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A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks
7 references·16 citing·43 second hop
A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks (1997)A Comparison of Trade Execution Costs for…In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets (1997)In Search of Liquidity: Block…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes? (1994)Why Did NASDAQ Market Makers …Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…The Impact of Dark Trading and Visible Fragmentation on Market Quality (2014)The Impact of Dark Trading an…Very fast money: High-frequency trading on the NASDAQ (2013)Very fast money: High-frequen…Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs (2011)Performance of Institutional …Initial Public Offerings as Lotteries: Skewness Preference and First-Day Returns (2011)Initial Public Offerings as L…Commodity Liquidity Measurement and Transaction Costs (2011)Commodity Liquidity Measureme…Information asymmetry and investment–cash flow sensitivity (2007)Information asymmetry and inv…The Impact of Legal and Political Institutions on Equity Trading Costs: A Cross-Country Analysis (2006)The Impact of Legal and Polit…Organized labor and information asymmetry in the financial markets (2006)Organized labor and informati…Earnings expectations, investor trade size, and anomalous returns around earnings announcements (2005)Earnings expectations, invest…Dimensions of execution quality: Recent evidence for US equity markets (2005)Dimensions of execution quali…The Impact of Regulation Fair Disclosure: Trading Costs and Information Asymmetry (2004)The Impact of Regulation Fair…Sixteenths: direct evidence on institutional execution costs (2001)Sixteenths: direct evidence o…Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges (2001)Automated Versus Floor Tradin…A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data (2000)A Direct Test of Methods for …Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison (1999)Trade Execution Costs on NASD…Limit orders and the bid–ask spread (1999)Limit orders and the bid–ask …A Non-cooperative Equilibrium for Supergames (1971)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Presidential Address: Friction (2000)The Cost of Transacting (1968)THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)Competing Mechanisms in a Common Value Environment (2000)Liquidity in Asset Markets With Search Frictions (2009)What happened to the quants in August 2007? Evidence from factors and transactions data (2010)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence from Personal Trades (2008)On the information role of stock recommendation revisions (2009)Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research* (2011)Continuous Auctions and Insider Trading (1985)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Market microstructure: A survey (2000)The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)Price, trade size, and information in securities markets (1987)A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks (1997)Automation, speed, and stock market quality: The NYSE's Hybrid (2011)Do Dark Pools Harm Price Discovery? (2013)The Cross-Section of Expected Stock Returns (1992)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)How Well Do Adverse Selection Components Measure Adverse Selection? (2001)Private Equity Performance and Liquidity Risk (2012)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)The Economics of High-Frequency Trading: Taking Stock (2016)Does Algorithmic Trading Reduce Information Acquisition? (2017)Price Discovery without Trading: Evidence from Limit Orders (2019)
this work references cited by second hop

References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1994Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?343 cited
  • 1997In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets318 cited

Cited by

  • 2013Very fast money: High-frequency trading on the NASDAQ303 cited
  • 2001Sixteenths: direct evidence on institutional execution costs279 cited
  • 2005Earnings expectations, investor trade size, and anomalous returns around earnings announcements269 cited
  • 1999Limit orders and the bid–ask spread268 cited
  • 2004The Impact of Regulation Fair Disclosure: Trading Costs and Information Asymmetry266 cited
  • 1999Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison263 cited
  • 2006The Impact of Legal and Political Institutions on Equity Trading Costs: A Cross-Country Analysis222 cited

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2011
Commodity Liquidity Measurement and Transaction Costs
216 cited
  • 2011Initial Public Offerings as Lotteries: Skewness Preference and First-Day Returns206 cited
  • 2014The Impact of Dark Trading and Visible Fragmentation on Market Quality201 cited
  • 2011Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs196 cited
  • 2006Organized labor and information asymmetry in the financial markets191 cited
  • 2001Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges190 cited
  • 2000A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data183 cited
  • 2005Dimensions of execution quality: Recent evidence for US equity markets183 cited
  • 2007Information asymmetry and investment–cash flow sensitivity169 cited