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THE IMPACT OF MARKET MAKER CONCENTRATION ON ADVERSE‐SELECTION COSTS FOR NASDAQ STOCKS
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THE IMPACT OF MARKET MAKER CONCENTRATION ON ADVERSE‐SELECTION COSTS FOR NASDAQ STOCKS (2005)THE IMPACT OF MARKET MAKER CONCENTRATION …Market evidence on the opaqueness of banking firms’ assets (2003)Market evidence on the opaque…Issues in assessing trade execution costs (2003)Issues in assessing trade exe…How Well Do Adverse Selection Components Measure Adverse Selection? (2001)How Well Do Adverse Selection…Competition on the Nasdaq and the Impact of Recent Market Reforms (2000)Competition on the Nasdaq and…Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison (1999)Trade Execution Costs on NASD…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Trade Size and Components of the Bid-Ask Spread (1995)Trade Size and Components of …Investment analysis and price formation in securities markets (1995)Investment analysis and price…Trading Mechanisms and the Components of the Bid-Ask Spread (1994)Trading Mechanisms and the Co…Posted versus effective spreads (1994)Posted versus effective sprea…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Estimation of the Bid–Ask Spread and Its Components: A New Approach (1991)Estimation of the Bid–Ask Spr…Selling and Trading on Information in Financial Markets (1988)Selling and Trading on Inform…Estimating the components of the bid/ask spread (1988)Estimating the components of …Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Trade size, order imbalance, and the volatility–volume relation (2000)Analyst Following and Market Liquidity* (2003)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Liquidity and stock returns: An alternative test (1998)Asset pricing and the bid-ask spread (1986)Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies (1998)Dynamic Volume-Return Relation of Individual Stocks (2002)Short Selling and the Price Discovery Process (2012)A Theory of Intraday Patterns: Volume and Price Variability (1988)The Relative Contribution of Jumps to Total Price Variance (2005)Liquidity and Market Efficiency (2007)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market (1998)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)The Cross-Section of Expected Stock Returns (1992)Presidential Address: Friction (2000)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Separation of Ownership and Control (1983)A Portfolio View of Banking with Interest and Noninterest Activities (2006)The 2007–2009 financial crisis and bank opaqueness (2012)Banks as Secret Keepers (2017)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Market efficiency in real time (2002)A simple approximation of intraday spreads using daily data (2013)Algorithmic Trading and Market Quality: International Evidence (2020)
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References

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1995Investment analysis and price formation in securities markets730 cited
  • 1991Estimation of the Bid–Ask Spread and Its Components: A New Approach594 cited
  • 1995Trade Size and Components of the Bid-Ask Spread553 cited
  • 2003Market evidence on the opaqueness of banking firms’ assets389 cited
  • 2003Issues in assessing trade execution costs358 cited
  • 2001How Well Do Adverse Selection Components Measure Adverse Selection?264 cited
  • 1999Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison263 cited
  • 1994Posted versus effective spreads260 cited
  • 1988Selling and Trading on Information in Financial Markets199 cited
  • 1994Trading Mechanisms and the Components of the Bid-Ask Spread177 cited

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Competition on the Nasdaq and the Impact of Recent Market Reforms
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