메뉴 건너뛰기




Volumn 8, Issue 4, 2014, Pages 263-365

The empirical analysis of liquidity

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84911497870     PISSN: 15672395     EISSN: 15672409     Source Type: Journal    
DOI: 10.1561/0500000044     Document Type: Article
Times cited : (98)

References (229)
  • 2
    • 77958553209 scopus 로고    scopus 로고
    • The "wall street walk" and shareholder activism: Exit as a form of voice
    • A. Admati and P. Pfleiderer. The "wall street walk" and shareholder activism: Exit as a form of voice. Review of Financial Studies, 22:2645-2085, 2009.
    • (2009) Review of Financial Studies , vol.22 , pp. 2645-2085
    • Admati, A.1    Pfleiderer, P.2
  • 3
    • 0003375783 scopus 로고    scopus 로고
    • Decimalization and competition among exchanges: Evidence from the Toronto Stock Exchange cross-listed securities
    • H. Ahn, C. Cao, and H. Choe. Decimalization and competition among exchanges: Evidence from the Toronto Stock Exchange cross-listed securities. Journal of Financial Markets, 1:51-87, 1998.
    • (1998) Journal of Financial Markets , vol.1 , pp. 51-87
    • Ahn, H.1    Cao, C.2    Choe, H.3
  • 4
    • 0013068840 scopus 로고    scopus 로고
    • Illiquidity and stock returns: Cross-section and time-series effects
    • Y. Amihud. Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5:31-56, 2002.
    • (2002) Journal of Financial Markets , vol.5 , pp. 31-56
    • Amihud, Y.1
  • 7
    • 84977725247 scopus 로고
    • Liquidity, maturity, and the yields on U.S. Treasury securities
    • Y. Amihud and H. Mendelson. Liquidity, maturity, and the yields on U.S. treasury securities. Journal of Finance, 46:1411-1425, 1991.
    • (1991) Journal of Finance , vol.46 , pp. 1411-1425
    • Amihud, Y.1    Mendelson, H.2
  • 10
    • 84897947998 scopus 로고    scopus 로고
    • When finance meets physics: The impact of the speed of light on financial markets and their regulation
    • J. Angel. When finance meets physics: The impact of the speed of light on financial markets and their regulation. The Financial Review, 49:271-281, 2014.
    • (2014) The Financial Review , vol.49 , pp. 271-281
    • Angel, J.1
  • 13
    • 33748785984 scopus 로고    scopus 로고
    • Liquidity and autocorrelations in individual stock returns
    • D. Avramov, T. Chordia, and A. Goyal. Liquidity and autocorrelations in individual stock returns. Journal of Finance, 61:2365-2394, 2006.
    • (2006) Journal of Finance , vol.61 , pp. 2365-2394
    • Avramov, D.1    Chordia, T.2    Goyal, A.3
  • 14
    • 0031116703 scopus 로고    scopus 로고
    • The impact of decimalization on market quality: An empirical investigation of the Toronto Stock Exchange
    • J. Bacidore. The impact of decimalization on market quality: An empirical investigation of the Toronto Stock Exchange. Journal of Financial Intermediation, 6:92-120, 1997.
    • (1997) Journal of Financial Intermediation , vol.6 , pp. 92-120
    • Bacidore, J.1
  • 15
    • 0037402977 scopus 로고    scopus 로고
    • Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange
    • J. Bacidore, R. Battalio, and R. Jennings. Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange. Journal of Financial Markets, 6:337-362, 2003.
    • (2003) Journal of Financial Markets , vol.6 , pp. 337-362
    • Bacidore, J.1    Battalio, R.2    Jennings, R.3
  • 18
    • 33745121556 scopus 로고    scopus 로고
    • The economic consequences of increased disclosure: Evidence from international cross-listings
    • W. Bailey, A. Karolyi, and C. Salva. The economic consequences of increased disclosure: Evidence from international cross-listings. Journal of Financial Economics, 81:175-213, 2006.
    • (2006) Journal of Financial Economics , vol.81 , pp. 175-213
    • Bailey, W.1    Karolyi, A.2    Salva, C.3
  • 19
    • 0034412341 scopus 로고    scopus 로고
    • Do call prices and the underlying stock always move in the same direction
    • G. Bakshi, C. Cao, and Z. Chen. Do call prices and the underlying stock always move in the same direction. Review of Financial Studies, 13:549-584, 2000.
    • (2000) Review of Financial Studies , vol.13 , pp. 549-584
    • Bakshi, G.1    Cao, C.2    Chen, Z.3
  • 23
    • 0002858629 scopus 로고
    • Corporate payout policy: Cash dividends versus open-market repurchases
    • M. Barclay and C. Smith Jr. Corporate payout policy: Cash dividends versus open-market repurchases. Journal of Financial Economics, 22:61-82, 1988.
    • (1988) Journal of Financial Economics , vol.22 , pp. 61-82
    • Barclay, M.1    Smith, C.2
  • 24
    • 0039527096 scopus 로고    scopus 로고
    • Effects of market reform on the trading costs and depths of Nasdaq stocks
    • M. Barclay, W. Christie, J. Harris, E. Kandel, and P. Schultz. Effects of market reform on the trading costs and depths of Nasdaq stocks. Journal of Finance, 54:1-34, 1999.
    • (1999) Journal of Finance , vol.54 , pp. 1-34
    • Barclay, M.1    Christie, W.2    Harris, J.3    Kandel, E.4    Schultz, P.5
  • 25
    • 1842763577 scopus 로고    scopus 로고
    • Toward a national market system for U.S. Exchange-listed equity options
    • R. Battalio, B. Hatch, and R. Jennings. Toward a national market system for U.S. exchange-listed equity options. Journal of Finance, 59:933-962, 2004.
