메뉴 건너뛰기




Volumn 23, Issue 8, 2003, Pages 719-750

Optimal contract design: For whom?

Author keywords

[No Author keywords available]

Indexed keywords


EID: 8644228785     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10086     Document Type: Review
Times cited : (38)

References (43)
  • 1
    • 0002816156 scopus 로고
    • A theory of intra-day patterns: Volume and price variability
    • Admati, A. R., & Pfleiderer, P. (1988). A theory of intra-day patterns: Volume and price variability. Review of Financial Studies, 1, 3-40.
    • (1988) Review of Financial Studies , vol.1 , pp. 3-40
    • Admati, A.R.1    Pfleiderer, P.2
  • 3
    • 0009232225 scopus 로고    scopus 로고
    • Return volatility and trading volume: An information flow interpretation of stochastic volatility
    • Anderson, T. G. (1996). Return volatility and trading volume: An information flow interpretation of stochastic volatility. Journal of Finance, 51, 169-204.
    • (1996) Journal of Finance , vol.51 , pp. 169-204
    • Anderson, T.G.1
  • 4
    • 0013049260 scopus 로고    scopus 로고
    • Tick size, share prices, and stock splits
    • Angel, J. (1997). Tick size, share prices, and stock splits. Journal of Finance, 52, 655-681.
    • (1997) Journal of Finance , vol.52 , pp. 655-681
    • Angel, J.1
  • 5
    • 0031116703 scopus 로고    scopus 로고
    • The impact of decimalization on market quality: An empirical investigation of the Toronto Stock Exchange
    • Bacidore, J. (1997). The impact of decimalization on market quality: An empirical investigation of the Toronto Stock Exchange. Journal of Financial Intermediation, 6, 92-120.
    • (1997) Journal of Financial Intermediation , vol.6 , pp. 92-120
    • Bacidore, J.1
  • 6
    • 0001168032 scopus 로고
    • Determinants of bid-ask spreads in the over-the-counter market
    • Benston, G., & Hagerman, R. (1974). Determinants of bid-ask spreads in the over-the-counter market. Journal of Financial Economics, 1, 353-364.
    • (1974) Journal of Financial Economics , vol.1 , pp. 353-364
    • Benston, G.1    Hagerman, R.2
  • 7
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-659.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-659
    • Black, F.1    Scholes, M.2
  • 11
    • 84993915181 scopus 로고
    • Why do NASDAQ market makers avoid odd-eighth quotes?
    • Christie, W., & Schultz, P. (1994). Why do NASDAQ market makers avoid odd-eighth quotes? Journal of Finance, 49, 1813-1840.
    • (1994) Journal of Finance , vol.49 , pp. 1813-1840
    • Christie, W.1    Schultz, P.2
  • 12
    • 0000346734 scopus 로고
    • A subordinated stochastic process model with finite variance for speculative prices
    • Clark, P. K. (1973). A subordinated stochastic process model with finite variance for speculative prices. Econometrica, 41, 135-155.
    • (1973) Econometrica , vol.41 , pp. 135-155
    • Clark, P.K.1
  • 13
    • 0003897617 scopus 로고
    • Division of Economic Analysis with technical support from the Office of Information Resources Management
    • Commodity Futures Trading Commission (1989). Economic Analysis of Dual Trading on Commodity Exchanges. Division of Economic Analysis with technical support from the Office of Information Resources Management.
    • (1989) Economic Analysis of Dual Trading on Commodity Exchanges
  • 14
    • 84944836521 scopus 로고
    • Information effects on the bid-ask spread
    • Copeland, T. E., & Galai, D. (1983). Information effects on the bid-ask spread. Journal of Finance, 38, 1457-1469.
    • (1983) Journal of Finance , vol.38 , pp. 1457-1469
    • Copeland, T.E.1    Galai, D.2
  • 15
    • 84963015797 scopus 로고
    • The cost of transacting
    • Demsetz, H. (1968). The cost of transacting. Quarterly Journal of Economics, 82 (February), 33-53.
    • (1968) Quarterly Journal of Economics , vol.82 , Issue.FEBRUARY , pp. 33-53
    • Demsetz, H.1
