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Marketmaking in the Laboratory: Does Competition Matter?
16 references·4 citing·35 second hop
Marketmaking in the Laboratory: Does Competition Matter? (2001)Marketmaking in the Laboratory: Does Comp…Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Transparency and Liquidity: A…Market Microstructure Theory. (1996)Market Microstructure Theory.Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Market microstructure theory (1995)Market microstructure theoryWhy do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Informed Speculation with Imperfect Competition (1989)Informed Speculation with Imp…Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets (1988)Rational Expectations and the…Estimating the components of the bid/ask spread (1988)Estimating the components of …Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…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…Information, trade and common knowledge (1982)Information, trade and common…Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models (1982)Efficiency of Experimental Se…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Market microstructure (1976)Market microstructureMarket maker competition and price efficiency: Evidence from China (2017)Market maker competition and …Revisiting Information Aggregation in Asset Markets: Reflective Learning & Market Efficiency (2015)Revisiting Information Aggreg…Market for Information and Identity Disclosure in an Experimental Open Limit Order Book (2006)Market for Information and Id…Insider trading and portfolio structure in experimental asset markets with a long-lived asset (1999)Insider trading and portfolio…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)Information aggregation in a noisy rational expectations economy (1981)Tests of microstructural hypotheses in the foreign exchange market (1995)Information Asymmetry, Information Precision, and the Cost of Capital (2011)Agreeing to Disagree (1976)The Private and Social Value of Information and the Reward to Inventive Activity (1978)Herd Behavior and Investment (1988)Noise Trader Risk in Financial Markets (1990)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)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Inferring Trade Direction from Intraday Data (1991)The Cross-Section of Expected Stock Returns (1992)Presidential Address: Friction (2000)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)Market microstructure: A survey (2000)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)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)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (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
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1982Information, trade and common knowledge1,738 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1995Market microstructure theory1,305 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1988Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets585 cited
  • 1982Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models565 cited
  • 1976Market microstructure555 cited
  • 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading545 cited

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  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
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    • 1999Insider trading and portfolio structure in experimental asset markets with a long-lived asset21 cited
    • 2015Revisiting Information Aggregation in Asset Markets: Reflective Learning & Market Efficiency18 cited
    • 2017Market maker competition and price efficiency: Evidence from China17 cited
    • 2006Market for Information and Identity Disclosure in an Experimental Open Limit Order Book17 cited