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The Only Game in Town
0 references·16 citing·40 second hopsampled
The Only Game in Town (1971)The Only Game in TownLiquidity and Asset Prices (2006)Liquidity and Asset PricesMarket microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Market microstructure: A surv…Time and the Price Impact of a Trade (2000)Time and the Price Impact of …Presidential Address: Friction (2000)Presidential Address: FrictionNo Single Currency Regime is Right for All Countries or At All Times (1999)No Single Currency Regime is …Trade Size and Components of the Bid-Ask Spread (1995)Trade Size and Components of …The Summary Informativeness of Stock Trades: An Econometric Analysis (1991)The Summary Informativeness o…Estimation of the Bid–Ask Spread and Its Components: A New Approach (1991)Estimation of the Bid–Ask Spr…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)The Effects of Beta, Bid-Ask …The effect of large block transactions on security prices: A cross-sectional analysis (1987)The effect of large block tra…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…THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)THE PRICING OF SECURITY DEALE…Determinants of bid-asked spreads in the over-the-counter market (1974)Determinants of bid-asked spr…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Trade size, order imbalance, and the volatility–volume relation (2000)Analyst Following and Market Liquidity* (2003)Market evidence on the opaqueness of banking firms’ assets (2003)Impulse response analysis in nonlinear multivariate models (1996)Master curve for price-impact function (2003)Modelling security market events in continuous time: Intensity based, multivariate point process models (2007)The Cost of Transacting (1968)The capital asset pricing model: Some empirical tests (1972)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Theory of Intraday Patterns: Volume and Price Variability (1988)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Trading Mechanisms in Securities Markets (1992)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)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Valuation in Over-the-Counter Markets (2007)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)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market (1998)A Theory of Optimum Currency Areas (1961)Optimum Currency Areas (1991)Target Zones and Exchange Rate Dynamics (1991)Distinguished Lecture on Economics in Government—Exchange Rate Regimes: Is the Bipolar View Correct? (2001)Classifying exchange rate regimes: Deeds vs. words (2004)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Corporate bond liquidity before and after the onset of the subprime crisis (2011)Does Earnings Quality Affect Information Asymmetry? Evidence from Trading Costs* (2012)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Statistical aspects of ARCH and stochastic volatility (1996)Order Flow and Exchange Rate Dynamics (1999)
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  • 1999No Single Currency Regime is Right for All Countries or At All Times899 cited
  • 2006Liquidity and Asset Prices821 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 2000Presidential Address: Friction681 cited
  • 1978THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS630 cited
  • 1991Estimation of the Bid–Ask Spread and Its Components: A New Approach594 cited
  • 2000Time and the Price Impact of a Trade592 cited
  • 1974Determinants of bid-asked spreads in the over-the-counter market560 cited
  • 1995Trade Size and Components of the Bid-Ask Spread553 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1991The Summary Informativeness of Stock Trades: An Econometric Analysis537 cited
  • 1983Transaction costs and the small firm effect529 cited
  • 1989The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns522 cited
  • 2005Market microstructure: A survey of microfoundations, empirical results, and policy implications471 cited
  • 1987The effect of large block transactions on security prices: A cross-sectional analysis

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464 cited
  • 1983Transaction costs and the small firm effect431 cited