-
1
-
-
0002816156
-
A theory of intraday patterns: Volume and price variability
-
Admati, A. and P. Pfleiderer, 1988, 'A theory of intraday patterns: volume and price variability,' Review of Financial Studies, 1, 3-40.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 3-40
-
-
Admati, A.1
Pfleiderer, P.2
-
2
-
-
84977709851
-
Trading mechanism and stock returns: An empirical investigation
-
Amihud, Y. and H. Mendelson, 1987, 'Trading mechanism and stock returns: an empirical investigation,' Journal of Finance, 42, 533-55.
-
(1987)
Journal of Finance
, vol.42
, pp. 533-555
-
-
Amihud, Y.1
Mendelson, H.2
-
3
-
-
17544382343
-
Market microstructure: A survey of microfoundations, empirical results, and policy implications
-
Biais, B., L. Glosten and C. Spatt, 2005, 'Market microstructure: a survey of microfoundations, empirical results, and policy implications,' Journal of Financial Markets, 8, 217-64.
-
(2005)
Journal of Financial Markets
, vol.8
, pp. 217-264
-
-
Biais, B.1
Glosten, L.2
Spatt, C.3
-
4
-
-
84993915181
-
Why do NASDAQ market makers avoid odd-eighth quotes?
-
Christie, W. and P. Schultz, 1994, 'Why do NASDAQ market makers avoid odd-eighth quotes?,' Journal of Finance, 49, 1813-40.
-
(1994)
Journal of Finance
, vol.49
, pp. 1813-1840
-
-
Christie, W.1
Schultz, P.2
-
5
-
-
84993843848
-
Why did NASDAQ market makers stop avoiding oddeighth quotes?
-
Christie, W., J. Harris and P. Schultz, 1994, 'Why did NASDAQ market makers stop avoiding oddeighth quotes?,' Journal of Finance, 49, 1841-60.
-
(1994)
Journal of Finance
, vol.49
, pp. 1841-1860
-
-
Christie, W.1
Harris, J.2
Schultz, P.3
-
6
-
-
38249030378
-
Estimating the component of the bid/ask spread
-
Glosten L. and E. Harris, 1988, 'Estimating the component of the bid/ask spread,' Journal of Financial Economics, 21, 123-42.
-
(1988)
Journal of Financial Economics
, vol.21
, pp. 123-142
-
-
Glosten, L.1
Harris, E.2
-
7
-
-
0345401653
-
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
-
Glosten L. and J. 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.1
Milgrom, J.2
-
10
-
-
0039622549
-
Trading and returns under periodic market closures
-
Hong, H. and J. Wang, 2000, 'Trading and returns under periodic market closures,' Journal of Finance, 55, 297-354.
-
(2000)
Journal of Finance
, vol.55
, pp. 297-354
-
-
Hong, H.1
Wang, J.2
-
11
-
-
0030191637
-
Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE
-
Huang, R, and H. Stoll, 1996, 'Dealer versus auction markets: a paired comparison of execution costs on NASDAQ and the NYSE,' Journal of Financial Economics, 41, 313-57.
-
(1996)
Journal of Financial Economics
, vol.41
, pp. 313-357
-
-
Huang, R.1
Stoll, H.2
-
12
-
-
53949090749
-
The dependence between hourly prices and trading volume
-
Jain, O and G. Joh, 1988, 'The dependence between hourly prices and trading volume,' Journal of Financial and Quantitative Analysis, 23, 269-83.
-
(1988)
Journal of Financial and Quantitative Analysis
, vol.23
, pp. 269-283
-
-
Jain, O.1
Joh, G.2
-
13
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, A. 1985, 'Continuous auctions and insider trading,' Econometrica, 53, 1315-35.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1335
-
-
Kyle, A.1
-
15
-
-
0000215887
-
Market microstructure: A survey
-
Madhavan, A. 2000, 'Market microstructure: a survey,' Journal of Financial Markets, 3, 205-58.
-
(2000)
Journal of Financial Markets
, vol.3
, pp. 205-258
-
-
Madhavan, A.1
-
17
-
-
84944043652
-
A simple implicit measure of the bid-ask spread in an efficient market
-
Roll, R. 1984, 'A simple implicit measure of the bid-ask spread in an efficient market,' Journal of Finance, 39, 1127-39.
-
(1984)
Journal of Finance
, vol.39
, pp. 1127-1139
-
-
Roll, R.1
-
18
-
-
0001259929
-
Friction
-
Stoll, H. 2000, 'Friction,' Journal of Finance, 55, 1479-1514.
-
(2000)
Journal of Finance
, vol.55
, pp. 1479-1514
-
-
Stoll, H.1
-
19
-
-
84944836686
-
An investigation of transactions data for NYSE Stocks
-
Wood, R., T. McInish and J. Ord, 1985, 'An investigation of transactions data for NYSE Stocks,' Journal of Finance, 40, 723-39.
-
(1985)
Journal of Finance
, vol.40
, pp. 723-739
-
-
Wood, R.1
McInish, T.2
Ord, J.3
-
20
-
-
0002816156
-
A theory of intraday patterns: Volume and price variability
-
Admati, A. and P. Pfleiderer, 1988, 'A theory of intraday patterns: volume and price variability,' Review of Financial Studies, 1, 3-40.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 3-40
-
-
Admati, A.1
Pfleiderer, P.2
-
21
-
-
84977709851
-
Trading mechanism and stock returns: An empirical investigation
-
Amihud, Y. and H. Mendelson, 1987, 'Trading mechanism and stock returns: an empirical investigation,' Journal of Finance, 42, 533-55.
-
(1987)
Journal of Finance
, vol.42
, pp. 533-555
-
-
Amihud, Y.1
Mendelson, H.2
-
22
-
-
17544382343
-
Market microstructure: A survey of microfoundations, empirical results, and policy implications
-
Biais, B., L. Glosten and C. Spatt, 2005, 'Market microstructure: a survey of microfoundations, empirical results, and policy implications,' Journal of Financial Markets, 8, 217-64.
-
(2005)
Journal of Financial Markets
, vol.8
, pp. 217-264
-
-
Biais, B.1
Glosten, L.2
Spatt, C.3
-
23
-
-
84993843493
-
An empirical analysis of the limit order book and the order flow in the Paris Bourse
-
Biais, B., P. Hillion and C. Spatt, 1995, 'An empirical analysis of the limit order book and the order flow in the Paris Bourse,' Journal of Finance, 50, 1655-89.
