exchange
    • Battalio, Robert, Andrew Ellul, and Robert Jennings, 2007, Reputation effects in trading on the New York Stock Exchange, Journal of Finance 62, 1243 1271.
    • (2007) Journal of Finance , vol.62 , pp. 1243-1271
    • Battalio, R.1    Ellul, A.2    Jennings, R.3
  • 8
    • 0037402510 scopus 로고    scopus 로고
    • Issues in assessing trade execution costs
    • Bessembinder, Hendrik, 2003, Issues in assessing trade execution costs, Journal of Financial Markets 6, 233 257.
    • (2003) Journal of Financial Markets , vol.6 , pp. 233-257
    • Bessembinder, H.1
  • 10
    • 0010805785 scopus 로고    scopus 로고
    • Does the specialist matter? Differential execution costs and inter-security subsidization on the NYSE
    • Cao, Charles, Hyuk Choe, and Frank Hatheway, 1997, Does the specialist matter? Differential execution costs and inter-security subsidization on the NYSE, Journal of Finance 52, 1615 1640.
    • (1997) Journal of Finance , vol.52 , pp. 1615-1640
    • Cao, C.1    Choe, H.2    Hatheway, F.3
  • 12
    • 84944836521 scopus 로고
    • Information effects and the bid-ask spread
    • Copeland, Thomas E., and Dan Galai, 1993, Information effects and the bid-ask spread, Journal of Finance 38, 1457 1469.
    • (1993) Journal of Finance , vol.38 , pp. 1457-1469
    • Copeland, T.E.1    Galai, D.2
  • 13
    • 0039657045 scopus 로고    scopus 로고
    • Differences in trading behavior across NYSE specialist firms
    • Corwin, Shane A., 1999, Differences in trading behavior across NYSE specialist firms, Journal of Finance 54, 721 745.
    • (1999) Journal of Finance , vol.54 , pp. 721-745
    • Corwin, S.A.1
  • 14
    • 0042514799 scopus 로고    scopus 로고
    • Specialist performance and new listing allocations on the NYSE: An empirical analysis
    • Corwin, Shane A., 2004, Specialist performance and new listing allocations on the NYSE: An empirical analysis, Journal of Financial Markets 7, 27 51.
    • (2004) Journal of Financial Markets , vol.7 , pp. 27-51
    • Corwin, S.A.1
  • 15
    • 0043172304 scopus 로고    scopus 로고
    • Liquidity provision and the organizational form of NYSE specialist firms
    • Coughenour, Jay F., and Dan Deli, 2002, Liquidity provision and the organizational form of NYSE specialist firms, Journal of Finance 56, 841 869.
    • (2002) Journal of Finance , vol.56 , pp. 841-869
    • Coughenour, J.F.1    Deli, D.2
  • 17
    • 3042594278 scopus 로고    scopus 로고
    • Common market makers and commonality in liquidity
    • Coughenour, Jay F., and Mohsen Saad, 2004, Common market makers and commonality in liquidity, Journal of Financial Economics 73, 37 70.
    • (2004) Journal of Financial Economics , vol.73 , pp. 37-70
    • Coughenour, J.F.1    Saad, M.2
  • 18
    • 0010940821 scopus 로고
    • Price, trade size, and information in securities markets
    • Easley, David, and Maureen O'Hara, 1987, Price, trade size, and information in securities markets, Journal of Financial Economics 19, 69 90.
    • (1987) Journal of Financial Economics , vol.19 , pp. 69-90
    • Easley, D.1    O'Hara, M.2
  • 19
  • 21
    • 33847609217 scopus 로고    scopus 로고
    • Information acquisition: Experimental analysis of a boundedly rational model
    • Gabaix, Xavier, David Laibson, Guillermo Moloche, and Stephen Weinberg, 2006, Information acquisition: Experimental analysis of a boundedly rational model, American Economic Review 96, 1043 1068.
    • (2006) American Economic Review , vol.96 , pp. 1043-1068
    • Gabaix, X.1    Laibson, D.2    Moloche, G.3    Weinberg, S.4
  • 22
    • 55949112664 scopus 로고    scopus 로고
    • Limited attention as the bound on rationality
    • Gifford, Sharon, 2005, Limited attention as the bound on rationality, Contributions to Theoretical Economics 5, 1108 1128.
