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The Term Structure of Liquidity Provision
16 references·8 citing·34 second hop
The Term Structure of Liquidity Provision (2016)The Term Structure of Liquidity ProvisionHigh-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The High-Frequency Trading Ar…Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Presidential Address: Asset P…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and leverage (2008)Liquidity and leverageDealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Informed Speculation with Imperfect Competition (1989)Informed Speculation with Imp…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…Estimating the components of the bid/ask spread (1988)Estimating the components of …Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…The Dynamics of Dealer Markets Under Competition (1983)The Dynamics of Dealer Market…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …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…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)PRICE IMPACTS OF BLOCK TRADIN…When Bigger is Better: The Impact of a Tiny Tick Size on Undercutting Behavior (2022)When Bigger is Better: The Im…Tick Size Wars: The Market Quality Effects of Pricing Grid Competition (2022)Tick Size Wars: The Market Qu…High‐frequency trading: Definition, implications, and controversies (2021)High‐frequency trading: Defin…Slow-moving capital and execution costs: Evidence from a major trading glitch (2020)Slow-moving capital and execu…Quantifying the High-Frequency Trading “Arms Race”: A Simple New Methodology and Estimates (2020)Quantifying the High-Frequenc…On the Effects of Continuous Trading (2020)On the Effects of Continuous …The Anatomy of Trading Algorithms (2019)The Anatomy of Trading Algori…The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk (2018)The use of credit default swa…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)Illiquidity and stock returns: cross-section and time-series effects (2002)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)Continuous Auctions and Insider Trading (1985)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)The Cost of Transacting (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)Inferring Trade Direction from Intraday Data (1991)The Cross-Section of Expected Stock Returns (1992)Presidential Address: Friction (2000)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Credit Spreads and Business Cycle Fluctuations (2012)Value and Momentum Everywhere (2013)CoVaR (2016)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 2008Liquidity and leverage2,557 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 2010Presidential Address: Asset Price Dynamics with Slow‐Moving Capital861 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 cited

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  • 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE671 cited
  • Cited by

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    • 2018The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk41 cited
    • 2020On the Effects of Continuous Trading38 cited
    • 2020Slow-moving capital and execution costs: Evidence from a major trading glitch37 cited
    • 2022When Bigger is Better: The Impact of a Tiny Tick Size on Undercutting Behavior31 cited
    • 2020Quantifying the High-Frequency Trading “Arms Race”: A Simple New Methodology and Estimates28 cited
    • 2019The Anatomy of Trading Algorithms26 cited