-
(1995)
Journal of Finance
, vol.50
, pp. 1655-1689
-
-
Biais, B.1
Hillion, P.2
Spatt, C.3
-
24
-
-
16244419381
-
Lifting the veil: An analysis of pre-trade transparency at the NYSE
-
Boehmer, E., G. Saar and L. Yu, 2005, 'Lifting the veil: an analysis of pre-trade transparency at the NYSE,' Journal of Finance, 60, 783-815.
-
(2005)
Journal of Finance
, vol.60
, pp. 783-815
-
-
Boehmer, E.1
Saar, G.2
Yu, L.3
-
25
-
-
84993915181
-
Why do NASDAQ market makers avoid odd-eighth quotes?
-
Christie, W. and P. Schultz, 1994, 'Why do NASDAQ market makers avoid odd-eighth quotes?,' Journal of Finance, 49, 1813-40.
-
(1994)
Journal of Finance
, vol.49
, pp. 1813-1840
-
-
Christie, W.1
Schultz, P.2
-
26
-
-
84993843848
-
Why did NASDAQ market makers stop avoiding oddeighth quotes?
-
Christie, W., J. Harris and P. Schultz, 1994, 'Why did NASDAQ market makers stop avoiding oddeighth quotes?,' Journal of Finance, 49, 1841-60.
-
(1994)
Journal of Finance
, vol.49
, pp. 1841-1860
-
-
Christie, W.1
Harris, J.2
Schultz, P.3
-
27
-
-
84944836521
-
Information effects on the bid-ask spread
-
Copeland, T. and D. Galai, 1983, 'Information effects on the bid-ask spread,' Journal of Finance, 38, 1457-69.
-
(1983)
Journal of Finance
, vol.38
, pp. 1457-1469
-
-
Copeland, T.1
Galai, D.2
-
29
-
-
38249030378
-
Estimating the component of the bid/ask spread
-
Glosten L. and E. Harris, 1988, 'Estimating the component of the bid/ask spread,' Journal of Financial Economics, 21, 123-42.
-
(1988)
Journal of Financial Economics
, vol.21
, pp. 123-142
-
-
Glosten, L.1
Harris, E.2
-
30
-
-
0345401653
-
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
-
Glosten L. and J. 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.1
Milgrom, J.2
-
34
-
-
0039622549
-
Trading and returns under periodic market closures
-
Hong, H. and J. Wang, 2000, 'Trading and returns under periodic market closures,' Journal of Finance, 55, 297-354.
-
(2000)
Journal of Finance
, vol.55
, pp. 297-354
-
-
Hong, H.1
Wang, J.2
-
35
-
-
0030191637
-
Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE
-
Huang, R, and H. Stoll, 1996, 'Dealer versus auction markets: a paired comparison of execution costs on NASDAQ and the NYSE,' Journal of Financial Economics, 41, 313-57.
-
(1996)
Journal of Financial Economics
, vol.41
, pp. 313-357
-
-
Huang, R.1
Stoll, H.2
-
36
-
-
53949090749
-
The dependence between hourly prices and trading volume
-
Jain, O and G. Joh, 1988, 'The dependence between hourly prices and trading volume,' Journal of Financial and Quantitative Analysis, 23, 269-83.
-
(1988)
Journal of Financial and Quantitative Analysis
, vol.23
, pp. 269-283
-
-
Jain, O.1
Joh, G.2
-
37
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, A. 1985, 'Continuous auctions and insider trading,' Econometrica, 53, 1315-35.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1335
-
-
Kyle, A.1
-
39
-
-
0000215887
-
Market microstructure: A survey
-
Madhavan, A. 2000, 'Market microstructure: a survey,' Journal of Financial Markets, 3, 205-58.
-
(2000)
Journal of Financial Markets
, vol.3
, pp. 205-258
-
-
Madhavan, A.1
-
42
-
-
84944043652
-
A simple implicit measure of the bid-ask spread in an efficient market
-
Roll, R. 1984, 'A simple implicit measure of the bid-ask spread in an efficient market,' Journal of Finance, 39, 1127-39.
-
(1984)
Journal of Finance
, vol.39
, pp. 1127-1139
-
-
Roll, R.1
-
43
-
-
0001259929
-
Friction
-
Stoll, H. 2000, 'Friction,' Journal of Finance, 55, 1479-1514.
-
(2000)
Journal of Finance
, vol.55
, pp. 1479-1514
-
-
Stoll, H.1
-
44
-
-
84944836686
-
An investigation of transactions data for NYSE Stocks
-
Wood, R., T. McInish and J. Ord, 1985, 'An investigation of transactions data for NYSE Stocks,' Journal of Finance, 40, 723-39.
-
(1985)
Journal of Finance
, vol.40
, pp. 723-739
-
-
Wood, R.1
McInish, T.2
Ord, J.3
-
45
-
-
0001641216
-
A noisy rational expectations equilibrium for multi-asset securities markets
-
Admati, A. 1985, 'A noisy rational expectations equilibrium for multi-asset securities markets,' Econometrica, 53, 629-57.
-
(1985)
Econometrica
, vol.53
, pp. 629-657
-
-
Admati, A.1
-
46
-
-
0001543937
-
Sunshine trading and financial market equilibrium
-
Admati, A. and P. Pfleiderer, 1991, 'Sunshine trading and financial market equilibrium,' Review of Financial Studies, 4, 443-81.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 443-481
-
-
Admati, A.1
Pfleiderer, P.2
-
47
-
-
0040516942
-
Market orders and market efficiency
-
Brown, D. P. and Z. M. Zhang, 1997, 'Market orders and market efficiency,' Journal of Finance, 52, 277-308.
-
(1997)
Journal of Finance
, vol.52
, pp. 277-308
-
-
Brown, D.P.1
Zhang, Z.M.2
-
48
-
-
0000315933
-
Information and competitive price system
-
Papers and Proceedings
-
Grossman, S. and J. Stiglitz, 1976, 'Information and competitive price system,' American Economic Review, Papers and Proceedings, 66, 246-53.
-
(1976)
American Economic Review
, vol.66
, pp. 246-253
-
-
Grossman, S.1
Stiglitz, J.2
-
49
-
-
0001188867
-
On the impossibility of informationally efficient markets
-
Grossman, S. and J. Stiglitz, 1980, 'On the impossibility of informationally efficient markets,' American Economic Review, 70, 393-408.
-
(1980)
American Economic Review
, vol.70
, pp. 393-408
-
-
Grossman, S.1
Stiglitz, J.2
-
50
-
-
0001073135
-
The use of knowledge in society
-
Hayek, F. A. 1945, 'The use of knowledge in society,' American Economic Review, 35, 519-30.