    • (2005) Contributions to Theoretical Economics , vol.5 , pp. 1108-1128
    • Gifford, S.1
  • 23
    • 0000463443 scopus 로고
    • Insider trading, liquidity, and the role of the monopolist specialist
    • Glosten, Lawrence R., 1989, Insider trading, liquidity, and the role of the monopolist specialist, Journal of Business 62, 211 236.
    • (1989) Journal of Business , vol.62 , pp. 211-236
    • Glosten, L.R.1
  • 24
    • 0345401653 scopus 로고
    • Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders
    • Glosten, Lawrence R., and Paul R. Milgrom, 1985, Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 14, 71 100.
    • (1985) Journal of Financial Economics , vol.14 , pp. 71-100
    • Glosten, L.R.1    Milgrom, P.R.2
  • 25
    • 0000760894 scopus 로고    scopus 로고
    • Common factors in prices, order flows, and liquidity
    • Hasbrouck, Joel, and Duane J. Seppi, 2001, Common factors in prices, order flows, and liquidity, Journal of Financial Economics 59, 383 411.
    • (2001) Journal of Financial Economics , vol.59 , pp. 383-411
    • Hasbrouck, J.1    Seppi, D.J.2
  • 26
    • 84993869051 scopus 로고
    • The trades of market-makers: An analysis of NYSE specialists
    • Hasbrouck, Joel, and George Sofianos, 1993, The trades of market-makers: An analysis of NYSE specialists, Journal of Finance 48, 1565 1594.
    • (1993) Journal of Finance , vol.48 , pp. 1565-1594
    • Hasbrouck, J.1    Sofianos, G.2
  • 27
    • 0036787654 scopus 로고    scopus 로고
    • The impact of specialist firm acquisitions on market quality
    • Hatch, Brian C., and Shane A. Johnson, 2002, The impact of specialist firm acquisitions on market quality, Journal of Financial Economics 66, 139 167.
    • (2002) Journal of Financial Economics , vol.66 , pp. 139-167
    • Hatch, B.C.1    Johnson, S.A.2
  • 29
    • 0742321678 scopus 로고    scopus 로고
    • Limited attention, information disclosure, and financial reporting
    • Hirshleifer, David, and Siew Hong Teoh, 2003, Limited attention, information disclosure, and financial reporting, Journal of Accounting and Economics 36, 337 386.
    • (2003) Journal of Accounting and Economics , vol.36 , pp. 337-386
    • Hirshleifer, D.1    Teoh, S.H.2
  • 30
    • 0001913087 scopus 로고
    • Optimal dealer pricing under transactions and return uncertainty
    • Ho, Thomas, and Hans R. Stoll, 1981, Optimal dealer pricing under transactions and return uncertainty, Journal of Financial Economics 9, 47 73.
    • (1981) Journal of Financial Economics , vol.9 , pp. 47-73
    • Ho, T.1    Stoll, H.R.2
  • 32
    • 0035595262 scopus 로고    scopus 로고
    • Familiarity breeds investment
    • Huberman, Gur, 2001, Familiarity breeds investment, Review of Financial Studies 14, 659 680.
    • (2001) Review of Financial Studies , vol.14 , pp. 659-680
    • Huberman, G.1
  • 33
    • 0040291376 scopus 로고    scopus 로고
    • Contagious speculation and a cure for cancer: A nonevent that made market prices soar
    • Huberman, Gur, and Tomer Regev, 2001, Contagious speculation and a cure for cancer: A nonevent that made market prices soar, Journal of Finance 56, 387 396.
    • (2001) Journal of Finance , vol.56 , pp. 387-396
    • Huberman, G.1    Regev, T.2
  • 35
    • 0040942565 scopus 로고    scopus 로고
    • A specialist's quoted depth and the limit order book
    • Kavajecz, Kenneth A., 1999, A specialist's quoted depth and the limit order book, Journal of Finance 54, 747 771.
