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Liquidity in an Automated Auction
16 references·6 citing·43 second hop
Liquidity in an Automated Auction (2002)Liquidity in an Automated AuctionAlternative 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)Alternative factor specificat…Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Market microstructure and sec…Market Microstructure Theory. (1996)Market Microstructure Theory.Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Market microstructure theory (1995)Market microstructure theoryAn Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Stock Prices and Volume (1992)Stock Prices and VolumeMeasuring the Information Content of Stock Trades (1991)Measuring the Information Con…A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…Herd Behavior and Investment (1988)Herd Behavior and InvestmentA Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Are Forecasting Models Usable for Policy Analysis? (1986)Are Forecasting Models Usable…Relative liquidity and future volatility (2015)Relative liquidity and future…Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality (2014)Reprint of: Market liquidity …Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach (2013)Liquidity Dynamics in an Elec…Dynamics of Market Liquidity of Tunisian Stocks: An Analysis of Market Resiliency (2006)Dynamics of Market Liquidity …Optimal Trading Strategy and Supply/Demand Dynamics (2005)Optimal Trading Strategy and …Zooming in on Liquidity (2004)Zooming in on LiquidityRisk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Breadth of ownership and stock returns (2002)Market liquidity as a sentiment indicator (2004)Short sales, institutional investors and the cross-section of stock returns (2005)The General Theory of Employment (1937)Network externalities, competition, and compatibility (1985)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The impact of institutional trading on stock prices (1992)The Limits of Arbitrage (1995)The Categorical Imperative: Securities Analysts and the Illegitimacy Discount (1999)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Bayesian Analysis of Stochastic Volatility Models (2002)Risks and Portfolio Decisions Involving Hedge Funds (2003)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)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)Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity and stock returns: An alternative test (1998)Commonality in liquidity (2000)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)What Does Monetary Policy Do? (1996)Oil price shocks and stock market activity (1999)What are the effects of fiscal policy shocks? (2009)
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References

  • 1986Asset pricing and the bid-ask spread5,087 cited
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  • 1988Herd Behavior and Investment2,815 cited
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  • 1992Stock Prices and Volume1,295 cited
  • 1986Are Forecasting Models Usable for Policy Analysis?1,224 cited
  • 1998Alternative 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'.11,197 cited
  • 1996Market Microstructure Theory.

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1,152 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1997Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange652 cited
  • Cited by

    • 2013Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach66 cited
    • 2014Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality59 cited
    • 2004Zooming in on Liquidity43 cited
    • 2006Dynamics of Market Liquidity of Tunisian Stocks: An Analysis of Market Resiliency37 cited
    • 2005Optimal Trading Strategy and Supply/Demand Dynamics28 cited
    • 2015Relative liquidity and future volatility24 cited