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Pre-trade transparency and market quality
16 references·2 citing·42 second hop
Pre-trade transparency and market quality (2007)Pre-trade transparency and market qualityEstimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Estimating Standard Errors in…Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE (2005)Lifting the Veil: An Analysis…Order aggressiveness in limit order book markets (2002)Order aggressiveness in limit…Market microstructure: A survey (2000)Market microstructure: A surv…Commonality in liquidity (2000)Commonality in liquidityMarket Transparency: Who Wins and Who Loses? (1999)Market Transparency: Who Wins…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Transparency and Liquidity: A…Market microstructure theory (1995)Market microstructure theoryConsolidation, Fragmentation, and the Disclosure of Trading Information (1995)Consolidation, Fragmentation,…Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement (1993)Assessing the Quality of a Se…The implementation shortfall (1988)The implementation shortfallContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Using Financial Data to Measure Effects of Regulation (1981)Using Financial Data to Measu…COMPETITION BETWEEN EQUITY MARKETS: A REVIEW OF THE CONSOLIDATION VERSUS FRAGMENTATION DEBATE (2016)COMPETITION BETWEEN EQUITY MA…Modelling and forecasting liquidity supply using semiparametric factor dynamics (2012)Modelling and forecasting liq…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Inferring Trade Direction from Intraday Data (1991)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Liquidity and Market Efficiency (2007)Price, trade size, and information in securities markets (1987)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Transparency and Liquidity: A Controlled Experiment on Corporate Bonds (2006)Information Disclosure in Financial Markets (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Common Errors: How to (and Not to) Control for Unobserved Heterogeneity (2012)Corporate Immunity to the COVID-19 Pandemic (2020)The Behavior of Stock-Market Prices (1965)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)Rational Expectations and the Theory of Price Movements (1961)The capital asset pricing model: Some empirical tests (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Chapter 16 Inter-industry studies of structure and performance (1989)A Dead Senator Tells No Lies: Seniority and the Distribution of Federal Benefits (1990)The effects of terrorism on global capital markets (2004)Common risk factors in the returns on stocks and bonds (1993)Market Liquidity and Trading Activity (2001)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Corporate Bond Market Transaction Costs and Transparency (2007)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)
this work references cited by second hop

References

  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2006Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches2,559 cited
  • 2000Commonality in liquidity1,748 cited
  • 1995Market microstructure theory1,305 cited
  • 2000Market microstructure: A survey1,133 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1981Using Financial Data to Measure Effects of Regulation608 cited
  • 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading545 cited
  • 1993Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement506 cited
  • 1988The implementation shortfall441 cited
  • 2002Order aggressiveness in limit order book markets409 cited
  • 1999Market Transparency: Who Wins and Who Loses?390 cited
  • 2005Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE362 cited

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1995
Consolidation, Fragmentation, and the Disclosure of Trading Information
345 cited

Cited by

  • 2016COMPETITION BETWEEN EQUITY MARKETS: A REVIEW OF THE CONSOLIDATION VERSUS FRAGMENTATION DEBATE41 cited
  • 2012Modelling and forecasting liquidity supply using semiparametric factor dynamics35 cited