    • (2004) Journal of Finance , vol.59 , pp. 933-962
    • Battalio, R.1    Hatch, B.2    Jennings, R.3
  • 28
    • 0001168032 scopus 로고
    • Determinants of bid-asked spreads in the overthe- counter market
    • G. Benston and R. Hagerman. Determinants of bid-asked spreads in the overthe- counter market. Journal of Financial Economics, 1:353-364, 1974.
    • (1974) Journal of Financial Economics , vol.1 , pp. 353-364
    • Benston, G.1    Hagerman, R.2
  • 29
    • 0037402510 scopus 로고    scopus 로고
    • Issues in assessing trade execution costs
    • H. Bessembinder. Issues in assessing trade execution costs. Journal of Financial Markets, 3:233-257, 2003a.
    • (2003) Journal of Financial Markets , vol.3 , pp. 233-257
    • Bessembinder, H.1
  • 30
  • 32
    • 33749143202 scopus 로고    scopus 로고
    • Market transparency, liquidity externalities, and institutional trading costs in corporate bonds
    • H. Bessembinder, W. Maxwell, and K. Venkataraman. Market transparency, liquidity externalities, and institutional trading costs in corporate bonds. Journal of Financial Economics, 82:251-288, 2006.
    • (2006) Journal of Financial Economics , vol.82 , pp. 251-288
    • Bessembinder, H.1    Maxwell, W.2    Venkataraman, K.3
  • 33
    • 68349152565 scopus 로고    scopus 로고
    • Does asymmetric information drive capital structure decisions?
    • S. Bharath, P. Pasquariello, and G. Wu. Does asymmetric information drive capital structure decisions? Review of Financial Studies, 22:3211-3243, 2009.
    • (2009) Review of Financial Studies , vol.22 , pp. 3211-3243
    • Bharath, S.1    Pasquariello, P.2    Wu, G.3
  • 34
    • 84887510646 scopus 로고    scopus 로고
    • Exit as governance: An empirical analysis
    • S. Bharath, S. Jayaraman, and V. Nager. Exit as governance: An empirical analysis. Journal of Finance, 68:2515-2547, 2013.
    • (2013) Journal of Finance , vol.68 , pp. 2515-2547
    • Bharath, S.1    Jayaraman, S.2    Nager, V.3
  • 35
    • 0000375782 scopus 로고
    • The hidden costs of stock market liquidity
    • A. Bhide. The hidden costs of stock market liquidity. Journal of Financial Economics, 34:31-51, 1993.
    • (1993) Journal of Financial Economics , vol.34 , pp. 31-51
    • Bhide, A.1
  • 37
    • 16244419381 scopus 로고    scopus 로고
    • Lifting the veil: An analysis of pre-trade transparency at the NYSE
    • E. Boehmer, G. Saar, and L. Yu. Lifting the veil: An analysis of pre-trade transparency at the NYSE. Journal of Finance, 60:783-815, 2005.
    • (2005) Journal of Finance , vol.60 , pp. 783-815
    • Boehmer, E.1    Saar, G.2    Yu, L.3
  • 42
    • 47749145674 scopus 로고    scopus 로고
    • Hedge fund activism, corporate governance, and firm performance
    • A. Brav, W. Jiang, F. Partnoy, and R. Thomas. Hedge fund activism, corporate governance, and firm performance. Journal of Finance, 63:1729-1775, 2008.
    • (2008) Journal of Finance , vol.63 , pp. 1729-1775
    • Brav, A.1    Jiang, W.2    Partnoy, F.3    Thomas, R.4
  • 44
    • 0000069353 scopus 로고    scopus 로고
    • Alternative factor specifications, security characteristics, and the cross-section of expected stock returns
    • M. Brennan, T. Chordia, and A. Subrahmanyam. Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics, 49:345-373, 1998.
    • (1998) Journal of Financial Economics , vol.49 , pp. 345-373
    • Brennan, M.1    Chordia, T.2    Subrahmanyam, A.3
  • 46
    • 0008960994 scopus 로고    scopus 로고
    • Managerial timing and corporate liquidity: Evidence from actual share repurchases
    • P. Brockman and D. Chung. Managerial timing and corporate liquidity: Evidence from actual share repurchases. Journal of Financial Economics, 61: 417-448, 2001.
    • (2001) Journal of Financial Economics , vol.61 , pp. 417-448
    • Brockman, P.1    Chung, D.2
  • 47
    • 50049125798 scopus 로고    scopus 로고
    • Stock market liquidity and the decision to repurchase
    • P. Brockman, J. Howe, and S. Mortal. Stock market liquidity and the decision to repurchase. Journal of Corporate Finance, 14:446-459, 2008.
    • (2008) Journal of Corporate Finance , vol.14 , pp. 446-459
    • Brockman, P.1    Howe, J.2    Mortal, S.3
  • 50
    • 84897931261 scopus 로고    scopus 로고
    • High-frequency trading and the execution costs of institutional investors
    • J. Brogaard, T. Hendershott, S. Hunt, and C. Ysusi. High-frequency trading and the execution costs of institutional investors. The Financial Review, 49:345-369, 2014a.
    • (2014) The Financial Review , vol.49 , pp. 345-369
    • Brogaard, J.1    Hendershott, T.2    Hunt, S.3    Ysusi, C.4
  • 54
    • 84901387642 scopus 로고    scopus 로고
    • Implementation details for frequent batch auctions slowing down markets to the blink of an eye
    • E. Budish, P. Cramton, and J. Shim. Implementation details for frequent batch auctions slowing down markets to the blink of an eye. American Economic Review, 104:418-424, 2014.
    • (2014) American Economic Review , vol.104 , pp. 418-424
    • Budish, E.1    Cramton, P.2    Shim, J.3
  • 56
    • 84886300073 scopus 로고    scopus 로고
    • Very fast money: High-frequency trading on the NASDAQ
    • A. Carrion. Very fast money: High-frequency trading on the NASDAQ. Journal of Financial Markets, 16:680-711, 2013.
