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The market spread, limit orders, and options
16 references·1 citing·38 second hop
The market spread, limit orders, and options (1993)The market spread, limit orders, and opti…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…Estimating the components of the bid/ask spread (1988)Estimating the components of …Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Nonparametric Tests of Altern…The Dynamics of Dealer Markets Under Competition (1983)The Dynamics of Dealer Market…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 marketOption pricing: A simplified approach (1979)Option pricing: A simplified …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…Market microstructure (1976)Market microstructureA MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL* (1976)A MODEL OF ASSET TRADING UNDE…A Model of Asset Trading Under the Assumption of Sequential Information Arrival (1976)A Model of Asset Trading Unde…Determinants of bid-asked spreads in the over-the-counter market (1974)Determinants of bid-asked spr…The Cost of Transacting (1968)The Cost of TransactingManagerial ownership‐induced income smoothing and information asymmetry (2012)Managerial ownership‐induced …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)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)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)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)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Liquidity and Asset Prices (2006)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)Stock returns and the weekend effect (1980)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Order flow composition and trading costs in a dynamic limit order market (1999)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Optimal control of execution costs (1998)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
this work references cited by second hop

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1968The Cost of Transacting1,909 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 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
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1980Dealership market965 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 cited
  • 1985Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978646 cited
  • 1978THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS630 cited
  • 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*608 cited
  • 1974Determinants of bid-asked spreads in the over-the-counter market560 cited
  • 1976A Model of Asset Trading Under the Assumption of Sequential Information Arrival

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556 cited
  • 1976Market microstructure555 cited
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    • 2012Managerial ownership‐induced income smoothing and information asymmetry17 cited