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The Effect of Decimalization on Trade Size and Adverse Selection Costs
16 references·1 citing·32 second hop
The Effect of Decimalization on Trade Size and Adverse Selection Costs (2005)The Effect of Decimalization on Trade Siz…Issues in assessing trade execution costs (2003)Issues in assessing trade exe…Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which trader…Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE (2000)Eighths, sixteenths, and mark…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…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…Stealth trading and volatility (1993)Stealth trading and volatilityInferring 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…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…Firm characteristics and analyst following (1989)Firm characteristics and anal…Estimating the components of the bid/ask spread (1988)Estimating the components of …A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …An Improved Estimation Method and Empirical Properties of the Probability of Informed Trading (2006)An Improved Estimation Method…The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)Price, trade size, and information in securities markets (1987)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)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)Specification Tests in Econometrics (1978)The Categorical Imperative: Securities Analysts and the Illegitimacy Discount (1999)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)The Relative Contribution of Jumps to Total Price Variance (2005)Liquidity and Market Efficiency (2007)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1989Firm characteristics and analyst following1,535 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1993Stealth trading and volatility948 cited
  • 1995Investment analysis and price formation in securities markets730 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?682 cited
  • 1991Estimation of the Bid–Ask Spread and Its Components: A New Approach594 cited
  • 1995Trade Size and Components of the Bid-Ask Spread553 cited
  • 2000Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE444 cited

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  • 2003Issues in assessing trade execution costs358 cited
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    • 2006An Improved Estimation Method and Empirical Properties of the Probability of Informed Trading32 cited