-
(1945)
American Economic Review
, vol.35
, pp. 519-530
-
-
Hayek, F.A.1
-
51
-
-
0000088496
-
The aggregation of information in competitive markets
-
Hellwig, M. 1980, 'The aggregation of information in competitive markets,' Journal of Economic Theory, 22, 477-98.
-
(1980)
Journal of Economic Theory
, vol.22
, pp. 477-498
-
-
Hellwig, M.1
-
52
-
-
84959850547
-
Informed speculation with imperfect competition
-
Kyle, A. 1989, 'Informed speculation with imperfect competition,' Review of Economic Studies, 56, 317-56.
-
(1989)
Review of Economic Studies
, vol.56
, pp. 317-356
-
-
Kyle, A.1
-
54
-
-
48749132731
-
Informed traders as liquidity providers: Anonymity, liquidity and price formation
-
Rindi, B. 2008, 'Informed traders as liquidity providers: anonymity, liquidity and price formation.' Review of Finance, 12, 497-532.
-
(2008)
Review of Finance
, vol.12
, pp. 497-532
-
-
Rindi, B.1
-
55
-
-
0002816156
-
A theory of intraday patterns: Volume and price variability
-
Admati, A. and P. Pfleiderer, 1988, 'A theory of intraday patterns: volume and price variability,' Review of Financial Studies, 1, 3-40.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 3-40
-
-
Admati, A.1
Pfleiderer, P.2
-
56
-
-
0345401653
-
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
-
Glosten, L. and P. 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.1
Milgrom, P.2
-
57
-
-
0001188867
-
On the impossibility of informationally efficient markets
-
Grossman, S. and J. Stiglitz, 1980, 'On the impossibility of informationally efficient markets,' American Economic Review, 70, 393-408.
-
(1980)
American Economic Review
, vol.70
, pp. 393-408
-
-
Grossman, S.1
Stiglitz, J.2
-
58
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, A. 1985, 'Continuous auctions and insider trading,' Econometrica, 53, 1315-35.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1335
-
-
Kyle, A.1
-
59
-
-
0000876455
-
Risk aversion, market liquidity and price efficiency
-
Subrahmanyam, A. 1991, 'Risk aversion, market liquidity and price efficiency,' Review of Financial Studies, 4, 417-41.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 417-441
-
-
Subrahmanyam, A.1
-
60
-
-
0010940821
-
Price, trade and information in securities markets
-
Easley D. and M. O'Hara, 1987, 'Price, trade 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
-
61
-
-
0345401653
-
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
-
Glosten L. and J. 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.1
Milgrom, J.2
-
62
-
-
0001913087
-
Optimal dealer pricing under transactions and return uncertainty
-
Ho, T. and H. 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.2
-
64
-
-
84944043652
-
A simple implicit measure of the bid-ask spread in an efficient market
-
Roll, R. 1984, 'A simple implicit measure of the bid-ask spread in an efficient market,' Journal of Finance, 39, 1127-39.
-
(1984)
Journal of Finance
, vol.39
, pp. 1127-1139
-
-
Roll, R.1
-
65
-
-
84977426528
-
The supply of dealer services in securities markets
-
Stoll H. 1978, 'The supply of dealer services in securities markets,' Journal of Finance, 33, 1133-51.
-
(1978)
Journal of Finance
, vol.33
, pp. 1133-1151
-
-
Stoll, H.1
-
66
-
-
49149144829
-
Dealership market. Market making with inventory
-
Amihud, Y. and H. Mendelson, 1980, 'Dealership market. Market making with inventory,' Journal of Financial Economics, 8, 31-53.
-
(1980)
Journal of Financial Economics
, vol.8
, pp. 31-53
-
-
Amihud, Y.1
Mendelson, H.2
-
67
-
-
84993923279
-
Price formation and equilibrium liquidity in fragmented and centralized markets
-
Biais, B. 1993, 'Price formation and equilibrium liquidity in fragmented and centralized markets,' Journal of Finance, 48, 157-85.
-
(1993)
Journal of Finance
, vol.48
, pp. 157-185
-
-
Biais, B.1
-
68
-
-
0006036892
-
Competing mechanisms in a common value environment
-
Biais, B., D. Martimort and J. C. Rochet, 2000, 'Competing mechanisms in a common value environment,' Econometrica, 68, 799-837.
-
(2000)
Econometrica
, vol.68
, pp. 799-837
-
-
Biais, B.1
Martimort, D.2
Rochet, J.C.3
-
70
-
-
0039551685
-
On dealer markets under competition
-
Ho, T. and H. Stoll, 1980, 'On dealer markets under competition,' Journal of Finance, 35, 259-67.
-
(1980)
Journal of Finance
, vol.35
, pp. 259-267
-
-
Ho, T.1
Stoll, H.2
-
71
-
-
0001913087
-
Optimal dealer pricing under transactions and return uncertainty
-
Ho, T. and H. 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.2
-
72
-
-
84925135657
-
The dynamics of dealer markets under competition
-
Ho, T. and H. Stoll, 1983, 'The dynamics of dealer markets under competition,' Journal of Finance, 38, 218-31.
-
(1983)
Journal of Finance
, vol.38
, pp. 218-231
-
-
Ho, T.1
Stoll, H.2
-
73
-
-
0001519094
-
Supply function equilibria in oligopoly under uncertainty
-
Klemperer, P. D. andM. A. Meyer, 1989, 'Supply function equilibria in oligopoly under uncertainty,' Econometrica, 57, 1243-77.
-
(1989)
Econometrica
, vol.57
, pp. 1243-1277
-
-
Klemperer, P.D.1
Meyer, M.A.2
-
74
-
-
84959850547
-
Informed speculation with imperfect competition
-
Kyle, A. 1989, 'Informed speculation with imperfect competition,' Review of Economic Studies, 56, 317-56.
-
(1989)
Review of Economic Studies
, vol.56
, pp. 317-356
-
-
Kyle, A.1
-
75
-
-
0000603420
-
An empirical analysis of NYSE specialist trading
-
Madhavan, A. and G. 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
-
76
-
-
0030495918
-
Life in the pit: Competitive market making and inventory control
-
Manaster, S. and C. S. Mann, 1996, 'Life in the pit: competitive market making and inventory control,' Review of Financial Studies, 9, 953-75.
-
(1996)
Review of Financial Studies
, vol.9
, pp. 953-975
-
-
Manaster, S.1
Mann, C.S.2
-
78
-
-
0040588369
-
Does risk sharing motivate inter-dealer trading?
-
Reiss, P. and I. Werner, 1998, 'Does risk sharing motivate inter-dealer trading?,' Journal of Finance, 53, 1657-704.
