SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
You can’t always get what you want: Trade-size clustering and quantity choice in liquidity
16 references·8 citing·37 second hop
You can’t always get what you want: Trade-size clustering and quantity choice in liquidity (2005)You can’t always get what you want: Trade…Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …Trade size, order imbalance, and the volatility–volume relation (2000)Trade size, order imbalance, …Commonality in liquidity (2000)Commonality in liquidityOrder Flow and Exchange Rate Dynamics (1999)Order Flow and Exchange Rate …Central bank intervention and exchange rate volatility (1998)Central bank intervention and…Tests of microstructural hypotheses in the foreign exchange market (1995)Tests of microstructural hypo…Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Transactions, Volume, and Volatility (1994)Transactions, Volume, and Vol…Stealth trading and volatility (1993)Stealth trading and volatilityA Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…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…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous 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…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Informed options trading around holidays (2021)Informed options trading arou…Institutional ownership and return predictability across economically unrelated stocks (2016)Institutional ownership and r…Intraday Trading Invariance in the E-Mini S&P 500 Futures Market (2015)Intraday Trading Invariance i…TRADE SIZE AND PRICE CLUSTERING: THE CASE OF SHORT SALES AND THE SUSPENSION OF PRICE TESTS (2012)TRADE SIZE AND PRICE CLUSTERI…What’s Not There: The Odd-Lot Bias in TAQ Data (2011)What’s Not There: The Odd-Lot…Order aggressiveness and quantity: How are they determined in a limit order market? (2010)Order aggressiveness and quan…Liquidity: Considerations of a Portfolio Manager (2009)Liquidity: Considerations of …Intraday time and order execution quality dimensions (2008)Intraday time and order execu…The market for corporate control (1983)Stealth-trading: Which traders' trades move stock prices? (2001)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)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)Using daily stock returns (1985)Market liquidity and volume around earnings announcements (1994)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)Why Does Stock Market Volatility Change Over Time? (1989)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Market Liquidity and Trading Activity (2001)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Empirical exchange rate models of the seventies (1983)Exchange Rate Dynamics Redux (1995)Exchange Rates, Equity Prices, and Capital Flows (2005)International Liquidity and Exchange Rate Dynamics * (2015)Trading and Arbitrage in Cryptocurrency Markets (2018)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)Noise Trader Risk in Financial Markets (1990)
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
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 2000Commonality in liquidity1,748 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • 1993Stealth trading and volatility948 cited
  • 1994Transactions, Volume, and Volatility870 cited
  • 1999Order Flow and Exchange Rate Dynamics790 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1995Tests of microstructural hypotheses in the foreign exchange market517 cited
  • 1998Central bank intervention and exchange rate volatility441 cited
  • 2000Trade size, order imbalance, and the volatility–volume relation

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

416 cited

Cited by

  • 2010Order aggressiveness and quantity: How are they determined in a limit order market?51 cited
  • 2011What’s Not There: The Odd-Lot Bias in TAQ Data42 cited
  • 2008Intraday time and order execution quality dimensions40 cited
  • 2009Liquidity: Considerations of a Portfolio Manager35 cited
  • 2021Informed options trading around holidays28 cited
  • 2012TRADE SIZE AND PRICE CLUSTERING: THE CASE OF SHORT SALES AND THE SUSPENSION OF PRICE TESTS27 cited
  • 2015Intraday Trading Invariance in the E-Mini S&P 500 Futures Market27 cited
  • 2016Institutional ownership and return predictability across economically unrelated stocks23 cited