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The Price of Immediacy
16 references·15 citing·35 second hop
The Price of Immediacy (2007)The Price of ImmediacyAsset pricing with liquidity risk (2005)Asset pricing with liquidity …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Market microstructure theory (1995)Market microstructure theoryInferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Liquidity and Market Structure (1988)Liquidity and Market StructureA Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…Continuous 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…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 …THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …The Cost of Transacting (1968)The Cost of TransactingThe Disappearing Index Effect (2024)The Disappearing Index EffectDoes short-selling potential influence merger and acquisition payment choice? (2022)Does short-selling potential …Over-the-Counter versus Limit-Order Markets: The Role of Traders’ Expertise (2019)Over-the-Counter versus Limit…Valuing Thinly Traded Assets (2017)Valuing Thinly Traded AssetsA Model for Queue Position Valuation in a Limit Order Book (2016)A Model for Queue Position Va…OR Forum—The Cost of Latency in High-Frequency Trading (2013)OR Forum—The Cost of Latency …Modelling and forecasting liquidity supply using semiparametric factor dynamics (2012)Modelling and forecasting liq…What Moves CDS Spreads? (2011)What Moves CDS Spreads?The Cost of Latency (2011)The Cost of LatencyStock Price Fragility (2011)Stock Price FragilityAnomalous Price Impact and the Critical Nature of Liquidity in Financial Markets (2011)Anomalous Price Impact and th…Locked Up by a Lockup: Valuing Liquidity as a Real Option (2010)Locked Up by a Lockup: Valuin…Hedging credit: Equity liquidity matters (2008)Hedging credit: Equity liquid…The Marketing of Seasoned Equity Offerings (2007)The Marketing of Seasoned Equ…Liquidity and Credit Default Swap Spreads (2007)Liquidity and Credit Default …Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)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)Market Liquidity and Funding Liquidity (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)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)The Cross-Section of Expected Stock Returns (1992)Liquidity and leverage (2008)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Noise Trader Risk in Financial Markets (1990)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1968The Cost of Transacting1,909 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1995Market microstructure theory

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1,305 cited

Cited by

  • 2008Hedging credit: Equity liquidity matters80 cited
  • 2007Liquidity and Credit Default Swap Spreads79 cited
  • 2010Locked Up by a Lockup: Valuing Liquidity as a Real Option62 cited
  • 2013OR Forum—The Cost of Latency in High-Frequency Trading56 cited
  • 2019Over-the-Counter versus Limit-Order Markets: The Role of Traders’ Expertise53 cited
  • 2007The Marketing of Seasoned Equity Offerings50 cited
  • 2011Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets37 cited
  • 2012Modelling and forecasting liquidity supply using semiparametric factor dynamics35 cited
  • 2011Stock Price Fragility34 cited
  • 2024The Disappearing Index Effect33 cited
  • 2016A Model for Queue Position Valuation in a Limit Order Book31 cited
  • 2011What Moves CDS Spreads?29 cited
  • 2011The Cost of Latency28 cited
  • 2017Valuing Thinly Traded Assets26 cited
  • 2022Does short-selling potential influence merger and acquisition payment choice?19 cited