    • (2013) Journal of Financial Markets , vol.16 , pp. 680-711
    • Carrion, A.1
  • 57
    • 84900494609 scopus 로고    scopus 로고
    • Illiquidity contagion and liquidity crashes
    • G. Cespa and T. Foucault. Illiquidity contagion and liquidity crashes. Review of Financial Studies, 27:1615-1660, 2014.
    • (2014) Review of Financial Studies , vol.27 , pp. 1615-1660
    • Cespa, G.1    Foucault, T.2
  • 58
    • 84897941973 scopus 로고    scopus 로고
    • Rise of the machines: Algorithmic trading in the foreign exchange market. Forthcoming in the
    • A. Chaboud, B. Chiquoine, E. Hjalmarsson, and C. Vega. Rise of the machines: Algorithmic trading in the foreign exchange market. Forthcoming in the Journal of Finance, 2014.
    • (2014) Journal of Finance
    • Chaboud, A.1    Chiquoine, B.2    Hjalmarsson, E.3    Vega, C.4
  • 59
  • 61
    • 77955618035 scopus 로고    scopus 로고
    • Price informativeness and investment sensitivity to stock price
    • Q. Chen, I. Goldstein, and W. Jiang. Price informativeness and investment sensitivity to stock price. Review of Financial Studies, 20:619-650, 2007.
    • (2007) Review of Financial Studies , vol.20 , pp. 619-650
    • Chen, Q.1    Goldstein, I.2    Jiang, W.3
  • 70
    • 84993915181 scopus 로고
    • Why do NASDAQ market makers avoid oddeighth quotes?
    • W. Christie and P. Schultz. Why do NASDAQ market makers avoid oddeighth quotes? Journal of Finance, 49:1813-1840, 1994.
    • (1994) Journal of Finance , vol.49 , pp. 1813-1840
    • Christie, W.1    Schultz, P.2
  • 71
    • 84993843848 scopus 로고
    • Why did NASDAQ market makers stop avoiding odd- eighth quotes?
    • W. Christie, J. Harris, and P. Schultz. Why did NASDAQ market makers stop avoiding odd- eighth quotes? Journal of Finance, 49:1841-1860, 1994.
    • (1994) Journal of Finance , vol.49 , pp. 1841-1860
    • Christie, W.1    Harris, J.2    Schultz, P.3
  • 72
  • 74
    • 84891836034 scopus 로고    scopus 로고
    • A simple approximation of intraday spreads using daily data
    • K. Chung and H. Zhang. A simple approximation of intraday spreads using daily data. Journal of Financial Markets, 17:94-120, 2014.
    • (2014) Journal of Financial Markets , vol.17 , pp. 94-120
    • Chung, K.1    Zhang, H.2
  • 76
    • 84055220949 scopus 로고
    • Liquidity versus control: The institutional investor as corporate monitor
    • J. Coffee. Liquidity versus control: The institutional investor as corporate monitor. Columbia Law Review, 91:1277-1368, 1991.
    • (1991) Columbia Law Review , vol.91 , pp. 1277-1368
    • Coffee, J.1
  • 77
    • 0031507615 scopus 로고    scopus 로고
    • Management forecasts and information asymmetry: An examination of bid-ask spreads
    • M. Coller and T. Yohn. Management forecasts and information asymmetry: An examination of bid-ask spreads. Journal of Accounting Research, 35: 181-191, 1997.
    • (1997) Journal of Accounting Research , vol.35 , pp. 181-191
    • Coller, M.1    Yohn, T.2
  • 78
    • 84911497875 scopus 로고    scopus 로고
    • Do prices reveal the presence of informed trading?
    • forthcoming
    • P. Collin-Dufresne and V. Fos. Do prices reveal the presence of informed trading? Journal of Finance, 2014. forthcoming.
    • (2014) Journal of Finance
    • Collin-Dufresne, P.1    Fos, V.2
  • 81
    • 4344575787 scopus 로고    scopus 로고
    • On the timing and execution of open market repurchases
    • D. Cook, L. Krigman, and J. Leach. On the timing and execution of open market repurchases. Review of Financial Studies, 17:463-498, 2004.
    • (2004) Review of Financial Studies , vol.17 , pp. 463-498
    • Cook, D.1    Krigman, L.2    Leach, J.3
  • 82
    • 84859140148 scopus 로고    scopus 로고
    • A simple way to estimate bid-ask spreads from daily high and low prices
    • S. Corwin and P. Schultz. A simple way to estimate bid-ask spreads from daily high and low prices. Journal of Finance, 67:719-760, 2012.
    • (2012) Journal of Finance , vol.67 , pp. 719-760
    • Corwin, S.1    Schultz, P.2
  • 85
    • 63449128559 scopus 로고    scopus 로고
    • Using matched samples to test for differences in trade execution costs
    • R. Davies and S. Kim. Using matched samples to test for differences in trade execution costs. Journal of Financial Markets, 12:173-202, 2009.
    • (2009) Journal of Financial Markets , vol.12 , pp. 173-202
    • Davies, R.1    Kim, S.2
  • 87
    • 84993917413 scopus 로고
    • Corporate events, trading activity, and the estimation of systematic risk: Evidence from equity offerings and share repurchases
    • D. Denis and G. Kadlec. Corporate events, trading activity, and the estimation of systematic risk: Evidence from equity offerings and share repurchases. Journal of Finance, 49:1787-1811, 1994.
    • (1994) Journal of Finance , vol.49 , pp. 1787-1811
    • Denis, D.1    Kadlec, G.2
  • 89
    • 84942585214 scopus 로고
    • Disclosure, liquidity and the cost of capital
    • D. Diamond and R. Verrecchia. Disclosure, liquidity and the cost of capital. Journal of Finance, 46:1325-1360, 1991.
    • (1991) Journal of Finance , vol.46 , pp. 1325-1360
    • Diamond, D.1    Verrecchia, R.2
  • 91
    • 0041669468 scopus 로고    scopus 로고
    • Differences of opinion and the crosssection of stock returns
    • K. Diether, C. Malloy, and A. Scherbina. Differences of opinion and the crosssection of stock returns. Journal of Finance, 57:2113-2141, 2002.
