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Market Orders and Market Efficiency
16 references·8 citing·30 second hop
Market Orders and Market Efficiency (1997)Market Orders and Market EfficiencyTransparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Transparency and Liquidity: A…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)A Model of Intertemporal Asse…Long-Lived Private Information and Imperfect Competition (1992)Long-Lived Private Informatio…Risk Aversion, Market Liquidity, and Price Efficiency (1991)Risk Aversion, Market Liquidi…Market Liquidity, Hedging, and Crashes (1990)Market Liquidity, Hedging, an…On Technical Analysis (1989)On Technical AnalysisLiquidity and Market Structure (1988)Liquidity and Market StructureContinuous 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…A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets (1985)A Noisy Rational Expectations…Information aggregation in a noisy rational expectations economy (1981)Information aggregation in a …On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the aggregation of information in competitive markets (1980)On the aggregation of informa…The Only Game in Town (1971)The Only Game in TownLearning from Unrealized versus Realized Prices (2021)Learning from Unrealized vers…Empirical tests on the liquidity-adjusted capital asset pricing model (2014)Empirical tests on the liquid…Liquidity in asset pricing: New Australian evidence using low-frequency data (2013)Liquidity in asset pricing: N…Information Sales and Strategic Trading (2011)Information Sales and Strateg…Market makers as information providers: The natural experiment of STAR (2010)Market makers as information …Was There Front Running During the LTCM Crisis? (2003)Was There Front Running Durin…Market microstructure of FT-SE 100 index futures: An intraday empirical analysis (1999)Market microstructure of FT-S…Characteristics of the order flow through an electronic open limit order book (1999)Characteristics of the order …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Investment analysis and price formation in securities markets (1995)Presidential Address: Liquidity and Price Discovery (2003)Institutional Investors and the Informational Efficiency of Prices (2009)Risk Aversion in the Small and in the Large (1964)Herd Behavior and Investment (1988)Differences of Opinion Make a Horse Race (1993)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Expectations and the neutrality of money (1972)Noise (1986)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Theory of Auctions and Competitive Bidding (1982)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)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)
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
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1980On the aggregation of information in competitive markets1,247 cited
  • 1981Information aggregation in a noisy rational expectations economy1,068 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1971The Only Game in Town855 cited
  • 1992Long-Lived Private Information and Imperfect Competition802 cited
  • 1985A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets779 cited
  • 1993A Model of Intertemporal Asset Prices Under Asymmetric Information714 cited
  • 1990Market Liquidity, Hedging, and Crashes550 cited
  • 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading545 cited
  • 1989On Technical Analysis499 cited
  • 1991

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Risk Aversion, Market Liquidity, and Price Efficiency
341 cited

Cited by

  • 2011Information Sales and Strategic Trading58 cited
  • 1999Market microstructure of FT-SE 100 index futures: An intraday empirical analysis41 cited
  • 2013Liquidity in asset pricing: New Australian evidence using low-frequency data39 cited
  • 2010Market makers as information providers: The natural experiment of STAR35 cited
  • 2021Learning from Unrealized versus Realized Prices32 cited
  • 1999Characteristics of the order flow through an electronic open limit order book32 cited
  • 2003Was There Front Running During the LTCM Crisis?30 cited
  • 2014Empirical tests on the liquidity-adjusted capital asset pricing model28 cited