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Opening and closing price efficiency: Do financial markets need the call auction?
16 references·0 citing·42 second hop
Opening and closing price efficiency: Do financial markets need the call auction? (2014)Opening and closing price efficiency: Do …Recent trends in trading activity and market quality (2011)Recent trends in trading acti…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Liquidity and Market Efficiency (2007)Liquidity and Market Efficien…Price Discovery and Trading After Hours (2003)Price Discovery and Trading A…Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which trader…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Blockholder Ownership and Market Liquidity (2000)Blockholder Ownership and Mar…Price Discovery and Learning during the Preopening Period in the Paris Bourse (1999)Price Discovery and Learning …Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Stealth trading and volatility (1993)Stealth trading and volatilityTrading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…Periodic market closure and trading volume (1992)Periodic market closure and t…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…The Dynamics of Dealer Markets Under Competition (1983)The Dynamics of Dealer Market…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Price, trade size, and information in securities markets (1987)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Market microstructure: A survey (2000)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)The Cost of Transacting (1968)Information Effects on the Bid-Ask Spread (1983)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Liquidity and Asset Prices (2006)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)A Theory of Intraday Patterns: Volume and Price Variability (1988)Greener Pastures and the Impact of Dynamic Institutional Preferences (2003)The Dynamics of Institutional and Individual Trading (2003)When Does Information Asymmetry Affect the Cost of Capital? (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (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)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Low-Latency Trading (2011)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)High-Frequency Trading and Price Discovery (2014)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Cross-Section of Expected Stock Returns (1992)Stock market liquidity and firm value☆ (2009)Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017)The relationship between return and market value of common stocks (1981)Asset pricing and the bid-ask spread (1986)Market liquidity as a sentiment indicator (2004)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)The Relative Contribution of Jumps to Total Price Variance (2005)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 2007Liquidity and Market Efficiency984 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1993Stealth trading and volatility948 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?682 cited
  • 2011Recent trends in trading activity and market quality473 cited
  • 1992Periodic market closure and trading volume426 cited
  • 1992Trading Mechanisms in Securities Markets426 cited
  • 2003Price Discovery and Trading After Hours407 cited
  • 2000Blockholder Ownership and Market Liquidity395 cited
  • 1999Price Discovery and Learning during the Preopening Period in the Paris Bourse379 cited

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