    • (2002) Journal of Finance , vol.57 , pp. 2113-2141
    • Diether, K.1    Malloy, C.2    Scherbina, A.3
  • 92
    • 84897953558 scopus 로고    scopus 로고
    • How slow is the NBBO? A comparison with direct exchange feeds
    • S. Ding, J. Hanna, and T. Hendershott. How slow is the NBBO? A comparison with direct exchange feeds. The Financial Review, 49:313-332, 2014.
    • (2014) The Financial Review , vol.49 , pp. 313-332
    • Ding, S.1    Hanna, J.2    Hendershott, T.3
  • 95
    • 0010940821 scopus 로고
    • Price, trade size, and information in securities markets
    • D. Easley and M. O'Hara. Price, trade size, and information in securities markets. Journal of Financial Economics, 19:69-90, 1987.
    • (1987) Journal of Financial Economics , vol.19 , pp. 69-90
    • Easley, D.1    O'Hara, M.2
  • 96
    • 0003313336 scopus 로고    scopus 로고
    • Is information-based risk a determinant of asset returns?
    • D. Easley, S. Hvidkjaer, and M. O'Hara. Is information-based risk a determinant of asset returns? Journal of Finance, 57:2185-2221, 2002.
    • (2002) Journal of Finance , vol.57 , pp. 2185-2221
    • Easley, D.1    Hvidkjaer, S.2    O'Hara, M.3
  • 98
    • 12344251915 scopus 로고    scopus 로고
    • Liquidity risk, leverage and long-run IPO returns
    • B. Eckbo and Ø. Norli. Liquidity risk, leverage and long-run IPO returns. Journal of Corporate Finance, 11:1-35, 2005.
    • (2005) Journal of Corporate Finance , vol.11 , pp. 1-35
    • Eckbo, B.1    Norli Ø.2
  • 99
    • 0034179271 scopus 로고    scopus 로고
    • Seasoned public offerings: Resolution of the 'new issues puzzle'
    • B. Eckbo, R. Masulis, and Ø. Norli. Seasoned public offerings: Resolution of the 'new issues puzzle'. Journal of Financial Economics, 56:251-291, 2000.
    • (2000) Journal of Financial Economics , vol.56 , pp. 251-291
    • Eckbo, B.1    Masulis, R.2    Norli Ø.3
  • 100
    • 69949093231 scopus 로고    scopus 로고
    • Blockholder trading, market efficiency, and managerial myopia
    • A. Edmans. Blockholder trading, market efficiency, and managerial myopia. Journal of Finance, 64:2481-2513, 2009.
    • (2009) Journal of Finance , vol.64 , pp. 2481-2513
    • Edmans, A.1
  • 102
    • 79959739216 scopus 로고    scopus 로고
    • Governance through trading and intervention: A theory of multiple blockholders
    • A. Edmans and G. Manso. Governance through trading and intervention: A theory of multiple blockholders. Review of Financial Studies, 24:2396-2428, 2011.
    • (2011) Review of Financial Studies , vol.24 , pp. 2396-2428
    • Edmans, A.1    Manso, G.2
  • 104
    • 34248207286 scopus 로고    scopus 로고
    • Corporate bond market transaction costs and transparency
    • A. Edwards, L. Harris, and M. Piwowar. Corporate bond market transaction costs and transparency. Journal of Finance, 62:1421-1451, 2007.
    • (2007) Journal of Finance , vol.62 , pp. 1421-1451
    • Edwards, A.1    Harris, L.2    Piwowar, M.3
  • 105
    • 33747876037 scopus 로고    scopus 로고
    • The impact of legal and political institutions on equity trading costs: A cross country analysis
    • V. Eleswarapu and K. Venkataraman. The impact of legal and political institutions on equity trading costs: A cross country analysis. Review of Financial Studies, 19:1081-1111, 2006.
    • (2006) Review of Financial Studies , vol.19 , pp. 1081-1111
    • Eleswarapu, V.1    Venkataraman, K.2
  • 107
    • 33645736962 scopus 로고    scopus 로고
    • IPO underpricing and after-market liquidity
    • A. Ellul and M. Pagano. IPO underpricing and after-market liquidity. Review of Financial Studies, 19:381-421, 2006.
    • (2006) Review of Financial Studies , vol.19 , pp. 381-421
    • Ellul, A.1    Pagano, M.2
  • 110
    • 84879797206 scopus 로고    scopus 로고
    • Does stock liquidity enhance or impede firm innovation?
    • forthcoming
    • V. Fang, X. Tian, and S. Tice. Does stock liquidity enhance or impede firm innovation? Journal of Finance, forthcoming, 2013.
    • (2013) Journal of Finance
    • Fang, V.1    Tian, X.2    Tice, S.3
  • 117
    • 84861762812 scopus 로고    scopus 로고
    • Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises
    • N. Friewald, R. Jankowitsch, and M. Subrahmanyam. Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises. Journal of Financial Economics, 105:18-36, 2012.
    • (2012) Journal of Financial Economics , vol.105 , pp. 18-36
    • Friewald, N.1    Jankowitsch, R.2    Subrahmanyam, M.3
  • 118
    • 34247264696 scopus 로고    scopus 로고
    • Decimalization and market liquidity
    • C. Furfine. Decimalization and market liquidity. Economic Perspectives, 27: 2-12, 2003.
    • (2003) Economic Perspectives , vol.27 , pp. 2-12
    • Furfine, C.1
  • 121
    • 77952674937 scopus 로고    scopus 로고
    • The marketing of seasoned equity offerings
    • X. Gao and J. R. Ritter. The marketing of seasoned equity offerings. Journal of Financial Economics, 97:33-52, 2010.
