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Intraday Market Price Integration for Shares Cross-Listed Internationally
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Intraday Market Price Integration for Shares Cross-Listed Internationally (2002)Intraday Market Price Integration for Sha…Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison (1999)Trade Execution Costs on NASD…The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States (1999)The Effects of Market Segment…Why Do Companies List Shares Abroad?: A Survey of the Evidence and Its Managerial Implications (1998)Why Do Companies List Shares …The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Market Segmentation and Stock Prices: Evidence from an Emerging Market (1997)Market Segmentation and Stock…A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks (1997)A Comparison of Trade Executi…U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration (1996)U.K. and U.S. Trading of Brit…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence (1995)Foreign Equity Investment Res…Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes? (1994)Why Did NASDAQ Market Makers …Market Integration and Price Execution for NYSE-Listed Securities (1993)Market Integration and Price …Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market (1989)Asset Pricing in Partially Se…Integration vs. Segmentation in the Canadian Stock Market (1986)Integration vs. Segmentation …Biases in Dynamic Models with Fixed Effects (1981)Panel data and unobservable individual effects (1981)The Long-Run Performance of Global Equity Offerings (2000)Analysis of Panel Data (2003)Chapter 16 Are financial assets priced locally or globally? (2003)Multi-market trading and arbitrage☆ (2010)The Cost of Transacting (1968)THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Competing Mechanisms in a Common Value Environment (2000)Liquidity in Asset Markets With Search Frictions (2009)What happened to the quants in August 2007? Evidence from factors and transactions data (2010)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)An Information Based Explanation of the Domestic Bias in International Equity Investment (1993)International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market (1998)Common and fundamental factors in stock returns of Canadian oil and gas companies (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Price, trade size, and information in securities markets (1987)Market microstructure: A survey (2000)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)The impact of foreign board membership on firm value (2003)The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom (2006)Capital Account Liberalization: Theory, Evidence, and Speculation (2007)Asset pricing and the bid-ask spread (1986)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)The New Issues Puzzle (1995)Advertising, Breadth of Ownership, and Liquidity (2003)Liquidity of emerging markets (2005)Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)The Cross-Section of Expected Stock Returns (1992)Presidential Address: Friction (2000)The illusory nature of momentum profits (2003)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity and stock returns: An alternative test (1998)
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References

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1999The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States1,051 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1998Why Do Companies List Shares Abroad?: A Survey of the Evidence and Its Managerial Implications561 cited
  • 1986Integration vs. Segmentation in the Canadian Stock Market439 cited
  • 1994Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?343 cited
  • 1997Market Segmentation and Stock Prices: Evidence from an Emerging Market322 cited
  • 1997A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks314 cited
  • 1989Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market273 cited
  • 1999Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison263 cited
  • 1995Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence

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254 cited
  • 1996U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration253 cited
  • 1993Market Integration and Price Execution for NYSE-Listed Securities246 cited
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