-
(1998)
Journal of Finance
, vol.53
, pp. 1657-1704
-
-
Reiss, P.1
Werner, I.2
-
79
-
-
0001358514
-
Block trading and information revelation around quarterly earning announcements
-
Seppi, D. 1992, 'Block trading and information revelation around quarterly earning announcements,' Review of Financial Studies, 5, 281-305.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 281-305
-
-
Seppi, D.1
-
80
-
-
84977426528
-
The supply of dealer services in securities markets
-
Stoll H. R. 1978, 'The supply of dealer services in securities markets,' Journal of Finance, 33, 1133-51.
-
(1978)
Journal of Finance
, vol.33
, pp. 1133-1151
-
-
Stoll, H.R.1
-
81
-
-
0042286594
-
Market architecture: Limit-order books versus dealership markets
-
Viswanathan, S. and J. Wang, 2002, 'Market architecture: limit-order books versus dealership markets,' Journal of Financial Markets, 5, 127-67.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 127-167
-
-
Viswanathan, S.1
Wang, J.2
-
82
-
-
0013068840
-
Illiquidity and stock returns: Cross-section and time-series effects
-
Amihud, Y. 2002, 'Illiquidity and stock returns: cross-section and time-series effects,' Journal of Financial Markets, 5, 31-56.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 31-56
-
-
Amihud, Y.1
-
83
-
-
0012586354
-
-
Paris: Presses Universitaires de France
-
Biais, B., T. Foucault and P. Hillion, 1997, Microstructure des Marchés Financiers. Institutions, Modèles et Tests Empiriques, Paris: Presses Universitaires de France.
-
(1997)
Microstructure des Marchés Financiers. Institutions, Modèles et Tests Empiriques
-
-
Biais, B.1
Foucault, T.2
Hillion, P.3
-
84
-
-
33846279422
-
Estimating the probability of informed trading-does trade misclassification matter?
-
Boehmer, E., J. Grammig and E. Theissen, 2007, 'Estimating the probability of informed trading-does trade misclassification matter?,' Journal of Financial Markets, 10, 26-47.
-
(2007)
Journal of Financial Markets
, vol.10
, pp. 26-47
-
-
Boehmer, E.1
Grammig, J.2
Theissen, E.3
-
85
-
-
0000661879
-
On the estimation of bid-ask spreads: Theory and evidence
-
Choi, J.Y., D. Salandro and K. Shastri, 1988, 'On the estimation of bid-ask spreads: theory and evidence,' Journal of Financial and Quantitative Analysis, 23, 219-30.
-
(1988)
Journal of Financial and Quantitative Analysis
, vol.23
, pp. 219-230
-
-
Choi, J.Y.1
Salandro, D.2
Shastri, K.3
-
86
-
-
0040162258
-
Market liquidity and trading activity
-
Chordia, T., R. Roll and A. Subrahmanyam, 2001, 'Market liquidity and trading activity,' Journal of Finance, 56, 501-30.
-
(2001)
Journal of Finance
, vol.56
, pp. 501-530
-
-
Chordia, T.1
Roll, R.2
Subrahmanyam, A.3
-
87
-
-
0001266998
-
A comparison of the cost of trading French shares on the Paris Bourse and on Seaq international
-
De Jong, F., T. Nijman and A. Röell, 1995, 'A comparison of the cost of trading French shares on the Paris Bourse and on Seaq international,' European Economic Review, 39, 1277-301.
-
(1995)
European Economic Review
, vol.39
, pp. 1277-1301
-
-
De Jong, F.1
Nijman, T.2
Röell, A.3
-
89
-
-
0003313336
-
Is information risk a determinant of asset returns?
-
Easley, D., S. Hvidkjaer and M. O'Hara, 2002, 'Is information risk a determinant of asset returns?,' Journal of Finance, 57, 2185-221.
-
(2002)
Journal of Finance
, vol.57
, pp. 2185-2221
-
-
Easley, D.1
Hvidkjaer, S.2
O'Hara, M.3
-
90
-
-
0040898818
-
Liquidity, information and infrequently traded stocks
-
Easley, D., N. Kiefer, M. O'Hara and J. Paperman, 1996, 'Liquidity, information and infrequently traded stocks,' Journal of Finance, 51, 1405-436.
-
(1996)
Journal of Finance
, vol.51
, pp. 1405-1436
-
-
Easley, D.1
Kiefer, N.2
O'Hara, M.3
Paperman, J.4
-
91
-
-
0036187547
-
Order flow and exchange rate dynamics
-
Evans, M. D. D. and R. K. Lyons, 2002, 'Order flow and exchange rate dynamics,' Journal of Political Economy, 110, 170-80.
-
(2002)
Journal of Political Economy
, vol.110
, pp. 170-180
-
-
Evans, M.D.D.1
Lyons, R.K.2
-
92
-
-
0000480869
-
Efficient capitalmarkets: A review of theory and empirical work
-
Fama, E. 1970, 'Efficient capitalmarkets: a review of theory and empirical work,' Journal of Finance, 25, 383-417.
-
(1970)
Journal of Finance
, vol.25
, pp. 383-417
-
-
Fama, E.1
-
93
-
-
38249030378
-
Estimating the component of the bid/ask spread
-
Glosten, L. and E. Harris, 1988, 'Estimating the component of the bid/ask spread,' Journal of Financial Economics, 21, 123-42.
-
(1988)
Journal of Financial Economics
, vol.21
, pp. 123-142
-
-
Glosten, L.1
Harris, E.2
-
94
-
-
0345401653
-
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
-
Glosten, L. and P. 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.1
Milgrom, P.2
-
95
-
-
0009032686
-
Do inventories matter in dealership markets? Evidence from the London Stock Exchange
-
Hansch, O., N. Naik and S. Viswanathan, 1998, 'Do inventories matter in dealership markets? Evidence from the London Stock Exchange,' Journal of Finance, 53, 1623-55.
-
(1998)
Journal of Finance
, vol.53
, pp. 1623-1655
-
-
Hansch, O.1
Naik, N.2
Viswanathan, S.3
-
97
-
-
84993869051
-
The trades of market-makers: An analysis of NYSE specialists
-
Hasbrouck, J. and G. Sofianos, 1993, 'The trades of market-makers: an analysis of NYSE specialists,' Journal of Finance, 48, 1565-94.
