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Measures of implicit trading costs and buy–sell asymmetry
16 references·5 citing·44 second hopsampled
Measures of implicit trading costs and buy–sell asymmetry (2009)Measures of implicit trading costs and bu…Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data (2009)Trading Costs and Returns for…The illusory nature of momentum profits (2003)The illusory nature of moment…The Dynamics of Institutional and Individual Trading (2003)The Dynamics of Institutional…Issues in assessing trade execution costs (2003)Issues in assessing trade exe…Trading and Exchanges: Market Microstructure for Practitioners (2002)Trading and Exchanges: Market…Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time (2001)Liquidity, Volatility and Equ…Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Transactions costs and invest…The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …Anatomy of the trading process empirical evidence on the behavior of institutional traders (1995)Anatomy of the trading proces…Institutional trades and intraday stock price behavior (1993)Institutional trades and intr…Large-block transactions, the speed of response, and temporary and permanent stock-price effects (1990)Large-block transactions, the…The Total Cost of Transactions on the NYSE (1988)The Total Cost of Transaction…The implementation shortfall (1988)The implementation shortfallThe effect of large block transactions on security prices: A cross-sectional analysis (1987)The effect of large block tra…PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)PRICE IMPACTS OF BLOCK TRADIN…Trading Regularity and Fund Performance (2018)Trading Regularity and Fund P…Ex‐Dividend Profitability and Institutional Trading Skill (2016)Ex‐Dividend Profitability and…A Blessing or a Curse? The Impact of High Frequency Trading on Institutional Investors (2013)A Blessing or a Curse? The Im…Strategic trading by index funds and liquidity provision around S&P 500 index additions (2011)Strategic trading by index fu…Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Cost (2008)Performance of Institutional …Information Effects on the Bid-Ask Spread (1983)Network externalities, competition, and compatibility (1985)Liquidity and Market Structure (1988)Secondary Trading Costs in the Municipal Bond Market (2006)Liquidity in Asset Markets With Search Frictions (2009)The Online Advertising Industry: Economics, Evolution, and Privacy (2009)Estimating the components of the bid/ask spread (1988)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Are Financial Assets Priced Locally or Globally? (2002)Are Momentum Profits Robust to Trading Costs? (2004)Optimal trading strategy and supply/demand dynamics (2012)Continuous Auctions and Insider Trading (1985)Efficient Capital Markets: II (1991)Inferring Trade Direction from Intraday Data (1991)Presidential Address: Friction (2000)The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers (2000)Stealth-trading: Which traders' trades move stock prices? (2001)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Insider Trading and the Efficiency of Stock Prices (1992)Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)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)Asset pricing and the bid-ask spread (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Trading and Arbitrage in Cryptocurrency Markets (2018)The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)Pricing the commonality across alternative measures of liquidity (2007)Limited-dependent and qualitative variables in econometrics (1983)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)A Taxonomy of Anomalies and Their Trading Costs (2015)The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017)Noise Trader Risk in Financial Markets (1990)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Caught on tape: Institutional trading, stock returns, and earnings announcements (2008)The Interim Trading Skills of Institutional Investors (2011)Price, trade size, and information in securities markets (1987)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2009Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data1,098 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE671 cited
  • 2003The illusory nature of momentum profits657 cited
  • 1993Institutional trades and intraday stock price behavior626 cited
  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 1997Transactions costs and investment style: an inter-exchange analysis of institutional equity trades596 cited
  • 2002Trading and Exchanges: Market Microstructure for Practitioners517 cited
  • 2003The Dynamics of Institutional and Individual Trading506 cited
  • 1987The effect of large block transactions on security prices: A cross-sectional analysis464 cited
  • 1988The implementation shortfall441 cited
  • 1995Anatomy of the trading process empirical evidence on the behavior of institutional traders435 cited
  • 1990Large-block transactions, the speed of response, and temporary and permanent stock-price effects430 cited
  • 2001Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time378 cited
  • 2003

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Issues in assessing trade execution costs
358 cited
  • 1988The Total Cost of Transactions on the NYSE316 cited
  • Cited by

    • 2016Ex‐Dividend Profitability and Institutional Trading Skill51 cited
    • 2011Strategic trading by index funds and liquidity provision around S&P 500 index additions44 cited
    • 2013A Blessing or a Curse? The Impact of High Frequency Trading on Institutional Investors38 cited
    • 2018Trading Regularity and Fund Performance34 cited
    • 2008Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Cost34 cited