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Effects of Securities Transaction Taxes on Depth and Bid-Ask Spread
12 references·2 citing·40 second hop
Effects of Securities Transaction Taxes on Depth and Bid-Ask Spread (2015)Effects of Securities Transaction Taxes o…Should Speculators Be Taxed? (2000)Should Speculators Be Taxed?Market Making, Prices, and Quantity Limits (2000)Market Making, Prices, and Qu…Equilibrium interest rate and liquidity premium with transaction costs (1999)Equilibrium interest rate and…Transaction Taxes and Financial Market Equilibrium (1998)Transaction Taxes and Financi…Transaction Costs and Asset Prices: A Dynamic Equilibrium model (1998)Transaction Costs and Asset P…The Effects of Transaction Costs on Stock Prices and Trading Volume (1998)The Effects of Transaction Co…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)Alternative factor specificat…The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings (1994)The Effect of Market Segmenta…Should We Throw Sand in the Gears of Financial Markets (1994)Should We Throw Sand in the G…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…FINANCIAL TRANSACTION TAXES IN THEORY AND PRACTICE (2016)FINANCIAL TRANSACTION TAXES I…Costs and benefits of financial regulation: Short-selling bans and transaction taxes (2014)Costs and benefits of financi…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Breadth of ownership and stock returns (2002)Market liquidity as a sentiment indicator (2004)Short sales, institutional investors and the cross-section of stock returns (2005)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)Asset pricing and the bid-ask spread (1986)The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market (2002)Competition on the Nasdaq and the growth of electronic communication networks (2006)Reputation Effects in Trading on the New York Stock Exchange (2007)The equity premium: A puzzle (1985)Taxing Financial Transactions (2011)Endogenous Public Information and Welfare in Market Games (2017)Trading Costs and Informational Efficiency (2021)The relationship between return and market value of common stocks (1981)Endogenous Liquidity in Asset Markets (2004)A Search‐Based Theory of the On‐the‐Run Phenomenon (2008)Liquidity in Asset Markets With Search Frictions (2009)Portfolio Selection with Transaction Costs (1990)Liquidity and stock returns in pure order-driven markets: evidence from the Australian stock market (2003)IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER (2005)The Adjustment of Stock Prices to New Information (1969)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)The Impact of Industry Classifications on Financial Research (1996)Embeddedness, Social Identity and Mobility: Why Firms Leave the NASDAQ and Join the New York Stock Exchange (2000)Globalization and Similarities in Corporate Governance: A Cross-Country Analysis (2006)The Private and Social Value of Information and the Reward to Inventive Activity (1978)On the Impossibility of Informationally Efficient Markets (1980)Individual Investors and Volatility (2008)The Tobin Tax: A Review of the Evidence (2011)Noise Trader Risk in Financial Markets (1990)Optimal control of execution costs (1998)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1998Alternative 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'.11,197 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1998Transaction Costs and Asset Prices: A Dynamic Equilibrium model440 cited
  • 1994The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings411 cited
  • 1999Equilibrium interest rate and liquidity premium with transaction costs179 cited
  • 1998Transaction Taxes and Financial Market Equilibrium107 cited
  • 1998The Effects of Transaction Costs on Stock Prices and Trading Volume77 cited
  • 2000Should Speculators Be Taxed?

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64 cited
  • 2000Market Making, Prices, and Quantity Limits58 cited
  • 1994Should We Throw Sand in the Gears of Financial Markets46 cited
  • Cited by

    • 2016FINANCIAL TRANSACTION TAXES IN THEORY AND PRACTICE64 cited
    • 2014Costs and benefits of financial regulation: Short-selling bans and transaction taxes25 cited