SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Trading patterns, bid-ask spreads, and estimated security returns
15 references·16 citing·47 second hop
Trading patterns, bid-ask spreads, and estimated security returns (1989)Trading patterns, bid-ask spreads, and es…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…Trades, quotes, inventories, and information (1988)Trades, quotes, inventories, …The Buying and Selling Behavior of Individual Investors at the Turn of the Year (1988)The Buying and Selling Behavi…Estimating the components of the bid/ask spread (1988)Estimating the components of …Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Optimal stock trading with personal taxes (1984)Optimal stock trading with pe…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Vas Ist Das? (1983)Vas Ist Das?Transaction costs and the small firm effect (1983)Transaction costs and the sma…Transaction costs and the small firm effect (1983)Transaction costs and the sma…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns (1983)Optimal Stock Trading with Pe…Biases in computed returns (1983)Biases in computed returnsThe Only Game in Town (1971)The Only Game in TownEmpirical Asset Pricing: The Cross Section of Stock Returns (2016)Empirical Asset Pricing: The …Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect (2003)Role of Speculative Short Sal…Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns (2001)Capital Gains Tax Rules, Tax‐…Murphy's Law and Market Anomalies (1999)Murphy's Law and Market Anoma…The Cost of Institutional Equity Trades (1998)The Cost of Institutional Equ…Multimarket trading and liquidity: a transaction data analysis of Canada–US interlistings (1998)Multimarket trading and liqui…Transactions Costs and Holding Periods for Common Stocks (1997)Transactions Costs and Holdin…Institutions and Individuals at the Turn-of-the-Year (1997)Institutions and Individuals …Posted versus effective spreads (1994)Posted versus effective sprea…Holiday Effects and Stock Returns: Further Evidence (1994)Holiday Effects and Stock Ret…Bid-ask spreads in the interbank foreign exchange markets (1994)Bid-ask spreads in the interb…The prediction of stock returns using financial statement information (1992)The prediction of stock retur…The earnings-price anomaly (1992)The earnings-price anomalySecurity Returns Around Earnings Announcements. (1991)Security Returns Around Earni…Price Reversals, Bid-Ask Spreads, and Market Efficiency (1990)Price Reversals, Bid-Ask Spre…Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects (1989)Divide and Conquer: A Theory …Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)The relationship between return and market value of common stocks (1981)A transaction data study of weekly and intradaily patterns in stock returns (1986)Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)The Behavior of Stock Prices Around Institutional Trades (1995)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)Abnormal returns to a fundamental analysis strategy. (1998)Arbitrage risk and the book-to-market anomaly (2003)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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement (1993)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic (2020)The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)Transactions, Volume, and Volatility (1994)The Message in Daily Exchange Rates (2002)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Price, trade size, and information in securities markets (1987)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Measuring security price performance (1980)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)No Single Currency Regime is Right for All Countries or At All Times (1999)Liquidity and Asset Prices (2006)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)
this work references cited by second hop

References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1971The Only Game in Town855 cited
  • 1983Biases in computed returns771 cited
  • 1983Transaction costs and the small firm effect529 cited
  • 1988Trades, quotes, inventories, and information489 cited
  • 1988The Buying and Selling Behavior of Individual Investors at the Turn of the Year482 cited
  • 1983Transaction costs and the small firm effect431 cited
  • 1983Vas Ist Das?429 cited
  • 1983Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns409 cited
  • 1984Optimal stock trading with personal taxes308 cited

Cited by

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1997
Institutions and Individuals at the Turn-of-the-Year
276 cited
  • 1992The prediction of stock returns using financial statement information274 cited
  • 1990Price Reversals, Bid-Ask Spreads, and Market Efficiency274 cited
  • 1999Murphy's Law and Market Anomalies271 cited
  • 1994Posted versus effective spreads260 cited
  • 1998The Cost of Institutional Equity Trades260 cited
  • 1991Security Returns Around Earnings Announcements.254 cited
  • 1998Multimarket trading and liquidity: a transaction data analysis of Canada–US interlistings232 cited
  • 1994Bid-ask spreads in the interbank foreign exchange markets211 cited
  • 2016Empirical Asset Pricing: The Cross Section of Stock Returns210 cited
  • 1992The earnings-price anomaly209 cited
  • 1994Holiday Effects and Stock Returns: Further Evidence208 cited
  • 2001Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns206 cited
  • 1997Transactions Costs and Holding Periods for Common Stocks205 cited
  • 2003Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect203 cited
  • 1989Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects203 cited