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Trading Mechanisms and the Components of the Bid-Ask Spread
16 references·16 citing·34 second hopsampled
Trading Mechanisms and the Components of the Bid-Ask Spread (1994)Trading Mechanisms and the Components of …Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…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…Insider Trading, Liquidity, and the Role of the Monopolist Specialist (1989)Insider Trading, Liquidity, a…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…Trades, quotes, inventories, and information (1988)Trades, quotes, inventories, …Liquidity and Market Structure (1988)Liquidity and Market StructureEstimating the components of the bid/ask spread (1988)Estimating the components of …Price, trade size, and information in securities markets (1987)Price, trade size, and inform…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…The Dynamics of Dealer Markets Under Competition (1983)The Dynamics of Dealer Market…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)THE PRICING OF SECURITY DEALE…Market microstructure (1976)Market microstructureThe Impact of Dark Trading and Visible Fragmentation on Market Quality (2011)The Impact of Dark Trading an…Using Matched Samples to Test for Differences in Trade Execution Costs (2007)Using Matched Samples to Test…Information Flow and Liquidity around Anticipated and Unanticipated Dividend Announcements* (2006)Information Flow and Liquidit…Commonality in liquidity: Evidence from the Australian Stock Exchange (2004)Commonality in liquidity: Evi…Stock exchange governance and market quality (2003)Stock exchange governance and…Modeling the bid/ask spread: measuring the inventory-holding premium (2003)Modeling the bid/ask spread: …Do ‘thinly-traded’ stocks benefit from specialist intervention? (2003)Do ‘thinly-traded’ stocks ben…Who's Informed? An Analysis of Stock Ownership and Informed Trading (2001)Who's Informed? An Analysis o…Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets (2000)Market structure, information…Market Evidence on the Opaqueness of Banking Firms' Assets (2000)Market Evidence on the Opaque…Execution Costs of Institutional Equity Orders (1999)Execution Costs of Institutio…BID‐ASK SPREAD COMPONENTS IN AN ORDER‐DRIVEN ENVIRONMENT (1999)BID‐ASK SPREAD COMPONENTS IN …Adverse selection and bid–ask spreads: Evidence from closed-end funds (1998)Adverse selection and bid–ask…Hedging efficiency: A futures exchange management approach (1997)Hedging efficiency: A futures…Do Competing Specialists and Preferencing Dealers Affect Market Quality? (1997)Do Competing Specialists and …Why Nasdaq market makers avoid odd-eighth quotes (1996)Why Nasdaq market makers avoi…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)Measuring the Information Content of Stock Trades (1991)Theory of rational option pricing (2005)Using daily stock returns (1985)Market liquidity and volume around earnings announcements (1994)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)The Cost of Transacting (1968)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Liquidity and Asset Prices (2006)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)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)Noise Trader Risk in Financial Markets (1990)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)A New Estimate of Transaction Costs (1999)
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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
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 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
  • 1976Market microstructure555 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1989Insider Trading, Liquidity, and the Role of the Monopolist Specialist517 cited
  • 1988

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Trades, quotes, inventories, and information
489 cited

Cited by

  • 2003Modeling the bid/ask spread: measuring the inventory-holding premium166 cited
  • 1997Do Competing Specialists and Preferencing Dealers Affect Market Quality?137 cited
  • 2001Who's Informed? An Analysis of Stock Ownership and Informed Trading134 cited
  • 1998Adverse selection and bid–ask spreads: Evidence from closed-end funds122 cited
  • 2000Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets117 cited
  • 2000Market Evidence on the Opaqueness of Banking Firms' Assets114 cited
  • 2011The Impact of Dark Trading and Visible Fragmentation on Market Quality111 cited
  • 2007Using Matched Samples to Test for Differences in Trade Execution Costs102 cited
  • 2003Do ‘thinly-traded’ stocks benefit from specialist intervention?98 cited
  • 1999BID‐ASK SPREAD COMPONENTS IN AN ORDER‐DRIVEN ENVIRONMENT87 cited
  • 1996Why Nasdaq market makers avoid odd-eighth quotes87 cited
  • 1997Hedging efficiency: A futures exchange management approach85 cited
  • 2004Commonality in liquidity: Evidence from the Australian Stock Exchange79 cited
  • 2003Stock exchange governance and market quality79 cited
  • 2006Information Flow and Liquidity around Anticipated and Unanticipated Dividend Announcements*79 cited
  • 1999Execution Costs of Institutional Equity Orders75 cited