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Time Variation in Liquidity: The Role of Market‐Maker Inventories and Revenues
16 references·16 citing·38 second hopsampled
Time Variation in Liquidity: The Role of Market‐Maker Inventories and Revenues (2010)Time Variation in Liquidity: The Role of …Simple formulas for standard errors that cluster by both firm and time (2010)Simple formulas for standard …Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Commonality in liquidity (2000)Commonality in liquidityOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Liquidity and Market Structure (1988)Liquidity and Market StructureContinuous 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…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Do High-Frequency Traders Anticipate Buying and Selling Pressure? (2020)Do High-Frequency Traders Ant…High frequency trading and extreme price movements (2018)High frequency trading and ex…Capital Commitment and Illiquidity in Corporate Bonds (2018)Capital Commitment and Illiqu…Illiquidity Premia in the Equity Options Market (2017)Illiquidity Premia in the Equ…Commonality in Liquidity: A Demand-Side Explanation (2016)Commonality in Liquidity: A D…Trading Fast and Slow: Colocation and Liquidity (2015)Trading Fast and Slow: Coloca…Price pressures (2014)Price pressuresVery fast money: High-frequency trading on the NASDAQ (2013)Very fast money: High-frequen…Liquidity risk of corporate bond returns: conditional approach (2013)Liquidity risk of corporate b…Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis (2013)Institutional trading and sto…Illiquidity Contagion and Liquidity Crashes (2012)Illiquidity Contagion and Liq…Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition (2011)Liquidity and Asset Returns U…Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy (2011)Hedge funds as liquidity prov…Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (2011)Corporate Bond Liquidity Befo…What happened to the quants in August 2007? Evidence from factors and transactions data (2010)What happened to the quants i…What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data (2008)What Happened to the Quants i…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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Cost of Transacting (1968)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Risk, Return, and Equilibrium: Empirical Tests (1973)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)The relationship between return and market value of common stocks (1981)Asset pricing and the bid-ask spread (1986)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Presidential Address: Discount Rates (2011)Noise Trader Risk in Financial Markets (1990)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 2000Commonality in liquidity1,748 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 2010Simple formulas for standard errors that cluster by both firm and time1,515 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 2001

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The Microstructure Approach to Exchange Rates
1,043 cited

Cited by

  • 2010What happened to the quants in August 2007? Evidence from factors and transactions data332 cited
  • 2018Capital Commitment and Illiquidity in Corporate Bonds326 cited
  • 2013Very fast money: High-frequency trading on the NASDAQ303 cited
  • 2013Liquidity risk of corporate bond returns: conditional approach293 cited
  • 2014Price pressures291 cited
  • 2011Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis278 cited
  • 2012Illiquidity Contagion and Liquidity Crashes264 cited
  • 2018High frequency trading and extreme price movements250 cited
  • 2015Trading Fast and Slow: Colocation and Liquidity248 cited
  • 2011Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy228 cited
  • 2020Do High-Frequency Traders Anticipate Buying and Selling Pressure?221 cited
  • 2016Commonality in Liquidity: A Demand-Side Explanation213 cited
  • 2013Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis203 cited
  • 2011Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition173 cited
  • 2017Illiquidity Premia in the Equity Options Market168 cited
  • 2008What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data165 cited