-
(1993)
Journal of Finance
, vol.48
, pp. 1565-1594
-
-
Hasbrouck, J.1
Sofianos, G.2
-
98
-
-
84944835691
-
Dealer bid-ask quotes and transaction prices: An empirical study of some AMEX options
-
Ho, T. and R. Macris, 1984, 'Dealer bid-ask quotes and transaction prices: an empirical study of some AMEX options,' Journal of Finance, 39, 23-45.
-
(1984)
Journal of Finance
, vol.39
, pp. 23-45
-
-
Ho, T.1
Macris, R.2
-
99
-
-
0001913087
-
Optimal dealer pricing under transactions and return uncertainty
-
Ho, T. and H. 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.2
-
100
-
-
84977730741
-
Inferring trade direction from intra-day data
-
Lee, C. and M. Ready, 1991, 'Inferring trade direction from intra-day data,' Journal of Finance, 46, 733-46.
-
(1991)
Journal of Finance
, vol.46
, pp. 733-746
-
-
Lee, C.1
Ready, M.2
-
101
-
-
58149365337
-
Test of microstructure hypotheses in the foreign exchange market
-
Lyons, R., 1995, 'Test of microstructure hypotheses in the foreign exchange market,' Journal of Financial Economics, 39, 1-31.
-
(1995)
Journal of Financial Economics
, vol.39
, pp. 1-31
-
-
Lyons, R.1
-
102
-
-
0001862522
-
A Bayesian model of intraday specialist pricing
-
Madhavan, A. and S. Smidt, 1991, 'A Bayesian model of intraday specialist pricing,' Journal of Financial Economics, 30, 99-134.
-
(1991)
Journal of Financial Economics
, vol.30
, pp. 99-134
-
-
Madhavan, A.1
Smidt, S.2
-
103
-
-
84993843615
-
An analysis of daily changes in specialist inventories and quotations
-
Madhavan, A. and S. Smidt, 1993, 'An analysis of daily changes in specialist inventories and quotations,' Journal of Finance, 48, 1595-628.
-
(1993)
Journal of Finance
, vol.48
, pp. 1595-1628
-
-
Madhavan, A.1
Smidt, S.2
-
104
-
-
0000603420
-
An empirical analysis of NYSE specialist trading
-
Madhavan, A. and G. 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
-
105
-
-
0037699599
-
Do dealer firms manage inventory on a stock-by-stock or a portfolio basis?
-
Naik, N. and P. Yadav, 2003, 'Do dealer firms manage inventory on a stock-by-stock or a portfolio basis?,' Journal of Financial Economics, 69, 325-53.
-
(2003)
Journal of Financial Economics
, vol.69
, pp. 325-353
-
-
Naik, N.1
Yadav, P.2
-
106
-
-
0040588369
-
Does risk sharing motivate inter-dealer trading?
-
Reiss, P., and I. Werner, 1998, 'Does risk sharing motivate inter-dealer trading?' Journal of Finance, 53, 1657-704.
-
(1998)
Journal of Finance
, vol.53
, pp. 1657-1704
-
-
Reiss, P.1
Werner, I.2
-
107
-
-
84944043652
-
A simple implicit measure of the bid-ask spread in an efficient market
-
Roll, R. 1984, 'A simple implicit measure of the bid-ask spread in an efficient market,' Journal of Finance, 39, 1127-39.
-
(1984)
Journal of Finance
, vol.39
, pp. 1127-1139
-
-
Roll, R.1
-
108
-
-
0031637637
-
Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange
-
Snell, A. and I. Tonks, 1998, 'Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange,' Journal of Empirical Finance, 5, 1-25.
-
(1998)
Journal of Empirical Finance
, vol.5
, pp. 1-25
-
-
Snell, A.1
Tonks, I.2
-
109
-
-
84977426528
-
The supply of dealer services in securities markets
-
Stoll, H. R. 1978, 'The supply of dealer services in securities markets,' Journal of Finance, 33, 1133-51.
-
(1978)
Journal of Finance
, vol.33
, pp. 1133-1151
-
-
Stoll, H.R.1
-
110
-
-
47549111355
-
Lagged order flows and returns: A longer-term perspective
-
Subrahmanyam, A. 2008, 'Lagged order flows and returns: a longer-term perspective,' Quarterly Review of Economics and Finance, 48, 623-40.
-
(2008)
Quarterly Review of Economics and Finance
, vol.48
, pp. 623-640
-
-
Subrahmanyam, A.1
-
111
-
-
22144449932
-
Asset pricing with liquidity risk
-
Acharya, V. V. and L. H. Pedersen, 2005, 'Asset pricing with liquidity risk,' Journal of Financial Economics, 77, 375-410.
-
(2005)
Journal of Financial Economics
, vol.77
, pp. 375-410
-
-
Acharya, V.V.1
Pedersen, L.H.2
-
112
-
-
0013068840
-
Illiquidity and stock returns: Cross-section and time-series effects
-
Amihud, Y. 2002, 'Illiquidity and stock returns: cross-section and time-series effects,' Journal of Financial Markets, 5, 31-56.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 31-56
-
-
Amihud, Y.1
-
113
-
-
0000508007
-
Asset pricing and the bid-ask spread
-
Amihud, Y. and H. Mendelson, 1986, 'Asset pricing and the bid-ask spread,' Journal of Financial Economics, 17, 223-49.
-
(1986)
Journal of Financial Economics
, vol.17
, pp. 223-249
-
-
Amihud, Y.1
Mendelson, H.2
-
114
-
-
0030191751
-
Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
-
Brennan, M. J. and A. Subrahmanyam, 1996, 'Market microstructure and asset pricing: on the compensation for illiquidity in stock returns,' Journal of Financial Economics, 41, 441-64.
-
(1996)
Journal of Financial Economics
, vol.41
, pp. 441-464
-
-
Brennan, M.J.1
Subrahmanyam, A.2
-
115
-
-
0002528964
-
Commonality in liquidity
-
Chordia, T., R. Roll and A. Subrahmanyam, 2000, 'Commonality in liquidity,' Journal of Financial Economics, 56, 3-28.
-
(2000)
Journal of Financial Economics
, vol.56
, pp. 3-28
-
-
Chordia, T.1
Roll, R.2
Subrahmanyam, A.3
-
116
-
-
0040162258
-
Market liquidity and trading activity
-
Chordia, T., R. Roll and A. Subrahmanyam, 2001, 'Market liquidity and trading activity,' Journal of Finance, 52, 501-30.
-
(2001)
Journal of Finance
, vol.52
, pp. 501-530
-
-
Chordia, T.1
Roll, R.2
Subrahmanyam, A.3
-
117
-
-
84863055062
-
Why is PIN priced?
-
Duarte, J. and L. Young, 2007, 'Why is PIN priced?,' Journal of Financial Economics, 70, 223-60.
