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Price Discovery without Trading: Evidence from the Nasdaq Preopening
16 references·16 citing·33 second hopsampled
Price Discovery without Trading: Evidence from the Nasdaq Preopening (2000)Price Discovery without Trading: Evidence…Conflict of Interest and the Credibility of Underwriter Analyst Recommendations (1999)Conflict of Interest and the …Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…Market Microstructure Theory. (1996)Market Microstructure Theory.Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Cheap Talk (1996)Cheap TalkMarket microstructure theory (1995)Market microstructure theoryStealth trading and volatility (1993)Stealth trading and volatilityMeasuring the Information Content of Stock Trades (1991)Measuring the Information Con…Estimating the components of the bid/ask spread (1988)Estimating the components of …Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …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…The Only Game in Town (1971)The Only Game in TownManipulation in the VIX? (2017)Manipulation in the VIX?Information Content of Earnings Announcements: Evidence from After-Hours Trading (2012)Information Content of Earnin…Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks (2008)Order Consolidation, Price Ef…A comparison of trading and non-trading mechanisms for price discovery (2008)A comparison of trading and n…Overnight information and stochastic volatility: A study of European and US stock exchanges (2007)Overnight information and sto…Opening and Closing the Market: Evidence from the London Stock Exchange (2005)Opening and Closing the Marke…Measuring stock illiquidity: An investigation of the demand and supply schedules at the TASE (2004)Measuring stock illiquidity: …Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours (2004)Liquidity Externalities and A…Market Microstructure (2003)Market MicrostructureHow the Equity Market Responds to Unanticipated Events* (2003)How the Equity Market Respond…Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs (2002)Nasdaq Trading Halts: The Imp…‘Teenies’ anyone? (2001)‘Teenies’ anyone?Price Discovery in Initial Public Offerings and the Role of the Lead Underwriter (2000)Price Discovery in Initial Pu…Price Discovery in Auction Markets: A Look Inside the Black Box (2000)Price Discovery in Auction Ma…Order Flow and Liquidity around NYSE Trading Halts (2000)Order Flow and Liquidity arou…Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets (2000)Market structure, information…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)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)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)The Long‐Run Performance of initial Public Offerings (1991)Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk Taking (1993)Earnings Management and the Long‐Run Market Performance of Initial Public Offerings (1998)Herd Behavior in Financial Markets (2000)Stock price reaction to news and no-news: drift and reversal after headlines (2003)Analyzing the Analysts: When Do Recommendations Add Value? (2004)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)Market microstructure: A survey (2000)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)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)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (2007)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1999Conflict of Interest and the Credibility of Underwriter Analyst Recommendations1,549 cited
  • 1995Market microstructure theory1,305 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 1996Cheap Talk1,015 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1993Stealth trading and volatility948 cited
  • 1971The Only Game in Town855 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation

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Cited by

  • 2000Price Discovery in Auction Markets: A Look Inside the Black Box225 cited
  • 2004Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours167 cited
  • 2000Order Flow and Liquidity around NYSE Trading Halts158 cited
  • 2003How the Equity Market Responds to Unanticipated Events*134 cited
  • 2002Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs125 cited
  • 2000Price Discovery in Initial Public Offerings and the Role of the Lead Underwriter119 cited
  • 2000Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets117 cited
  • 2008A comparison of trading and non-trading mechanisms for price discovery109 cited
  • 2008Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks106 cited
  • 2012Information Content of Earnings Announcements: Evidence from After-Hours Trading102 cited
  • 2003Market Microstructure92 cited
  • 2005Opening and Closing the Market: Evidence from the London Stock Exchange81 cited
  • 2017Manipulation in the VIX?80 cited
  • 2004Measuring stock illiquidity: An investigation of the demand and supply schedules at the TASE77 cited
  • 2007Overnight information and stochastic volatility: A study of European and US stock exchanges75 cited
  • 2001‘Teenies’ anyone?67 cited