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Trading noise, adverse selection, and intraday bid‐ask spreads in futures markets
16 references·6 citing·32 second hop
Trading noise, adverse selection, and intraday bid‐ask spreads in futures markets (1992)Trading noise, adverse selection, and int…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…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…Stock return variances (1986)Stock return variancesA transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…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…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Biases in computed returns (1983)Biases in computed returnsOptimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…The Cost of Transacting (1968)The Cost of TransactingExecution quality in open-outcry futures markets (2005)Execution quality in open-out…Bid–ask spreads in commodity futures markets (2004)Bid–ask spreads in commodity …The determinants of bid-ask spreads in the foreign exchange futures market: A microstructure analysis (1999)The determinants of bid-ask s…Liquidity in the Futures Pits: Inferring Market Dynamics with Incomplete Data (1998)Liquidity in the Futures Pits…Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong (1998)Inter- and intra-day liquidit…The failure of the mortgage‐backed futures contract (1995)The failure of the mortgage‐b…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Price, trade size, and information in securities markets (1987)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)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)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)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)ARCH modeling in finance (1992)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)
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
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1968The Cost of Transacting1,909 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1986Stock return variances1,813 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1983Biases in computed returns771 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1985

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An Investigation of Transactions Data for NYSE Stocks
534 cited

Cited by

  • 1998Liquidity in the Futures Pits: Inferring Market Dynamics with Incomplete Data55 cited
  • 1999The determinants of bid-ask spreads in the foreign exchange futures market: A microstructure analysis52 cited
  • 2004Bid–ask spreads in commodity futures markets52 cited
  • 1998Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong41 cited
  • 1995The failure of the mortgage‐backed futures contract25 cited
  • 2005Execution quality in open-outcry futures markets24 cited