    • (2010) Journal of Financial Economics , vol.97 , pp. 33-52
    • Gao, X.1    Ritter, J.R.2
  • 123
    • 0000836177 scopus 로고
    • Estimation of the bid-ask spreads and its components: A new approach
    • T. George, G. Kaul, and M. Nimalendran. Estimation of the bid-ask spreads and its components: A new approach. Review of Financial Studies, 4:623-656, 1991.
    • (1991) Review of Financial Studies , vol.4 , pp. 623-656
    • George, T.1    Kaul, G.2    Nimalendran, M.3
  • 125
    • 38249030378 scopus 로고
    • Estimating the components of the bid-ask spread
    • L. Glosten and L. Harris. Estimating the components of the bid-ask spread. Journal of Financial Economics, 21:123-142, 1988.
    • (1988) Journal of Financial Economics , vol.21 , pp. 123-142
    • Glosten, L.1    Harris, L.2
  • 126
    • 0345401653 scopus 로고
    • Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders
    • L. Glosten and P. Milgrom. Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 14:71-100, 1985.
    • (1985) Journal of Financial Economics , vol.14 , pp. 71-100
    • Glosten, L.1    Milgrom, P.2
  • 127
    • 0001240870 scopus 로고    scopus 로고
    • Eighths, sixteenths and market depth: Changes in tick size and liquidity provision on the NYSE
    • M. Goldstein and K. Kavajecz. Eighths, sixteenths and market depth: Changes in tick size and liquidity provision on the NYSE. Journal of Financial Economics, 56:125-149, 2000.
    • (2000) Journal of Financial Economics , vol.56 , pp. 125-149
    • Goldstein, M.1    Kavajecz, K.2
  • 131
    • 84877149952 scopus 로고    scopus 로고
    • Equilibrium and welfare with financially constrained arbitrageurs
    • D. Gromb and D. Vayanos. Equilibrium and welfare with financially constrained arbitrageurs. Journal of Financial Economics, 66:361-407, 2002.
    • (2002) Journal of Financial Economics , vol.66 , pp. 361-407
    • Gromb, D.1    Vayanos, D.2
  • 134
    • 0345016441 scopus 로고    scopus 로고
    • Intraday price formation in U.S. Equity index markets
    • J. Hasbrouck. Intraday price formation in U.S. equity index markets. Journal of Finance, 58:2375-2399, 2003.
    • (2003) Journal of Finance , vol.58 , pp. 2375-2399
    • Hasbrouck, J.1
  • 135
    • 3042630648 scopus 로고    scopus 로고
    • Liquidity in the futures pits: Inferring market dynamics from incomplete data
    • J. Hasbrouck. Liquidity in the futures pits: Inferring market dynamics from incomplete data. Journal of Financial and Quantitative Analysis, 39:305-326, 2004.
    • (2004) Journal of Financial and Quantitative Analysis , vol.39 , pp. 305-326
    • Hasbrouck, J.1
  • 136
    • 64849086208 scopus 로고    scopus 로고
    • Trading costs and returns for US equities: Estimating effective costs from daily data
    • J. Hasbrouck. Trading costs and returns for US equities: Estimating effective costs from daily data. Journal of Finance, 46:1445-1477, 2009.
    • (2009) Journal of Finance , vol.46 , pp. 1445-1477
    • Hasbrouck, J.1
  • 138
    • 0000760894 scopus 로고    scopus 로고
    • Common factors in prices, order flows and liquidity
    • J. Hasbrouck and D. Seppi. Common factors in prices, order flows and liquidity. Journal of Financial Economics, 59:383-411, 2001.
    • (2001) Journal of Financial Economics , vol.59 , pp. 383-411
    • Hasbrouck, J.1    Seppi, D.2
  • 141
    • 33646087664 scopus 로고    scopus 로고
    • On the importance of timing specifications in market microstructure research
    • T. Henker and J. Wang. On the importance of timing specifications in market microstructure research. Journal of Financial Markets, 9:162-179, 2006.
    • (2006) Journal of Financial Markets , vol.9 , pp. 162-179
    • Henker, T.1    Wang, J.2
  • 145
    • 0001913087 scopus 로고
    • Optimal dealer pricing under transactions and return uncertainty
    • T. Ho and H. Stoll. Optimal dealer pricing under transactions and return uncertainty. Journal of Financial Economics, 9:47-73, 1981.
    • (1981) Journal of Financial Economics , vol.9 , pp. 47-73
    • Ho, T.1    Stoll, H.2
  • 146
    • 84925135657 scopus 로고
    • The dynamics of dealer markets under competition
    • T. Ho and H. Stoll. The dynamics of dealer markets under competition. Journal of Finance, 38:1053-1074, 1983.
    • (1983) Journal of Finance , vol.38 , pp. 1053-1074
    • Ho, T.1    Stoll, H.2
  • 147
    • 84904410868 scopus 로고    scopus 로고
    • Liquidity measurement problems in fast, competitive markets: Expensive and cheap solutions
    • C. Holden and S. Jacobsen. Liquidity measurement problems in fast, competitive markets: Expensive and cheap solutions. Journal of Finance, 69: 1747-1785, 2014.
    • (2014) Journal of Finance , vol.69 , pp. 1747-1785
    • Holden, C.1    Jacobsen, S.2
  • 148
    • 0000210848 scopus 로고
    • Market liquidity and performance monitoring
    • B. Holmstrom and J. Tirole. Market liquidity and performance monitoring. Journal of Political Economy, 101:678-709, 1993.
    • (1993) Journal of Political Economy , vol.101 , pp. 678-709
    • Holmstrom, B.1    Tirole, J.2
  • 149
    • 0030191637 scopus 로고    scopus 로고
    • Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE
    • R. Huang and H. Stoll. Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE. Journal of Financial Economics, 41:313-357, 1996.
    • (1996) Journal of Financial Economics , vol.41 , pp. 313-357
    • Huang, R.1    Stoll, H.2
  • 150
    • 0031501452 scopus 로고    scopus 로고
    • The components of the bid-ask spread: A general approach
    • R. Huang and H. Stoll. The components of the bid-ask spread: A general approach. Review of Financial Studies, 10:995-1034, 1997.
