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The Microstructure of Government Securities Markets
16 references·3 citing·35 second hop
The Microstructure of Government Securities Markets (1995)The Microstructure of Government Securiti…The Informational Role of Upstairs and Downstairs Trading (1992)The Informational Role of Ups…Dual-capacity trading and the quality of the market (1990)Dual-capacity trading and the…Liquidity and Market Structure (1988)Liquidity and Market StructureEstimating the components of the bid/ask spread (1988)Estimating the components of …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…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk (1979)Structural Organization of Se…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)THE PRICING OF SECURITY DEALE…ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION (1976)ON THE EFFICIENCY OF COMPETIT…MARKETABILITY OF COMMON STOCKS IN CANADA AND THE U.S.A.: A COMPARISON OF AGENT VERSUS DEALER DOMINATED MARKETS (1974)MARKETABILITY OF COMMON STOCK…Determinants of bid-asked spreads in the over-the-counter market (1974)Determinants of bid-asked spr…Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market (1972)Competition and the Pricing o…The Only Game in Town (1971)The Only Game in TownThe Cost of Transacting (1968)The Cost of TransactingCan You Map Global Financial Stability? (2010)Can You Map Global Financial …Issuing Government Bonds to Finance Bank Recapitalization and Restructuring: Design Factors that Affect Banks’ Financial Performance (2006)Issuing Government Bonds to F…Transformation of Markets and Policy Instruments for Open Market Operations (1995)Transformation of Markets and…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)The capital asset pricing model: Some empirical tests (1972)Transaction costs and the small firm effect (1983)Transaction costs and the small firm effect (1983)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)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)Continuous Auctions and Insider Trading (1985)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)COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)Information Effects on the Bid-Ask Spread (1983)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)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)Transmission of Volatility between Stock Markets (1990)Herd on the Street: Informational Inefficiencies in a Market with Short‐Term Speculation (1992)The Use of Knowledge in Society (1996)The Adaptive Markets Hypothesis (2004)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A New Estimate of Transaction Costs (1999)A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)No Single Currency Regime is Right for All Countries or At All Times (1999)Liquidity and Asset Prices (2006)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)
this work references cited by second hop

References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1968The Cost of Transacting1,909 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1976ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION1,438 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1971The Only Game in Town855 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 cited
  • 1978THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS630 cited
  • 1974Determinants of bid-asked spreads in the over-the-counter market560 cited
  • 1972Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market178 cited
  • 1979Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk174 cited
  • 1992The Informational Role of Upstairs and Downstairs Trading149 cited
  • 1990Dual-capacity trading and the quality of the market147 cited

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  • 1974MARKETABILITY OF COMMON STOCKS IN CANADA AND THE U.S.A.: A COMPARISON OF AGENT VERSUS DEALER DOMINATED MARKETS125 cited
  • Cited by

    • 2006Issuing Government Bonds to Finance Bank Recapitalization and Restructuring: Design Factors that Affect Banks’ Financial Performance20 cited
    • 2010Can You Map Global Financial Stability?18 cited
    • 1995Transformation of Markets and Policy Instruments for Open Market Operations11 cited