Article2003

Trade Execution Costs and Market Quality after Decimalization

512 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Financial Markets and Investment Strategies Corporate Finance and Governance Finance, Markets, and Regulation

Abstract

*The author thanks the New York Stock Exchange for the provision of financial support and data for this study, and the Nasdaq Stock Market for the provision of data. The paper was improved by the

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References

1991Inferring Trade Direction from Intraday Data 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1988Mean reversion in stock prices 1987Mean Reversion in Stock Prices: Evidence and Implications 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE 2000Presidential Address: Friction 2003The illusory nature of momentum profits 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes

Cited by

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