-
(2007)
Journal of Financial Economics
, vol.70
, pp. 223-260
-
-
Duarte, J.1
Young, L.2
-
118
-
-
0003313336
-
Is information risk a determinant of asset returns?
-
Easley, D., S. Hvidkjaer and M. O'Hara, 2002, 'Is information risk a determinant of asset returns?,' Journal of Finance, 57, 2185-221.
-
(2002)
Journal of Finance
, vol.57
, pp. 2185-2221
-
-
Easley, D.1
Hvidkjaer, S.2
O'Hara, M.3
-
119
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
Fama, E. F. and K. R. French, 1993, 'Common risk factors in the returns on stocks and bonds,' Journal of Financial Economics, 33, 3-56.
-
(1993)
Journal of Financial Economics
, vol.33
, pp. 3-56
-
-
Fama, E.F.1
French, K.R.2
-
120
-
-
38249030378
-
Estimating the components of the bid/ask spread
-
Glosten, L. and L. Harris, 1988, 'Estimating the components of the bid/ask spread,' Journal of Financial Economics, 21, 123-42.
-
(1988)
Journal of Financial Economics
, vol.21
, pp. 123-142
-
-
Glosten, L.1
Harris, L.2
-
122
-
-
84977728940
-
Measuring the information content of stock trades
-
Hasbrouck, J. 1991, 'Measuring the information content of stock trades,' Journal of Finance, 46, 179-207.
-
(1991)
Journal of Finance
, vol.46
, pp. 179-207
-
-
Hasbrouck, J.1
-
123
-
-
0000760894
-
Common factors in prices, order flows, and liquidity
-
Hasbrouck, J. and D. 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.2
-
124
-
-
0041402718
-
Liquidity risk and expected stock returns
-
Pastor, L. and R. F. Stambaugh, 2003, 'Liquidity risk and expected stock returns,' Journal of Political Economy, 111, 642-85.
-
(2003)
Journal of Political Economy
, vol.111
, pp. 642-685
-
-
Pastor, L.1
Stambaugh, R.F.2
-
126
-
-
33645958547
-
Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk
-
Sadka, R. 2006, 'Momentum and post-earnings-announcement drift anomalies: the role of liquidity risk,' Journal of Financial Economics, 80, 309-49.
-
(2006)
Journal of Financial Economics
, vol.80
, pp. 309-349
-
-
Sadka, R.1
-
127
-
-
84993843493
-
An empirical analysis of the limit order book and the order flow in the Paris Bourse
-
Biais, B., P. Hillion and C. Spatt, 1995, 'An empirical analysis of the limit order book and the order flow in the Paris Bourse,' Journal of Finance, 50, 1655-89.
-
(1995)
Journal of Finance
, vol.50
, pp. 1655-1689
-
-
Biais, B.1
Hillion, P.2
Spatt, C.3
-
128
-
-
0006036892
-
Competing mechanisms in a common value environment
-
Biais, B., D. Martimort and J. C. Rochet, 2000, 'Competing mechanisms in a common value environment,' Econometrica, 4, 799-837.
-
(2000)
Econometrica
, vol.4
, pp. 799-837
-
-
Biais, B.1
Martimort, D.2
Rochet, J.C.3
-
129
-
-
32544442355
-
-
Working Paper, Stern School of Business, New York University
-
Bloomfield, R., M. O'Hara and G. Saar, 2002, 'The "make or take" decision in an electronic market: evidence on the evolution of liquidity,' Working Paper, Stern School of Business, New York University.
-
(2002)
The "make or take" decision in an electronic market: Evidence on the evolution of liquidity
-
-
Bloomfield, R.1
O'Hara, M.2
Saar, G.3
-
130
-
-
0040516942
-
Market orders and market efficiency
-
Brown, P. and M. Zhang, 1997, 'Market orders and market efficiency,' Journal of Finance, 52, 277-308.
-
(1997)
Journal of Finance
, vol.52
, pp. 277-308
-
-
Brown, P.1
Zhang, M.2
-
131
-
-
85066652358
-
A challenger to the limit order book: The NYSE specialist
-
SS, Swedish Institute for Financial Research, Stockholm
-
Buti, S. 2007, 'A challenger to the limit order book: the NYSE specialist' Research Report Series, SS, Swedish Institute for Financial Research, Stockholm.
-
(2007)
Research Report Series
-
-
Buti, S.1
-
132
-
-
0000994446
-
An integrated model of market and limit orders
-
Chakravarty, S. and C. W. Holden, 1995, 'An integrated model of market and limit orders,' Journal of Financial Intermediation, 4, 213-41.
-
(1995)
Journal of Financial Intermediation
, vol.4
, pp. 213-241
-
-
Chakravarty, S.1
Holden, C.W.2
-
133
-
-
0033128130
-
Order flow composition and trading costs in a dynamic limit order market
-
Foucault, T. 1999, 'Order flow composition and trading costs in a dynamic limit order market,' Journal of Financial Markets, 2, 99-134.
-
(1999)
Journal of Financial Markets
, vol.2
, pp. 99-134
-
-
Foucault, T.1
-
134
-
-
21644449599
-
Limit order book as a market for liquidity
-
Foucault, T., O. Kadan and E. Kandel, 2005, 'Limit order book as a market for liquidity,' Review of Financial Studies, 4, 1171-217.
-
(2005)
Review of Financial Studies
, vol.4
, pp. 1171-1217
-
-
Foucault, T.1
Kadan, O.2
Kandel, E.3
-
135
-
-
0000463443
-
Insider trading, liquidity and the role of monopolist specialist
-
Glosten, L. 1989, 'Insider trading, liquidity and the role of monopolist specialist,' Journal of Business, 52, 211-35.
-
(1989)
Journal of Business
, vol.52
, pp. 211-235
-
-
Glosten, L.1
-
136
-
-
84993613651
-
Is the electronic open limit order book inevitable?
-
Glosten, L. 1994, 'Is the electronic open limit order book inevitable?,' Journal of Finance, 49, 1127-60.
-
(1994)
Journal of Finance
, vol.49
, pp. 1127-1160
-
-
Glosten, L.1
-
137
-
-
0345401653
-
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
-
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.
-
(1985)
Journal of Financial Economics
, vol.13
, pp. 71-100
-
-
Glosten, L.1
Milgrom, P.2
-
139
-
-
0001188867
-
On the impossibility of informationally efficient markets
-
Grossman, S. and J. Stiglitz, 1980, 'On the impossibility of informationally efficient markets,' American Economic Review, 70, 393-408.
