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Intraday REIT Liquidity
16 references·0 citing·39 second hop
Intraday REIT Liquidity (2005)Intraday REIT LiquidityPresidential Address: Friction (2000)Presidential Address: FrictionMarket Microstructure and Asset Pricing: On the Compensation for Market Illiquidity in Stock Returns (1999)Market Microstructure and Ass…A Specialist's Quoted Depth and the Limit Order Book (1999)A Specialist's Quoted Depth a…Institutional Investment in REITs: Evidence and Implications (1998)Institutional Investment in R…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Market Microstructure and Real Estate Returns (1995)Market Microstructure and Rea…Information, trading, and volatility (1994)Information, trading, and vol…Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Variations in Trading Volume,…Stealth trading and volatility (1993)Stealth trading and volatilitySpreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Periodic market closure and trading volume (1992)Periodic market closure and t…Liquidity and Market Structure (1988)Liquidity and Market StructureLiquidity and Market Structure (1988)Liquidity and Market StructureA Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…The Cost of Transacting (1968)The Cost of TransactingA Theory of the Term Structure of Interest Rates (1985)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Trading Patterns and Prices in the Interbank Foreign Exchange Market (1993)High frequency data in financial markets: Issues and applications (1997)Price Discovery and Trading After Hours (2003)The market for corporate control (1983)Stealth-trading: Which traders' trades move stock prices? (2001)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)Inferring Trade Direction from Intraday Data (1991)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™ (2013)Asset pricing and the bid-ask spread (1986)Separating microstructure noise from volatility (2005)Microstructure Noise, Realized Variance, and Optimal Sampling (2008)Is market fragmentation harming market quality? (2011)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity and stock returns: An alternative test (1998)The Analysis of Economic Time-Series-Part I: Prices (1953)Some New Stock-Market Indexes (1966)Risk measurement when shares are subject to infrequent trading (1979)Predicting stock market volatility: A new measure (1995)Multifractal analysis of financial markets: a review (2019)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A New Estimate of Transaction Costs (1999)Information Effects on the Bid-Ask Spread (1983)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Trade Size and Components of the Bid-Ask Spread (1995)Time and the Price Impact of a Trade (2000)Pricing the commonality across alternative measures of liquidity (2007)
this work references cited by second hop

References

  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1968The Cost of Transacting1,909 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1993Stealth trading and volatility948 cited
  • 2000Presidential Address: Friction681 cited
  • 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models624 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks534 cited
  • 1992Periodic market closure and trading volume426 cited
  • 1999Market Microstructure and Asset Pricing: On the Compensation for Market Illiquidity in Stock Returns267 cited
  • 1999A Specialist's Quoted Depth and the Limit Order Book253 cited
  • 1988Liquidity and Market Structure247 cited
  • 1994Information, trading, and volatility176 cited
  • 1998Institutional Investment in REITs: Evidence and Implications146 cited
  • 1995

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Market Microstructure and Real Estate Returns
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