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Liquidity Beyond the Best Quote: A Study of the NYSE Limit Order Book
16 references·0 citing·44 second hop
Liquidity Beyond the Best Quote: A Study of the NYSE Limit Order Book (2006)Liquidity Beyond the Best Quote: A Study …Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Illiquidity and Stock Returns…Liquidity and Market Efficiency (2007)Liquidity and Market Efficien…Liquidity of emerging markets (2005)Liquidity of emerging marketsEvidence on the speed of convergence to market efficiency (2005)Evidence on the speed of conv…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Liquidity Risk and Expected Stock Returns (2001)Liquidity Risk and Expected S…Contagion as a Wealth Effect (2001)Contagion as a Wealth EffectEighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE (2000)Eighths, sixteenths, and mark…Commonality in liquidity (2000)Commonality in liquidityLiquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Expected stock returns and volatility (1987)Expected stock returns and vo…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Specification Tests in Econometrics (1978)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)A Theory of Auctions and Competitive Bidding (1982)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Order flow composition and trading costs in a dynamic limit order market (1999)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The Cost of Transacting (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Optimal dealer pricing under transactions and return uncertainty (1981)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Cross-Section of Expected Stock Returns (1992)Stock market liquidity and firm value☆ (2009)Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017)Common risk factors in the returns on stocks and bonds (1993)Do liquidity measures measure liquidity?☆ (2009)On Persistence in Mutual Fund Performance (1997)Understanding commonality in liquidity around the world (2011)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)
this work references cited by second hop

References

  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 2000Commonality in liquidity1,748 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 2007Liquidity and Market Efficiency984 cited
  • 2018Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects949 cited
  • 2001Contagion as a Wealth Effect926 cited
  • 2005Liquidity of emerging markets838 cited
  • 2001Liquidity Risk and Expected Stock Returns738 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 2005Evidence on the speed of convergence to market efficiency456 cited
  • 2000Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE

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