  • 16
    • 0000756720 scopus 로고
    • The stochastic dependence of security price changes and transaction volumes: Implications for the mixture of distributions hypothesis
    • Epps, T. W., & Epps, M. L. (1976). The stochastic dependence of security price changes and transaction volumes: Implications for the mixture of distributions hypothesis. Econometrica, 44, 302-321.
    • (1976) Econometrica , vol.44 , pp. 302-321
    • Epps, T.W.1    Epps, M.L.2
  • 19
    • 0345401653 scopus 로고
    • Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders
    • Glosten, L. R., & Milgrom, P. R. (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
  • 20
    • 0001240870 scopus 로고    scopus 로고
    • Eighths, sixteenths, and market depth: Changes in tick size and liquidity provision on the NYSE
    • Goldstein, M. A., & Kavajecz, K. (2000). Eighths, sixteenths, and market depth: Changes in tick size and liquidity provision on the NYSE. Journal of Financial Economics, 56, 125-149.
    • (2000) Journal of Financial Economics , vol.56 , pp. 125-149
    • Goldstein, M.A.1    Kavajecz, K.2
  • 22
    • 84977725243 scopus 로고
    • Liquidity and market structure
    • Grossman, S., & Miller, M. H. (1988). Liquidity and market structure. Journal of Finance, 43, 617-633.
    • (1988) Journal of Finance , vol.43 , pp. 617-633
    • Grossman, S.1    Miller, M.H.2
  • 23
    • 21344483536 scopus 로고
    • Minimum price variations, discrete bid-ask spreads, and quotation sizes
    • Harris, L. (1994). Minimum price variations, discrete bid-ask spreads, and quotation sizes. Review of Financial Studies, 7, 149-178.
    • (1994) Review of Financial Studies , vol.7 , pp. 149-178
    • Harris, L.1
  • 24
    • 84993869057 scopus 로고
    • Testing for linear and nonlinear Granger causality in the stock price-volume relation
    • Heimstra, C., & Jones, J. D. (1994). Testing for linear and nonlinear Granger causality in the stock price-volume relation. Journal of Finance, 49, 1639-1664.
    • (1994) Journal of Finance , vol.49 , pp. 1639-1664
    • Heimstra, C.1    Jones, J.D.2
  • 26
    • 0003256425 scopus 로고    scopus 로고
    • Sixteenths: Direct evidence on institutional execution costs
    • Jones, C. M., & Lipson, M. L. (2001). Sixteenths: Direct evidence on institutional execution costs. Journal of Financial Economics, 59, 253-278.
    • (2001) Journal of Financial Economics , vol.59 , pp. 253-278
    • Jones, C.M.1    Lipson, M.L.2
  • 27
    • 4043115535 scopus 로고    scopus 로고
    • Changing the size of a futures contract: Liquidity and microstructure effects
    • Karagozoglu, A. K., & Martell, T. F. (1999). Changing the size of a futures contract: Liquidity and microstructure effects. Financial Review, 34, 75-94.
    • (1999) Financial Review , vol.34 , pp. 75-94
    • Karagozoglu, A.K.1    Martell, T.F.2
  • 28
    • 84977727783 scopus 로고
    • The market reaction to stock splits
    • Lamoureux, C. G., & Poon, P. (1987). The market reaction to stock splits. Journal of Finance, 42, 1347-1370.
    • (1987) Journal of Finance , vol.42 , pp. 1347-1370
    • Lamoureux, C.G.1    Poon, P.2
  • 29
    • 21144477783 scopus 로고
    • The effects of spiltting on the ex: A microstructure reconciliation
    • Maloney, M. T., & Mulherin, J. H. (1992). The effects of spiltting on the ex: A microstructure reconciliation. Financial Management, 21, 44-59.
    • (1992) Financial Management , vol.21 , pp. 44-59
    • Maloney, M.T.1    Mulherin, J.H.2
  • 30
    • 0030495918 scopus 로고    scopus 로고
    • Life in the pits: Competitive market making and inventory control
    • Manaster, S., & Mann, S. C. (1996). Life in the pits: Competitive market making and inventory control. Review of Financial Studies, 9, 953-975.
    • (1996) Review of Financial Studies , vol.9 , pp. 953-975
    • Manaster, S.1    Mann, S.C.2
  • 33
