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Brokers and Order Flow Leakage: Evidence from Fire Sales
16 references·2 citing·40 second hop
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References

  • 1997A Survey of Corporate Governance16,237 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2008Market Liquidity and Funding Liquidity5,024 cited
  • 1992Liquidation Values and Debt Capacity: A Market Equilibrium Approach2,901 cited
  • 1997Measuring Mutual Fund Performance with Characteristic-Based Benchmarks2,844 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2015The Asset-Pricing Implications of Government Economic Policy Uncertainty1,352 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2011Low-Latency Trading880 cited
  • 2011Fire Sales in Finance and Macroeconomics836 cited
  • 2017The Flash Crash: High‐Frequency Trading in an Electronic Market816 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2011Margin-based Asset Pricing and Deviations from the Law of One Price

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653 cited

Cited by

  • 2021Size Discount and Size Penalty: Trading Costs in Bond Markets18 cited
  • 2024Institutional Brokerage Networks: Facilitating Liquidity Provision15 cited