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ArticleMarket microstructure and securities values:

Chris J. Muscarella2001

Article2001

Market microstructure and securities values:

Chris J. Muscarella · Michael S. Piwowar

89 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

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References

1985Using daily stock returns 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1986Asset pricing and the bid-ask spread 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1977Estimating betas from nonsynchronous data 1996Liquidity, Information, and Infrequently Traded Stocks 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns 1998Liquidity and stock returns: An alternative test

Cited by

2002Continuous Trading or Call Auctions: Revealed Preferences of Investors at the Tel Aviv Stock Exchange 2006Opening and closing behavior following the introduction of call auctions in Singapore 2006The influence of call auction algorithm rules on market efficiency 2013How do designated market makers create value for small-caps?2008How does the call market method affect price efficiency? Evidence from the Singapore Stock Market

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2012Market Liquidity: Asset Pricing, Risk, and Crisesbook · 12 shared references 2002Continuous Trading or Call Auctions: Revealed Preferences of Investors at the Tel Aviv Stock Exchangearticle · 10 shared references 2012Illiquidity and Stock Returns Cross-Section and Time-Series Effects＊chapter · 9 shared references 2003Market Microstructurechapter · 8 shared references 2003Chapter 17 Microstructure and asset pricingchapter · 8 shared references 2011Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?article · 7 shared references

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Year2001

Typearticle

Published2001-06-01

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations89

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s1386-4181(00)00022-7

openalex_workW1606087322

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2012

Market Liquidity: Asset Pricing, Risk, and Crises

2008Market quality changes in the London Stock Market

2020On the Effects of Continuous Trading