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A comparison of volatility and bid–ask spread for NASDAQ and NYSE after decimalization
16 references·0 citing·40 second hop
A comparison of volatility and bid–ask spread for NASDAQ and NYSE after decimalization (2009)A comparison of volatility and bid–ask sp…Trade Execution Costs and Market Quality after Decimalization (2003)Trade Execution Costs and Mar…The Cross Section of Expected REIT Returns (2003)The Cross Section of Expected…Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE (2000)Eighths, sixteenths, and mark…Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Trade Size and Components of the Bid-Ask Spread (1995)Trade Size and Components of …Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…The Cost of Transacting (1968)The Cost of TransactingThe Behavior of Stock-Market Prices (1965)The theory and practice of econometrics (1986)The Informational Content of Implied Volatility (1993)Liquidity and Asset Prices (2006)Do ETFs Increase Volatility? (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)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)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Optimal dealer pricing under transactions and return uncertainty (1981)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)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)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Information Effects on the Bid-Ask Spread (1983)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Presidential Address: Friction (2000)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1968The Cost of Transacting1,909 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1995Trade Size and Components of the Bid-Ask Spread553 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 2003The Cross Section of Expected REIT Returns518 cited
  • 2003Trade Execution Costs and Market Quality after Decimalization512 cited

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Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE
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