    • (1999) Journal of Finance , vol.54 , pp. 747-771
    • Kavajecz, K.A.1
  • 36
    • 0002284182 scopus 로고
    • The effect of limited information and estimation risk on optimal portfolio diversification
    • Klein, Roger W., and Vijay S. Bawa, 1977, The effect of limited information and estimation risk on optimal portfolio diversification, Journal of Financial Economics 5, 89 111.
    • (1977) Journal of Financial Economics , vol.5 , pp. 89-111
    • Klein, R.W.1    Bawa, V.S.2
  • 37
    • 21144479472 scopus 로고
    • Price experimentation and security market structure
    • Leach, J. Chris, and Ananth Madhavan, 1993, Price experimentation and security market structure, Review of Financial Studies 6, 375 404.
    • (1993) Review of Financial Studies , vol.6 , pp. 375-404
    • Leach, J.C.1    Madhavan, A.2
  • 38
    • 84977730741 scopus 로고
    • Inferring trade direction from intraday data
    • Lee, Charles M. C., and Mark J. Ready, 1991, Inferring trade direction from intraday data, Journal of Finance 46, 733 746.
    • (1991) Journal of Finance , vol.46 , pp. 733-746
    • Lee, C.M.C.1    Ready, M.J.2
  • 39
    • 84993843615 scopus 로고
    • An analysis of daily changes in specialists' inventories and quotations
    • Madhavan, Ananth, and Seymour Smidt, 1993, An analysis of daily changes in specialists' inventories and quotations, Journal of Finance 48, 1595 1628.
    • (1993) Journal of Finance , vol.48 , pp. 1595-1628
    • Madhavan, A.1    Smidt, S.2
  • 40
    • 0000603420 scopus 로고    scopus 로고
    • An empirical analysis of NYSE specialist trading
    • Madhavan, Ananth, and George Sofianos, 1998, An empirical analysis of NYSE specialist trading, Journal of Financial Economics 48, 189 210.
    • (1998) Journal of Financial Economics , vol.48 , pp. 189-210
    • Madhavan, A.1    Sofianos, G.2
  • 41
    • 84977708043 scopus 로고
    • An analysis of intraday patterns in bid-ask spreads for NYSE stocks
    • McInish, Thomas H., and Robert A. Wood, 1992, An analysis of intraday patterns in bid-ask spreads for NYSE stocks, Journal of Finance 47, 753 764.
    • (1992) Journal of Finance , vol.47 , pp. 753-764
    • McInish, T.H.1    Wood, R.A.2
  • 42
    • 84977707554 scopus 로고
    • A simple model of capital market equilibrium with incomplete information
    • Merton, Robert C., 1987, A simple model of capital market equilibrium with incomplete information, Journal of Finance 42, 483 510.
    • (1987) Journal of Finance , vol.42 , pp. 483-510
    • Merton, R.C.1
  • 46
  • 47
    • 0345973492 scopus 로고
    • Posted versus effective spreads: Good prices or bad quotes
    • and
    • 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
  • 49
    • 55949084809 scopus 로고    scopus 로고
    • A dynamic model of the limit order book
    • forthcoming).
    • Rosu, Ioanid, 2008, A dynamic model of the limit order book, Review of Financial Studies (forthcoming).
    • (2008) Review of Financial Studies
    • Rosu, I.1
  • 52
    • 84959810873 scopus 로고
    • A behavioral model of rational choice
    • Simon, Herbert A., 1955, A behavioral model of rational choice, Quarterly Journal of Economics 69, 99 118.
    • (1955) Quarterly Journal of Economics , vol.69 , pp. 99-118
    • Simon, H.A.1
  • 53
    • 84986799029 scopus 로고
    • Rational decision making in business organizations
    • Simon, Herbert A., 1979, Rational decision making in business organizations, American Economic Review 69, 493 513.
    • (1979) American Economic Review , vol.69 , pp. 493-513
    • Simon, H.A.1
  • 55
    • 84977426528 scopus 로고
    • The supply of dealer services in securities markets
    • Stoll, Hans R., 1978, The supply of dealer services in securities markets, Journal of Finance 33, 1133 1151.
    • (1978) Journal of Finance , vol.33 , pp. 1133-1151
    • Stoll, H.R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.