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Microstructure Theory and the Foreign Exchange Market
16 references·0 citing·40 second hop
Microstructure Theory and the Foreign Exchange Market (1991)Microstructure Theory and the Foreign Exc…Industrial Organization Theory and Experimental Economics (2001)Industrial Organization Theor…Differences of Opinion in Financial Markets (1989)Differences of Opinion in Fin…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…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…Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread (1981)Transaction Costs, Order Plac…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…Market microstructure (1976)Market microstructureA Model of Asset Trading Under the Assumption of Sequential Information Arrival (1976)A Model of Asset Trading Unde…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…The Only Game in Town (1971)The Only Game in TownThe Cost of Transacting (1968)The Cost of TransactingPublic Regulation of the Securities Markets (1964)Public Regulation of the Secu…The Stability of a Competitive Economy: A Survey Article (1962)The Stability of a Competitiv…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)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)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)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)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)Transaction costs and the small firm effect (1983)Trade Size and Components of the Bid-Ask Spread (1995)Valuation in Over-the-Counter Markets (2007)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)No Single Currency Regime is Right for All Countries or At All Times (1999)Liquidity and Asset Prices (2006)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)The New Issues Puzzle (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)An Equilibrium Model of Asset Trading with Sequential Information Arrival (1981)The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence (2002)Evidence on the speed of convergence to market efficiency (2005)
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References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1968The Cost of Transacting1,909 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1971The Only Game in Town855 cited
  • 1964Public Regulation of the Securities Markets679 cited
  • 1974Determinants of bid-asked spreads in the over-the-counter market560 cited
  • 1976A Model of Asset Trading Under the Assumption of Sequential Information Arrival556 cited
  • 1976Market microstructure555 cited
  • 2001Industrial Organization Theory and Experimental Economics475 cited
  • 1972The Economics of Liquidity Services417 cited
  • 1981Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread372 cited
  • 1989Differences of Opinion in Financial Markets289 cited
  • 1962The Stability of a Competitive Economy: A Survey Article

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