-
(1980)
American Economic Review
, vol.70
, pp. 393-408
-
-
Grossman, S.1
Stiglitz, J.2
-
140
-
-
84878808452
-
The components of the bid-ask spread: A general approach
-
Huang, R. and H. Stoll, 1997, 'The components of the bid-ask spread: a general approach,' Review of Financial Studies, 12, 61-94.
-
(1997)
Review of Financial Studies
, vol.12
, pp. 61-94
-
-
Huang, R.1
Stoll, H.2
-
141
-
-
33748560495
-
So what orders do informed traders use?
-
Kaniel, R. and H. Liu, 1998, 'So what orders do informed traders use?,' Journal of Business, 79, 1867-913.
-
(1998)
Journal of Business
, vol.79
, pp. 1867-1913
-
-
Kaniel, R.1
Liu, H.2
-
142
-
-
85066650322
-
-
Working Paper, Bauer College of Business, University of Houston
-
Kumar, P. and D. J. Seppi, 1998, 'Limit and market orders with optimising traders,' Working Paper, Bauer College of Business, University of Houston.
-
(1998)
Limit and market orders with optimising traders
-
-
Kumar, P.1
Seppi, D.J.2
-
143
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, A. 1985, 'Continuous auctions and insider trading,' Econometrica, 53, 1315-35.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1335
-
-
Kyle, A.1
-
144
-
-
0032336023
-
Price dynamics in limit order markets
-
Parlour, C. 1998, 'Price dynamics in limit order markets,' Review of Financial Studies, 11, 789-816.
-
(1998)
Review of Financial Studies
, vol.11
, pp. 789-816
-
-
Parlour, C.1
-
145
-
-
0038515615
-
Liquidity based competition for order flow
-
Parlour, C. and D. Seppi, 1993, 'Liquidity based competition for order flow,' Review of Financial Studies, 16, 301-43.
-
(1993)
Review of Financial Studies
, vol.16
, pp. 301-343
-
-
Parlour, C.1
Seppi, D.2
-
146
-
-
84944043652
-
A simple implicit measure of the effective bid-ask spread in an efficient market
-
Roll, R. 1984, 'A simple implicit measure of the effective bid-ask spread in an efficient market,' Journal of Finance, 39, 1127-39.
-
(1984)
Journal of Finance
, vol.39
, pp. 1127-1139
-
-
Roll, R.1
-
148
-
-
84977722029
-
Equilibrium block trading and asymmetric information
-
Seppi, D. 1990, 'Equilibrium block trading and asymmetric information,' Journal of Finance, 45, 73-94.
-
(1990)
Journal of Finance
, vol.45
, pp. 73-94
-
-
Seppi, D.1
-
149
-
-
0031537785
-
Liquidity provision with limit orders and strategic specialist
-
Seppi, D. 1997, 'Liquidity provision with limit orders and strategic specialist,' Review of Financial Studies, 10, 103-50.
-
(1997)
Review of Financial Studies
, vol.10
, pp. 103-150
-
-
Seppi, D.1
-
150
-
-
0042286594
-
Market architecture: Limit order books versus dealership markets
-
Viswanathan, S. and J. D. Wang, 2002, 'Market architecture: limit order books versus dealership markets,' Journal of Financial Markets, 5, 127-67.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 127-167
-
-
Viswanathan, S.1
Wang, J.D.2
-
151
-
-
0036112241
-
Measures of contributions to price discovery: A comparison
-
De Jong, F. 2002, 'Measures of contributions to price discovery: a comparison,' Journal of Financial Markets, 5, 323-8.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 323-328
-
-
De Jong, F.1
-
152
-
-
85066717783
-
-
Discussion Paper 3987, CEPR, London
-
De Jong, F. and P. Schotman, 2003, 'Price discovery in fragmented markets,' Discussion Paper 3987, CEPR, London.
-
(2003)
Price discovery in fragmented markets
-
-
De Jong, F.1
Schotman, P.2
-
153
-
-
0000013567
-
Co-integration and error correction: Representation, estimation and testing
-
Engle, R. F. and C. W. J. Granger, 1987, 'Co-integration and error correction: representation, estimation and testing,' Econometrica, 35, 251-76.
-
(1987)
Econometrica
, vol.35
, pp. 251-276
-
-
Engle, R.F.1
Granger, C.W.J.2
-
154
-
-
38249030378
-
Estimating the component of the bid/ask spread
-
Glosten, L. and E. Harris, 1988, 'Estimating the component of the bid/ask spread,' Journal of Financial Economics, 21, 123-42.
-
(1988)
Journal of Financial Economics
, vol.21
, pp. 123-142
-
-
Glosten, L.1
Harris, E.2
-
155
-
-
0345401653
-
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
-
Glosten, L. and P. 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.1
Milgrom, P.2
-
157
-
-
0000731575
-
Trades, quotes, inventory and information
-
Hasbrouck, J. 1988, 'Trades, quotes, inventory and information,' Journal of Financial Economics, 22, 229-52.
-
(1988)
Journal of Financial Economics
, vol.22
, pp. 229-252
-
-
Hasbrouck, J.1
-
158
-
-
84977728940
-
Measuring the information content of stock trades
-
Hasbrouck, J. 1991, 'Measuring the information content of stock trades,' Journal of Finance, 46, 179-207.
-
(1991)
Journal of Finance
, vol.46
, pp. 179-207
-
-
Hasbrouck, J.1
-
159
-
-
21144470682
-
Assessing the quality of a security market: A new approach to transactions cost measurement
-
Hasbrouck, J. 1993, 'Assessing the quality of a security market: a new approach to transactions cost measurement,' Review of Financial Studies, 6, 191-212.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 191-212
-
-
Hasbrouck, J.1
-
160
-
-
84993849369
-
One security, many markets: Determining the contributions to price discovery
-
Hasbrouck, J. 1995, 'One security, many markets: determining the contributions to price discovery,' Journal of Finance, 50, 1175-99.
-
(1995)
Journal of Finance
, vol.50
, pp. 1175-1199
-
-
Hasbrouck, J.1
-
161
-
-
0036111833
-
Stalking the "efficient price" in market microstructure specifications: An overview
-
Hasbrouck, J. 2002, 'Stalking the "efficient price" in market microstructure specifications: an overview,' Journal of Financial Markets, 5, 329-39.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 329-339
-
-
Hasbrouck, J.1
-
162
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, A. 1985, 'Continuous auctions and insider trading,' Econometrica, 53, 1315-36.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1336
-
-
Kyle, A.1
-
164
-
-
84948489011
-
Testing for common trends
-
Stock, J. H., and M. W. Watson, 1988, 'Testing for common trends,' Journal of the American Statistical Association, 83, 1097-107.
