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Trading patterns, bid-ask spreads, and estimated security returns · Study

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ArticleTrading patterns, bid-ask spreads, and estimated security returns

Donald B. Keim1989

Article1989

Trading patterns, bid-ask spreads, and estimated security returns

288 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1983Size-related anomalies and stock return seasonality 1988Estimating the components of the bid/ask spread 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests 1984A Further Investigation of the Weekend Effect in Stock Returns 1971The Only Game in Town 1983Biases in computed returns

Cited by

1997Institutions and Individuals at the Turn-of-the-Year 1990Price Reversals, Bid-Ask Spreads, and Market Efficiency 1992The prediction of stock returns using financial statement information 1999Murphy's Law and Market Anomalies 1994Posted versus effective spreads 1998The Cost of Institutional Equity Trades 1991

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Details

Year1989

Typearticle

Published1989-11-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations288

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-405x(89)90097-4

openalex_workW1556466497

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Security Returns Around Earnings Announcements.

1998Multimarket trading and liquidity: a transaction data analysis of Canada–US interlistings