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Bid–ask spreads with indirect competition among specialists
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Bid–ask spreads with indirect competition among specialists (1998)Bid–ask spreads with indirect competition…Imperfect Competition in a Multi-Security Market with Risk Neutrality (1994)Imperfect Competition in a Mu…Price Competition between Market Makers (1993)Price Competition between Mar…I ntermediation in S earch M arkets (1993)I ntermediation in S earch M …The strategic analysis of intermediation (1989)The strategic analysis of int…Liquidity and Market Structure (1988)Liquidity and Market StructureLiquidity and Market Structure (1988)Liquidity and Market StructureBid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets (1985)A Noisy Rational Expectations…Retail Trade Concentration due to Consumers' Imperfect Information (1983)Retail Trade Concentration du…Differentiated Products, Consumer Search, and Locational Oligopoly (1982)Differentiated Products, Cons…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Dealership market (1980)Dealership marketThe arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Product Selection, Fixed Costs, and Monopolistic Competition (1976)Product Selection, Fixed Cost…Market microstructure (1976)Market microstructureThe Cost of Transacting (1968)The Cost of TransactingEfficient 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 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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)The Theory of Monopolistic Competition (1957)MONOPOLISTIC COMPETITION AND OPTIMUM PRODUCT DIVERSITY (1975)Testing For "Monopoly" Equilibrium (1987)Can Relationship Banking Survive Competition? (2000)Chapter 48 Micro-foundations of urban agglomeration economies (2004)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A New Estimate of Transaction Costs (1999)Beauty Contests and Iterated Expectations in Asset Markets (2006)Individual Investors and Local Bias (2010)Testing Asymmetric-Information Asset Pricing Models (2012)Information Effects on the Bid-Ask Spread (1983)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Informed Speculation and Hedging in a Noncompetitive Securities Market (1992)An empirical analysis of NYSE specialist trading1We thank Jim Cochrane, Joel Hasbrouck, Don Keim, Kim Shapiro, Jerry Warner, and an anonymous referee for their helpful comments. Seminar participants at the Ohio State Conference on `Dealer Markets', London School of Economics, University of Pennsylvania, and University of Wisconsion provided many helpful suggestions. Minder Cheng, Nicole Parent, and Ed Steffelin provided excellent research support. This research was completed while Madhavan was visiting the New York Stock Exchange. The comments and opinions contained in this paper are those of the authors and do not necessarily reflect those of the directors, members or officers of the New York Stock Exchange, Inc.1 (1998)Information uncertainty, information asymmetry and corporate bond yield spreads (2010)Trades, quotes, inventories, and information (1988)Tests of microstructural hypotheses in the foreign exchange market (1995)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)
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References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1968The Cost of Transacting1,909 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1976Product Selection, Fixed Costs, and Monopolistic Competition1,370 cited
  • 1980Dealership market965 cited
  • 1985A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets779 cited
  • 1976Market microstructure555 cited
  • 1988Liquidity and Market Structure233 cited
  • 1993I ntermediation in S earch M arkets197 cited
  • 1982Differentiated Products, Consumer Search, and Locational Oligopoly175 cited
  • 1983Retail Trade Concentration due to Consumers' Imperfect Information155 cited
  • 1994Imperfect Competition in a Multi-Security Market with Risk Neutrality132 cited
  • 1989The strategic analysis of intermediation120 cited
  • 1993Price Competition between Market Makers

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