    • (1997) Review of Financial Studies , vol.10 , pp. 995-1034
    • Huang, R.1    Stoll, H.2
  • 153
    • 28244482621 scopus 로고    scopus 로고
    • Financial market design and the equity premium: Electronic versus floor trading
    • P. Jain. Financial market design and the equity premium: Electronic versus floor trading. Journal of Finance, 60:2955-2985, 2005.
    • (2005) Journal of Finance , vol.60 , pp. 2955-2985
    • Jain, P.1
  • 155
    • 84870623444 scopus 로고    scopus 로고
    • The role of stock liquidity in executive compensation
    • S. Jayaraman and T. Milbourn. The role of stock liquidity in executive compensation. Accounting Review, 87:537-563, 2012.
    • (2012) Accounting Review , vol.87 , pp. 537-563
    • Jayaraman, S.1    Milbourn, T.2
  • 156
    • 84977718628 scopus 로고
    • Evidence of predictable behavior of security returns
    • N. Jegadeesh. Evidence of predictable behavior of security returns. Journal of Finance, 45:881-898, 1990.
    • (1990) Journal of Finance , vol.45 , pp. 881-898
    • Jegadeesh, N.1
  • 157
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for market efficiency
    • N. Jegadeesh and S. Titman. Returns to buying winners and selling losers: Implications for market efficiency. Journal of Finance, 48:65-92, 1993.
    • (1993) Journal of Finance , vol.48 , pp. 65-92
    • Jegadeesh, N.1    Titman, S.2
  • 160
    • 0003256425 scopus 로고    scopus 로고
    • Sixteenths: Direct evidence on institutional execution costs
    • C. Jones and M. Lipson. Sixteenths: Direct evidence on institutional execution costs. Journal of Financial Economics, 59:253-278, 2001.
    • (2001) Journal of Financial Economics , vol.59 , pp. 253-278
    • Jones, C.1    Lipson, M.2
  • 162
    • 0005082206 scopus 로고    scopus 로고
    • Ownership structure, speculation, and shareholder intervention
    • C. Kahn and A. Winton. Ownership structure, speculation, and shareholder intervention. Journal of Finance, 53:99-129, 1998.
    • (1998) Journal of Finance , vol.53 , pp. 99-129
    • Kahn, C.1    Winton, A.2
  • 165
    • 50049123571 scopus 로고    scopus 로고
    • Stock market information production and CEO incentives
    • Q. Kang and Q. Liu. Stock market information production and CEO incentives. Journal of Corporate Finance, 14:484-498, 2008.
    • (2008) Journal of Corporate Finance , vol.14 , pp. 484-498
    • Kang, Q.1    Liu, Q.2
  • 166
    • 84862777964 scopus 로고    scopus 로고
    • Understanding commonality in liquidity around the world
    • A. Karolyi, K. Lee, and M. van Dijk. Understanding commonality in liquidity around the world. Journal of Financial Economics, 105:82-112, 2012.
    • (2012) Journal of Financial Economics , vol.105 , pp. 82-112
    • Karolyi, A.1    Lee, K.2    Van Dijk, M.3
  • 167
    • 84860132796 scopus 로고    scopus 로고
    • Testing asymmetric-information asset pricing models
    • B. Kelly and A. Ljungqvist. Testing asymmetric-information asset pricing models. Review of Financial Studies, 25:1366-1413, 2012.
    • (2012) Review of Financial Studies , vol.25 , pp. 1366-1413
    • Kelly, B.1    Ljungqvist, A.2
  • 170
    • 2942599804 scopus 로고    scopus 로고
    • Are momentum profits robust to trading costs
    • R. Korajczyk and R. Sadka. Are momentum profits robust to trading costs. Journal of Finance, 59:1039-1082, 2005.
    • (2005) Journal of Finance , vol.59 , pp. 1039-1082
    • Korajczyk, R.1    Sadka, R.2
  • 171
    • 36849005472 scopus 로고    scopus 로고
    • Pricing the commonality across alternative measures of liquidity
    • R. Korajczyk and R. Sadka. Pricing the commonality across alternative measures of liquidity. Journal of Financial Economics, 87:45-72, 2008.
    • (2008) Journal of Financial Economics , vol.87 , pp. 45-72
    • Korajczyk, R.1    Sadka, R.2
  • 172
    • 0030642068 scopus 로고    scopus 로고
    • The effects of equity issues on ownership structure and stock liquidity: A comparison of rights and public offerings
    • M. Kothare. The effects of equity issues on ownership structure and stock liquidity: A comparison of rights and public offerings. Journal of Financial Economics, 43:131-148, 1997.
    • (1997) Journal of Financial Economics , vol.43 , pp. 131-148
    • Kothare, M.1
  • 174
    • 0000859303 scopus 로고
    • Continuous auctions and insider trading
    • A. Kyle. Continuous auctions and insider trading. Econometrica, 53:1315-1335, 1985.
    • (1985) Econometrica , vol.53 , pp. 1315-1335
    • Kyle, A.1
  • 177
    • 84860425927 scopus 로고    scopus 로고
    • Transparency, liquidity, and valuation: International evidence on when transparency matters most
    • M. Lang, K. Lins, and M. Maffett. Transparency, liquidity, and valuation: International evidence on when transparency matters most. Journal of Accounting Research, 50:729-774, 2012.
    • (2012) Journal of Accounting Research , vol.50 , pp. 729-774
    • Lang, M.1    Lins, K.2    Maffett, M.3
  • 178
    • 84977730741 scopus 로고
    • Inferring trade direction from intraday data
    • C. Lee and M. Ready. Inferring trade direction from intraday data. Journal of Finance, 46:733-746, 1991.
    • (1991) Journal of Finance , vol.46 , pp. 733-746
    • Lee, C.1    Ready, M.2
  • 179
    • 78149501029 scopus 로고    scopus 로고
    • The world price of liquidity risk
    • K. Lee. The world price of liquidity risk. Journal of Financial Economics, 99:136-161, 2011.