    • 0031325439 scopus 로고    scopus 로고
    • Tick size and market quality
    • Porter, D. C., & Weaver, D. G. (1997). Tick size and market quality. Financial Management, 26(4), 5-26.
    • (1997) Financial Management , vol.26 , Issue.4 , pp. 5-26
    • Porter, D.C.1    Weaver, D.G.2
  • 34
    • 84971972619 scopus 로고
    • A direct test of the mixture of distributions hypothesis: Measuring daily flow of information
    • Richardson, M., & Smith, T. (1994). A direct test of the mixture of distributions hypothesis: Measuring daily flow of information. Journal of Financial and Quantitative Analysis, 29, 101-116.
    • (1994) Journal of Financial and Quantitative Analysis , vol.29 , pp. 101-116
    • Richardson, M.1    Smith, T.2
  • 35
    • 84937305902 scopus 로고
    • Assessing the costs of regulation: The case of dual trading
    • Smith, T., & Whaley, R. E. (1994a). Assessing the costs of regulation: The case of dual trading. Journal of Law and Economics, 37 (April), 215-246.
    • (1994) Journal of Law and Economics , vol.37 , Issue.APRIL , pp. 215-246
    • Smith, T.1    Whaley, R.E.2
  • 36
    • 84978553496 scopus 로고
    • Estimating the effective bid/ask spread using time and sales data
    • Smith, T., & Whaley, R. E. (1994b). Estimating the effective bid/ask spread using time and sales data. Journal of Futures Markets, 14, 437-455.
    • (1994) Journal of Futures Markets , vol.14 , pp. 437-455
    • Smith, T.1    Whaley, R.E.2
  • 37
    • 84977426528 scopus 로고
    • The supply of dealer services in security markets
    • Stoll, H. R. (1978a). The supply of dealer services in security markets. Journal of Finance, 33, 1133-1151.
    • (1978) Journal of Finance , vol.33 , pp. 1133-1151
    • Stoll, H.R.1
  • 38
    • 84977429057 scopus 로고
    • The pricing of security dealer services: An empirical study of NASDAQ stocks
    • Stoll, H. R. (1978b). The pricing of security dealer services: An empirical study of NASDAQ stocks. Journal of Finance, 33, 1153-1172.
    • (1978) Journal of Finance , vol.33 , pp. 1153-1172
    • Stoll, H.R.1
  • 39
    • 0000658999 scopus 로고
    • The price variability-volume relationship on speculative markets
    • Tauchen, G. E., & Pitts, M. (1983). The price variability-volume relationship on speculative markets. Econometrica, 51, 485-505.
    • (1983) Econometrica , vol.51 , pp. 485-505
    • Tauchen, G.E.1    Pitts, M.2
  • 40
    • 0040741241 scopus 로고
    • Determinants of liquidity costs in commodity futures markets
    • Thompson, S. R., & Waller, M. L. (1988). Determinants of liquidity costs in commodity futures markets. Review of Futures Markets, 7, 110-126.
    • (1988) Review of Futures Markets , vol.7 , pp. 110-126
    • Thompson, S.R.1    Waller, M.L.2
  • 41
    • 84956051777 scopus 로고
    • The economics of liquidity services
    • Tinic, S. (1972). The economics of liquidity services. Quarterly Journal of Economics. 86, 79-83.
    • (1972) Quarterly Journal of Economics , vol.86 , pp. 79-83
    • Tinic, S.1
  • 42
    • 84920064810 scopus 로고
    • Competition and the pricing of dealer services in the over-the-counter market
    • Tinic, S., & West, R. (1972). Competition and the pricing of dealer services in the over-the-counter market. Journal of Financial and Quantitative Analysis, 8, 1707-1727.
    • (1972) Journal of Financial and Quantitative Analysis , vol.8 , pp. 1707-1727
    • Tinic, S.1    West, R.2
  • 43
    • 0000977948 scopus 로고
    • Marketability of common stocks in Canada and the U.S.A.: A comparison of agent versus dealer dominated markets
    • Tinic, S., & West, R. (1974). Marketability of common stocks in Canada and the U.S.A.: A comparison of agent versus dealer dominated markets. Journal of Finance, 29, 729-746.
    • (1974) Journal of Finance , vol.29 , pp. 729-746
    • Tinic, S.1    West, R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.