-
(1988)
Journal of the American Statistical Association
, vol.83
, pp. 1097-1107
-
-
Stock, J.H.1
Watson, M.W.2
-
165
-
-
0002816156
-
A theory of intraday patterns: Volume and price variability
-
Admati, A. and P. Pfleiderer, 1988, 'A theory of intraday patterns: volume and price variability,' Review of Financial Studies, 1, 3-40.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 3-40
-
-
Admati, A.1
Pfleiderer, P.2
-
166
-
-
0001543937
-
Sunshine trading and financial market equilibrium
-
Admati, A. and P. Pfleiderer, 1991, 'Sunshine trading and financial market equilibrium,' Review of Financial Studies, 4, 443-81.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 443-481
-
-
Admati, A.1
Pfleiderer, P.2
-
167
-
-
0033482257
-
Market transparency: Who wins and who loses?
-
Bloomfield, R. and M. O'Hara, 1999, 'Market transparency: who wins and who loses?,' Review of Financial Studies, 12, 5-35.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 5-35
-
-
Bloomfield, R.1
O'Hara, M.2
-
168
-
-
16244419381
-
Lifting the veil: An analysis of pre-trade transparency at the NYSE
-
Boehmer, E., G. Saar and L. Yu, 2005, 'Lifting the veil: an analysis of pre-trade transparency at the NYSE,' Journal of Finance, 60, 783-815.
-
(2005)
Journal of Finance
, vol.60
, pp. 783-815
-
-
Boehmer, E.1
Saar, G.2
Yu, L.3
-
169
-
-
69949154822
-
Front-running by mutual fund managers: A mixed bag
-
Danthine, J. P. and S. Moresi, 1998, 'Front-running by mutual fund managers: a mixed bag,' European Finance Review, 2, 29-56.
-
(1998)
European Finance Review
, vol.2
, pp. 29-56
-
-
Danthine, J.P.1
Moresi, S.2
-
170
-
-
0040205761
-
Quote disclosure and price discovery in multiple dealer financial markets
-
Flood, M., R. Huisman, K. G. Koedijk and R. Mahieu, 1999, 'Quote disclosure and price discovery in multiple dealer financial markets,' Review of Financial Studies, 12, 37-59.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 37-59
-
-
Flood, M.1
Huisman K.G. Koedijk, R.2
Mahieu, R.3
-
171
-
-
38249011533
-
Anonymity in securities markets
-
Foster, M. M. and T. J. George, 1992, 'Anonymity in securities markets,'Journal of Financial Intermediation, 2, 168-206.
-
(1992)
Journal of Financial Intermediation
, vol.2
, pp. 168-206
-
-
Foster, M.M.1
George, T.J.2
-
172
-
-
34548529724
-
Does anonymity matter in electronic limit order markets?
-
Foucault, T., S. Moinas and E. Theissen, 2007, 'Does anonymity matter in electronic limit order markets?,' Review of Financial Studies, 20, 1707-47.
-
(2007)
Review of Financial Studies
, vol.20
, pp. 1707-1747
-
-
Foucault, T.1
Moinas, S.2
Theissen, E.3
-
173
-
-
0345401653
-
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
-
Glosten, L. and P. 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.1
Milgrom, P.2
-
174
-
-
0001188867
-
On the impossibility of informationally efficient markets
-
Grossman, S. and J. Stiglitz, 1980, 'On the impossibility of informationally efficient markets,' American Economic Review, 70, 393-408.
-
(1980)
American Economic Review
, vol.70
, pp. 393-408
-
-
Grossman, S.1
Stiglitz, J.2
-
175
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, A. 1985, 'Continuous auctions and insider trading,' Econometrica, 53, 1315-35.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1335
-
-
Kyle, A.1
-
176
-
-
84959850547
-
Informed speculation with imperfect competition
-
Kyle, A. 1989, 'Informed speculation with imperfect competition,' Review of Economic Studies, 56, 317-56.
-
(1989)
Review of Economic Studies
, vol.56
, pp. 317-356
-
-
Kyle, A.1
-
177
-
-
85066700994
-
-
Madhavan, A. 1992, 'Consolidation, fragmentation, and the disclosure of trading information,' 3, 579-603.
-
(1992)
Consolidation, fragmentation, and the disclosure of trading information
, vol.3
, pp. 579-603
-
-
Madhavan, A.1
-
179
-
-
22644433563
-
Should securities markets be transparent?
-
Madhavan, A., D. Porter and D. Weaver, 2005, 'Should securities markets be transparent?,' Journal of Financial Markets, 8, 265-87.
-
(2005)
Journal of Financial Markets
, vol.8
, pp. 265-287
-
-
Madhavan, A.1
Porter, D.2
Weaver, D.3
-
180
-
-
33646492841
-
Market for information and identity disclosure in an experimental open limit order book
-
Perotti, P. and B. Rindi, 2006, 'Market for information and identity disclosure in an experimental open limit order book,' Economic Notes, 1, 95-116.
-
(2006)
Economic Notes
, vol.1
, pp. 95-116
-
-
Perotti, P.1
Rindi, B.2
-
182
-
-
48749132731
-
Informed traders as liquidity providers: Anonymity, liquidity and price formation
-
Rindi, B. 2008, 'Informed traders as liquidity providers: anonymity, liquidity and price formation,' Review of Finance, 12, 497-532.
-
(2008)
Review of Finance
, vol.12
, pp. 497-532
-
-
Rindi, B.1
-
183
-
-
0000891218
-
Dual capacity trading and the quality of the market
-
Röell, A. 1990, 'Dual capacity trading and the quality of the market,' Journal of Financial Intermediation, 1, 105-24.
-
(1990)
Journal of Financial Intermediation
, vol.1
, pp. 105-124
-
-
Röell, A.1
-
184
-
-
36849048343
-
-
Working Paper 359, Research Department, Bank of Italy
-
Scalia, A. and V. Vacca, 1999, 'Does market transparency matter? A case study,'Working Paper 359, Research Department, Bank of Italy.
-
(1999)
Does market transparency matter? A case study
-
-
Scalia, A.1
Vacca, V.2
-
185
-
-
0000256694
-
Informed speculation and hedging in a noncompetitive securities market
-
Spiegel, M. and A. Subrahmanyam, 1992, 'Informed speculation and hedging in a noncompetitive securities market,' Review of Financial Studies, 5, 307-29.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 307-329
-
-
Spiegel, M.1
Subrahmanyam, A.2
|