    • (2011) Journal of Financial Economics , vol.99 , pp. 136-161
    • Lee, K.1
  • 180
  • 184
    • 33751007244 scopus 로고    scopus 로고
    • A liquidity-augmented capital asset pricing model
    • W. Liu. A liquidity-augmented capital asset pricing model. Journal of Financial Economics, 82:631-671, 2006.
    • (2006) Journal of Financial Economics , vol.82 , pp. 631-671
    • Liu, W.1
  • 185
    • 4344586288 scopus 로고    scopus 로고
    • The flight to liquidity premium in U.S. Treasury bond prices
    • F. Longstaff. The flight to liquidity premium in U.S. treasury bond prices. The Journal of Business, 77:511-526, 2004.
    • (2004) The Journal of Business , vol.77 , pp. 511-526
    • Longstaff, F.1
  • 187
    • 0000215887 scopus 로고    scopus 로고
    • Market microstructure: A survery
    • A. Madhavan. Market microstructure: A survery. Journal of Financial Markets, 3:205-258, 2000.
    • (2000) Journal of Financial Markets , vol.3 , pp. 205-258
    • Madhavan, A.1
  • 188
    • 0031523710 scopus 로고    scopus 로고
    • Why do security prices change? A transaction-level analysis of NYSE stocks
    • A. Madhavan, M. Richardson, and M. Roomans. Why do security prices change? A transaction-level analysis of NYSE stocks. Review of Financial Studies, 10:1035-1064, 1996.
    • (1996) Review of Financial Studies , vol.10 , pp. 1035-1064
    • Madhavan, A.1    Richardson, M.2    Roomans, M.3
  • 191
    • 84880405168 scopus 로고    scopus 로고
    • Liquidity in the foreign exchange market: Measurement, commonality, and risk premiums
    • L. Mancini, A. Ranaldo, and J. Wrampelmeyer. Liquidity in the foreign exchange market: Measurement, commonality, and risk premiums. Journal of Finance, 68:1805-1841, 2013.
    • (2013) Journal of Finance , vol.68 , pp. 1805-1841
    • Mancini, L.1    Ranaldo, A.2    Wrampelmeyer, J.3
  • 192
    • 56549114785 scopus 로고    scopus 로고
    • An analysis of the liquidity benefits provided by secondary markets
    • T. Mantecon and P. Poon. An analysis of the liquidity benefits provided by secondary markets. Journal of Banking & Finance, 33:335-346, 2009.
    • (2009) Journal of Banking & Finance , vol.33 , pp. 335-346
    • Mantecon, T.1    Poon, P.2
  • 195
    • 0040428442 scopus 로고    scopus 로고
    • Large shareholders as monitors: Is there a tradeoff between liquidity and control?
    • E. Maug. Large shareholders as monitors: Is there a tradeoff between liquidity and control? Journal of Finance, 53:65-98, 1998.
    • (1998) Journal of Finance , vol.53 , pp. 65-98
    • Maug, E.1
  • 196
    • 0042242629 scopus 로고    scopus 로고
    • Competition, market structure, and bid-ask spreads in stock option markets
    • S. Mayhew. Competition, market structure, and bid-ask spreads in stock option markets. Journal of Finance, 57:931-958, 2002.
    • (2002) Journal of Finance , vol.57 , pp. 931-958
    • Mayhew, S.1
  • 197
    • 84886305384 scopus 로고    scopus 로고
    • High frequency trading and the new-market makers
    • A. Menkveld. High frequency trading and the new-market makers. Journal of Financial Markets, 16:712-740, 2012.
    • (2012) Journal of Financial Markets , vol.16 , pp. 712-740
    • Menkveld, A.1
  • 198
    • 84974489702 scopus 로고
    • Open-market repurchase programs and bid-ask spreads on the NYSE: Implications for corporate payout policy
    • J. Miller and J. McConnell. Open-market repurchase programs and bid-ask spreads on the NYSE: Implications for corporate payout policy. Journal of Financial and Quantitative Analysis, 30:365-382, 1995.
    • (1995) Journal of Financial and Quantitative Analysis , vol.30 , pp. 365-382
    • Miller, J.1    McConnell, J.2
  • 199
    • 0001699517 scopus 로고
    • Dividend policy, growth and the valuation of shares
    • M. Miller and F. Modigliani. Dividend policy, growth and the valuation of shares. Journal of Business, 34:411-433, 1961.
    • (1961) Journal of Business , vol.34 , pp. 411-433
    • Miller, M.1    Modigliani, F.2
  • 200
    • 0000793139 scopus 로고
    • Cramming more components onto integrated circuits
    • G. Moore. Cramming more components onto integrated circuits. Electronics, 38:114-119, 1965.
    • (1965) Electronics , vol.38 , pp. 114-119
    • Moore, G.1
  • 201
  • 202
    • 0036101936 scopus 로고    scopus 로고
    • Investor activism and financial market structure
    • T. Noe. Investor activism and financial market structure. Review of Financial Studies, 15:289-315, 2002.
    • (2002) Review of Financial Studies , vol.15 , pp. 289-315
    • Noe, T.1
  • 204
    • 84908148670 scopus 로고    scopus 로고
    • Optimal trading strategy and supply/demand dynamics
    • A. Obizhaeva and J. Wang. Optimal trading strategy and supply/demand dynamics. Journal of Financial Markets, 9:201-242, 2012.
    • (2012) Journal of Financial Markets , vol.9 , pp. 201-242
    • Obizhaeva, A.1    Wang, J.2
  • 205
  • 206
    • 0002650969 scopus 로고
    • The implementation shortfall: Paper versus reality
    • A. Perold. The implementation shortfall: Paper versus reality. Journal of Portfolio Management, 14:4-9, 1988.
