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The Impact of Market Maker Competition on Nasdaq Spreads
14 references·2 citing·43 second hop
The Impact of Market Maker Competition on Nasdaq Spreads (1999)The Impact of Market Maker Competition on…Preferencing, Internalization, Best Execution, and Dealer Profits (1999)Preferencing, Internalization…Entry, Exit, Market Makers, and the Bid-Ask Spread (1997)Entry, Exit, Market Makers, a…A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks (1997)A Comparison of Trade Executi…Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes? (1994)Why Did NASDAQ Market Makers …Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)Minimum Price Variations, Dis…Estimation of the Bid–Ask Spread and Its Components: A New Approach (1991)Estimation of the Bid–Ask Spr…Contestable Markets and the Theory of Industry Structure: A Review Article (1983)Contestable Markets and the T…Contestable Markets and the Theory of Industry Structure (1982)Contestable Markets and the T…THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)THE PRICING OF SECURITY DEALE…MARKETPLACE ORGANIZATION AND MARKETABILITY: NASDAQ, THE STOCK EXCHANGE, AND THE NATIONAL MARKET SYSTEM (1978)MARKETPLACE ORGANIZATION AND …Determinants of bid-asked spreads in the over-the-counter market (1974)Determinants of bid-asked spr…The Economics of Liquidity Services (1972)The Economics of Liquidity Se…Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market (1972)Competition and the Pricing o…The Prevalence, Sources, and Effects of Herding (2015)The Prevalence, Sources, and …THE IMPACT OF MARKET MAKER CONCENTRATION ON ADVERSE‐SELECTION COSTS FOR NASDAQ STOCKS (2005)THE IMPACT OF MARKET MAKER CO…A Non-cooperative Equilibrium for Supergames (1971)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Presidential Address: Friction (2000)The Cost of Transacting (1968)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)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Inferring Trade Direction from Intraday Data (1991)Liquidity, Information, and Infrequently Traded Stocks (1996)Sixteenths: direct evidence on institutional execution costs (2001)Earnings expectations, investor trade size, and anomalous returns around earnings announcements (2005)Very fast money: High-frequency trading on the NASDAQ (2013)The capital asset pricing model: Some empirical tests (1972)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Transaction costs and the small firm effect (1983)Transaction costs and the small firm effect (1983)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Trade Size and Components of the Bid-Ask Spread (1995)Valuation in Over-the-Counter Markets (2007)Continuous Auctions and Insider Trading (1985)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)Price, trade size, and information in securities markets (1987)Estimating the components of the bid/ask spread (1988)Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Corporate Governance and Liquidity (2010)Modern Factor Analysis (1968)Short-term trading around ex-dividend days (1988)Third Market Broker-Dealers: Cost Competitors or Cream Skimmers? (1997)Modeling the bid/ask spread: measuring the inventory-holding premium (2003)Earnings Announcements and the Components of the Bid-Ask Spread (1996)Market Microstructure and Intermediation (1996)Market evidence on the opaqueness of banking firms’ assets (2003)The Invisible Hand of Democracy (2001)What Drives Bank Competition? Some International Evidence (2003)What Drives Bank Competition? Some International Evidence (2004)
this work references cited by second hop

References

  • 1982Contestable Markets and the Theory of Industry Structure2,330 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1978THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS630 cited
  • 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
  • 1991Estimation of the Bid–Ask Spread and Its Components: A New Approach594 cited
  • 1974Determinants of bid-asked spreads in the over-the-counter market560 cited
  • 1972The Economics of Liquidity Services417 cited
  • 1994Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?343 cited
  • 1997A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks314 cited
  • 1972Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market178 cited
  • 1983Contestable Markets and the Theory of Industry Structure: A Review Article127 cited
  • 1999Preferencing, Internalization, Best Execution, and Dealer Profits124 cited
  • 1997Entry, Exit, Market Makers, and the Bid-Ask Spread105 cited
  • 1978MARKETPLACE ORGANIZATION AND MARKETABILITY: NASDAQ, THE STOCK EXCHANGE, AND THE NATIONAL MARKET SYSTEM98 cited

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The Prevalence, Sources, and Effects of Herding
42 cited
  • 2005THE IMPACT OF MARKET MAKER CONCENTRATION ON ADVERSE‐SELECTION COSTS FOR NASDAQ STOCKS32 cited