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Post-trade transparency on Nasdaq's national market system1We would like to thank Tom Abbott, Robert Battalio, George Benston, Bill Christie, Larry Fisher, Steve Foerster, Jason Greene, Mike Jensen, Pete Kyle, Paul Laux, Ananth Madhavan, Jean Masson, Junius Peake, Paul Schultz, Paul Seguin, Paul Torregrosa, Dave Whitcomb, as well as seminar participants at the Northern, Southern, and Western Finance Meetings, the Symposium on the Organization of Financial Trade and Exchange Mechanisms, the Symposium in Tribute to Larry Fisher, Baruch College, Georgetown University, the University of Wisconsin-Madison, the SEC, and Paul Seguin (the referee), for helpful comments and suggestions on earlier versions of this paper.1
12 references·6 citing·44 second hop
Post-trade transparency on Nasdaq's national market system1We would like to thank Tom Abbott, Robert Battalio, George Benston, Bill Christie, Larry Fisher, Steve Foerster, Jason Greene, Mike Jensen, Pete Kyle, Paul Laux, Ananth Madhavan, Jean Masson, Junius Peake, Paul Schultz, Paul Seguin, Paul Torregrosa, Dave Whitcomb, as well as seminar participants at the Northern, Southern, and Western Finance Meetings, the Symposium on the Organization of Financial Trade and Exchange Mechanisms, the Symposium in Tribute to Larry Fisher, Baruch College, Georgetown University, the University of Wisconsin-Madison, the SEC, and Paul Seguin (the referee), for helpful comments and suggestions on earlier versions of this paper.1 (1998)Post-trade transparency on Nasdaq's natio…Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Transparency and Liquidity: A…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Market microstructure theory (1995)Market microstructure theoryConsolidation, Fragmentation, and the Disclosure of Trading Information (1995)Consolidation, Fragmentation,…Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes? (1994)Why Did NASDAQ Market Makers …Stock Price Clustering and Discreteness (1991)Stock Price Clustering and Di…Estimating the components of the bid/ask spread (1988)Estimating the components of …The effect of large block transactions on security prices: A cross-sectional analysis (1987)The effect of large block tra…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Financial Disclosure and Market Transparency with Costly Information Processing (2017)Financial Disclosure and Mark…Trader see, trader do: How do (small) FX traders react to large counterparties’ trades? (2010)Trader see, trader do: How do…“It’s Fantasy Football Made Real”: Networked Media Sport, the Internet, and the Hybrid Reality of Myfootballclub (2009)“It’s Fantasy Football Made R…Trades outside the quotes: Reporting delay, trading option, or trade size? (2005)Trades outside the quotes: Re…Market Microstructure: A Practitioner's Guide (2002)Market Microstructure: A Prac…The Quotation Behavior of Ecns and NASDAQ Market Makers (1998)The Quotation Behavior of Ecn…A Non-cooperative Equilibrium for Supergames (1971)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Presidential Address: Friction (2000)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)Measuring the Information Content of Stock Trades (1991)Theory of rational option pricing (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Liquidity and Market Structure (1988)Trading and Exchanges: Market Microstructure for Practitioners (2002)The Determinants of Underpricing for Seasoned Equity Offers (2003)Realized Volatility: A Review (2008)Continuous Auctions and Insider Trading (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Large-block transactions, the speed of response, and temporary and permanent stock-price effects (1990)Insider Trading and the Efficiency of Stock Prices (1992)Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Price, trade size, and information in securities markets (1987)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Transparency and Liquidity: A Controlled Experiment on Corporate Bonds (2006)Information Disclosure in Financial Markets (2017)Inferring Trade Direction from Intraday Data (1991)The Cross-Section of Expected Stock Returns (1992)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)Market microstructure: A survey (2000)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)
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References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1995Market microstructure theory1,305 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1991Stock Price Clustering and Discreteness576 cited
  • 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading545 cited
  • 1987The effect of large block transactions on security prices: A cross-sectional analysis464 cited
  • 1995Consolidation, Fragmentation, and the Disclosure of Trading Information345 cited
  • 1994Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?343 cited

Cited by

  • 2002Market Microstructure: A Practitioner's Guide44 cited
  • 2009“It’s Fantasy Football Made Real”: Networked Media Sport, the Internet, and the Hybrid Reality of Myfootballclub34 cited
  • 2005Trades outside the quotes: Reporting delay, trading option, or trade size?

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32 cited
  • 2017Financial Disclosure and Market Transparency with Costly Information Processing30 cited
  • 2010Trader see, trader do: How do (small) FX traders react to large counterparties’ trades?27 cited
  • 1998The Quotation Behavior of Ecns and NASDAQ Market Makers26 cited