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The Determinants of Average Trade Size
16 references·12 citing·31 second hop
The Determinants of Average Trade Size (1998)The Determinants of Average Trade SizeLiquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Investment analysis and price formation in securities markets (1995)Investment analysis and price…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…Firm characteristics and analyst following (1989)Firm characteristics and anal…Estimating the components of the bid/ask spread (1988)Estimating the components of …A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…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…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)The Market for Securities: Su…The Only Game in Town (1971)The Only Game in TownInvestor sentiment, order submission, and investment performance on the Taiwan Stock Exchange (2016)Investor sentiment, order sub…Intraday Trading Invariance in the E-Mini S&P 500 Futures Market (2015)Intraday Trading Invariance i…The Information Content of REIT Short Interest: Investment Focus and Heterogeneous Beliefs (2011)The Information Content of RE…The Effect of ETFs on Stock Liquidity (2011)The Effect of ETFs on Stock L…Quality of financial information and liquidity (2011)Quality of financial informat…Financial Market Integration Over the Long Run: Is there a U-shape? (2011)Financial Market Integration …Information, sell-side research, and market making☆ (2008)Information, sell-side resear…You can’t always get what you want: Trade-size clustering and quantity choice in liquidity (2005)You can’t always get what you…The Index Tracking Strategies of Passive and Enhanced Index Equity Funds (2005)The Index Tracking Strategies…Information Asymmetry and Cross-Sectional Determinants of Insider Trading (2003)Information Asymmetry and Cro…Why Do Markets Fragment? A Panel-Data Analysis of Off-Exchange Trading (2001)Why Do Markets Fragment? A Pa…Measuring and Explaining Changes in REIT Liquidity: Moving Beyond the Bid–Ask Spread (2000)Measuring and Explaining Chan…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)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)Specification Tests in Econometrics (1978)The Categorical Imperative: Securities Analysts and the Illegitimacy Discount (1999)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Market microstructure: A survey (2000)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)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)Liquidity and stock returns: An alternative test (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)
this work references cited by second hop

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
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1989Firm characteristics and analyst following1,535 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1972The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices886 cited
  • 1971The Only Game in Town855 cited
  • 1995

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Investment analysis and price formation in securities markets
730 cited

Cited by

  • 2011Financial Market Integration Over the Long Run: Is there a U-shape?78 cited
  • 2011The Effect of ETFs on Stock Liquidity73 cited
  • 2000Measuring and Explaining Changes in REIT Liquidity: Moving Beyond the Bid–Ask Spread69 cited
  • 2005You can’t always get what you want: Trade-size clustering and quantity choice in liquidity67 cited
  • 2008Information, sell-side research, and market making☆50 cited
  • 2011Quality of financial information and liquidity40 cited
  • 2005The Index Tracking Strategies of Passive and Enhanced Index Equity Funds38 cited
  • 2011The Information Content of REIT Short Interest: Investment Focus and Heterogeneous Beliefs37 cited
  • 2003Information Asymmetry and Cross-Sectional Determinants of Insider Trading37 cited
  • 2001Why Do Markets Fragment? A Panel-Data Analysis of Off-Exchange Trading29 cited
  • 2015Intraday Trading Invariance in the E-Mini S&P 500 Futures Market27 cited
  • 2016Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange22 cited