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The asymmetry of the price impact of block trades and the bid‐ask spread
12 references·0 citing·46 second hop
The asymmetry of the price impact of block trades and the bid‐ask spread (2008)The asymmetry of the price impact of bloc…Institutional Trading and Soft Dollars (2001)Institutional Trading and Sof…Impacts of Trades in an Error-Correction Model of Quote Prices (2001)Impacts of Trades in an Error…The Accuracy of Trade Classification Rules: Evidence from Nasdaq (2000)The Accuracy of Trade Classif…Blockholder Ownership and Market Liquidity (2000)Blockholder Ownership and Mar…Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Transactions costs and invest…In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets (1997)In Search of Liquidity: Block…Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules (1996)Transparency and Liquidity: A…Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules (1996)Transparency and Liquidity: A…The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior (1992)The Probability of a Trade at…An Investigation of Market Microstructure Impacts on Event Study Returns (1991)An Investigation of Market Mi…A Day-End Transaction Price Anomaly (1989)A Day-End Transaction Price A…Corporate financing and investment decisions when firms have information that investors do not have (1984)Investment banking, reputation, and the underpricing of initial public offerings (1986)Valuation effects of security offerings and the issuance process (1986)Trading and Manipulation Around Seasoned Equity Offerings (1993)An Empirical Investigation of Short-Selling Activity Prior to Seasoned Equity Offerings (1996)Short Selling Around Seasoned Equity Offerings (2010)Estimating the components of the bid/ask spread (1988)The Behavior of Stock Prices Around Institutional Trades (1995)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Are Financial Assets Priced Locally or Globally? (2002)Are Momentum Profits Robust to Trading Costs? (2004)Optimal trading strategy and supply/demand dynamics (2012)Stock returns and the weekend effect (1980)Day of the Week Effects and Asset Returns (1981)Size-related anomalies and stock return seasonality (1983)Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator (1990)The italian stock market (1990)Quantifying stock-price response to demand fluctuations (2002)PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange (1998)Markets: Transparency and the Corporate Bond Market (2008)Sell-order liquidity and the cross-section of expected stock returns (2012)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Management ownership and market valuation (1988)Competitive Costs of Disclosure by Biotech IPOs (2004)Institutional ownership and the quality of earnings (2006)CEO compensation in relation to worker compensation across countries: The configurational impact of country‐level institutions (2015)Inferring Trade Direction from Intraday Data (1991)When the Underwriter Is the Market Maker: An Examination of Trading in the IPO Aftermarket (2000)Evidence on the speed of convergence to market efficiency (2005)Stock price reaction to public and private information (2006)Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions (2012)Price, trade size, and information in securities markets (1987)A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks (1997)Automation, speed, and stock market quality: The NYSE's Hybrid (2011)Do Dark Pools Harm Price Discovery? (2013)Continuous Auctions and Insider Trading (1985)Optimal control of execution costs (1998)Scale Effects in Mutual Fund Performance: The Role of Trading Costs (2006)Getting Out Early: An Analysis of Market Making Activity at the Recommending Analyst's Firm (2009)Institutional Trading and Abel Noser Data (2018)Pricing the commonality across alternative measures of liquidity (2007)Does an electronic stock exchange need an upstairs market? (2004)Corporate dynamic transparency: the new ICT-driven ethics? (2009)
this work references cited by second hop

References

  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 1997Transactions costs and investment style: an inter-exchange analysis of institutional equity trades596 cited
  • 2000The Accuracy of Trade Classification Rules: Evidence from Nasdaq454 cited
  • 2000Blockholder Ownership and Market Liquidity395 cited
  • 1997In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets318 cited
  • 1996Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules222 cited
  • 1989A Day-End Transaction Price Anomaly200 cited
  • 1991An Investigation of Market Microstructure Impacts on Event Study Returns192 cited
  • 1996Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules167 cited
  • 2001Institutional Trading and Soft Dollars161 cited
  • 1992The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior52 cited
  • 2001Impacts of Trades in an Error-Correction Model of Quote Prices34 cited

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