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Trading Costs, Liquidity, and Asset Holdings
16 references·3 citing·31 second hop
Trading Costs, Liquidity, and Asset Holdings (1991)Trading Costs, Liquidity, and Asset Holdi…Stock price synchronicity and liquidity (2013)Stock price synchronicity and…The economic consequences of increased disclosure: Evidence from international cross-listings☆ (2006)The economic consequences of …Knowing me, knowing you: (2001)Knowing me, knowing you:Multimarket Trading and Market Liquidity (1991)Multimarket Trading and Marke…A Theory of Trading in Stock Index Futures (1991)A Theory of Trading in Stock …A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…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…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Dealership market (1980)Dealership marketTHE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Market microstructure (1976)Market microstructureThe Only Game in Town (1971)The Only Game in TownThe Cost of Transacting (1968)The Cost of TransactingArbitrage risk and the turnover anomaly (2013)Arbitrage risk and the turnov…Incentives to Acquire Information (2008)Incentives to Acquire Informa…Information Exchange in Electronic Markets: Implications for Market Structures (1999)Information Exchange in Elect…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Liquidity and Market Efficiency (2007)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)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)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)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Statistical aspects of ARCH and stochastic volatility (1996)Order Flow and Exchange Rate Dynamics (1999)
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
  • 1968The Cost of Transacting1,909 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1980Dealership market965 cited
  • 1971The Only Game in Town855 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1991Multimarket Trading and Market Liquidity597 cited
  • 1976Market microstructure555 cited
  • 1991A Theory of Trading in Stock Index Futures542 cited
  • 2006The economic consequences of increased disclosure: Evidence from international cross-listings☆435 cited
  • 2013Stock price synchronicity and liquidity139 cited
  • 2001Knowing me, knowing you:135 cited

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Cited by

  • 1999Information Exchange in Electronic Markets: Implications for Market Structures34 cited
  • 2013Arbitrage risk and the turnover anomaly28 cited
  • 2008Incentives to Acquire Information0 cited