    • (1988) Journal of Portfolio Management , vol.14 , pp. 4-9
    • Perold, A.1
  • 207
    • 0037405526 scopus 로고    scopus 로고
    • Underpricing, stock allocation, ownership structure and post-listing liquidity of newly listed firms
    • P. Pham, P. Kalev, and A. Steen. Underpricing, stock allocation, ownership structure and post-listing liquidity of newly listed firms. Journal of Banking and Finance, 27:919-947, 2003.
    • (2003) Journal of Banking and Finance , vol.27 , pp. 919-947
    • Pham, P.1    Kalev, P.2    Steen, A.3
  • 208
    • 0031325439 scopus 로고    scopus 로고
    • Decimalization and market quality
    • D. Porter and D. Weaver. Decimalization and market quality. Financial Management, 26:5-26, 1997.
    • (1997) Financial Management , vol.26 , pp. 5-26
    • Porter, D.1    Weaver, D.2
  • 209
    • 79959775401 scopus 로고    scopus 로고
    • Liquidity changes around seasoned equity issuance: Public offerings versus private placements
    • H. Qian. Liquidity changes around seasoned equity issuance: Public offerings versus private placements. Financial Review, 46:127-149, 2011.
    • (2011) Financial Review , vol.46 , pp. 127-149
    • Qian, H.1
  • 211
    • 84944043652 scopus 로고
    • A simple implicit measure of the effective bid-ask spread in an efficient market
    • R. Roll. A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance, 39:1127-1139, 1984.
    • (1984) Journal of Finance , vol.39 , pp. 1127-1139
    • Roll, R.1
  • 212
    • 34548485079 scopus 로고    scopus 로고
    • Liquidity and the law of one price: The case of the futures/cash basis
    • R. Roll, E. Schwartz, and A. Subrahmanyam. Liquidity and the law of one price: The case of the futures/cash basis. Journal of Finance, 62:2201-2234, 2007.
    • (2007) Journal of Finance , vol.62 , pp. 2201-2234
    • Roll, R.1    Schwartz, E.2    Subrahmanyam, A.3
  • 214
    • 84904650678 scopus 로고    scopus 로고
    • Does stock liquidity affect incentives to monitor? Evidence from corporate takeovers
    • P. Roosenboom, F. Schlingemann, and M. Vasconcelos. Does stock liquidity affect incentives to monitor? Evidence from corporate takeovers. Review of Financial Studies, 27:2392-2433, 2014.
    • (2014) Review of Financial Studies , vol.27 , pp. 2392-2433
    • Roosenboom, P.1    Schlingemann, F.2    Vasconcelos, M.3
  • 215
    • 33645958547 scopus 로고    scopus 로고
    • Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk
    • R. Sadka. Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk. Journal of Financial Economics, 80:309-349, 2006.
    • (2006) Journal of Financial Economics , vol.80 , pp. 309-349
    • Sadka, R.1
  • 216
    • 34548498627 scopus 로고    scopus 로고
    • Analyst disagreement, mispricing, and liquidity
    • R. Sadka and A. Scherbina. Analyst disagreement, mispricing, and liquidity. Journal of Finance, 62:2367-2403, 2007.
    • (2007) Journal of Finance , vol.62 , pp. 2367-2403
    • Sadka, R.1    Scherbina, A.2
  • 218
    • 21344495357 scopus 로고
    • Liquidity changes associated with open market repurchases
    • A. Singh, M. Zaman, and C. Krishnamurti. Liquidity changes associated with open market repurchases. Financial Management, 23:47-55, 1994.
    • (1994) Financial Management , vol.23 , pp. 47-55
    • Singh, A.1    Zaman, M.2    Krishnamurti, C.3
  • 219
    • 84977734744 scopus 로고
    • Inferring the components of the bid-ask spread: Theory and empirical tests
    • H. Stoll. Inferring the components of the bid-ask spread: Theory and empirical tests. Journal of Finance, 44:115-134, 1989.
    • (1989) Journal of Finance , vol.44 , pp. 115-134
    • Stoll, H.1
  • 220
  • 221
    • 84977426528 scopus 로고
    • The supply of dealer services in securities markets
    • H. R. Stoll. The supply of dealer services in securities markets. Journal of Finance, 33:1133-1151, 1978.
    • (1978) Journal of Finance , vol.33 , pp. 1133-1151
    • Stoll, H.R.1
  • 223
    • 34548059782 scopus 로고    scopus 로고
    • Liquidity return and order-flow linkages between reits and the stock market
    • A. Subrahmanyam. Liquidity, return and order-flow linkages between reits and the stock market. Real Estate Economics, 35:383-408, 2007.
    • (2007) Real Estate Economics , vol.35 , pp. 383-408
    • Subrahmanyam, A.1
  • 224
    • 84986431750 scopus 로고
    • Adverse selection, spread behavior, and over-thecounter seasoned equity offerings
    • N. Tripathy and R. Rao. Adverse selection, spread behavior, and over-thecounter seasoned equity offerings. Journal of Financial Research, 15:39-56, 1992.
    • (1992) Journal of Financial Research , vol.15 , pp. 39-56
    • Tripathy, N.1    Rao, R.2
  • 226
    • 0010656392 scopus 로고    scopus 로고
    • The impact of the reduction in tick increments in major U.S. Markets on spreads, depth, and volatility
    • B. Van Ness, R. Van Ness, and S. Pruitt. The impact of the reduction in tick increments in major U.S. markets on spreads, depth, and volatility. Review of Quantitative Finance and Accounting, 15:153-167, 2000.
    • (2000) Review of Quantitative Finance and Accounting , vol.15 , pp. 153-167
    • Van Ness, B.1    Van Ness, R.2    Pruitt, S.3
  • 228
    • 84986533524 scopus 로고
    • Open market stock repurchase programs and liquidity
    • J. Wiggins. Open market stock repurchase programs and liquidity. Journal of Financial Research, 17:217-229, 1994.
    • (1994) Journal of Financial Research , vol.17 , pp. 217-229
    • Wiggins, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.