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The Impact of the SEC's Segment Disclosure Requirement on Bid-Ask Spreads.
14 references·16 citing·41 second hop
The Impact of the SEC's Segment Disclosure Requirement on Bid-Ask Spreads. (1994)The Impact of the SEC's Segment Disclosur…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…Trades, quotes, inventories, and information (1988)Trades, quotes, inventories, …Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements (1986)Information Asymmetry and the…A Theory of Trading Volume (1986)A Theory of Trading VolumeBid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…The Use of Mathematical Models in Financial Accounting (1982)The Use of Mathematical Model…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)THE PRICING OF SECURITY DEALE…Determinants of bid-asked spreads in the over-the-counter market (1974)Determinants of bid-asked spr…The Only Game in Town (1971)The Only Game in TownPredicting Earnings: Entity versus Subentity Data (1971)Predicting Earnings: Entity v…The Cost of Transacting (1968)The Cost of TransactingThe financial and market consequences of environmental, social and governance ratings (2019)The financial and market cons…The Impact of Corporate Governance and Earnings Management on Stock Market Liquidity in a Highly Concentrated Ownership Capital Market (2013)The Impact of Corporate Gover…The Commitment Effect versus Information Effect of Disclosure—Evidence from Smaller Reporting Companies (2013)The Commitment Effect versus …Foreign Ownership and Information Asymmetry (2013)Foreign Ownership and Informa…Liquidity, the Value of the Firm, and Corporate Finance* (2012)Liquidity, the Value of the F…Firm size, disclosure and cost of equity capital (2012)Firm size, disclosure and cos…The Impacts of State Ownership on Information Asymmetry: Evidence from an Emerging Market (2010)The Impacts of State Ownershi…Liquidity, the Value of the Firm, and Corporate Finance (2008)Liquidity, the Value of the F…Do auditing standards improve the accounting disclosure and information environment of public companies? Evidence from the emerging markets in China (2008)Do auditing standards improve…Market behaviour around bankruptcy announcements: evidence from the Australian Stock Exchange (2007)Market behaviour around bankr…Auditing standards, increased accounting disclosure, and information asymmetry: Evidence from an emerging market (2007)Auditing standards, increased…Underlying principles of the electronization of business: a research agenda (2003)Underlying principles of the …Financial Analysts' Forecast Accuracy and Dispersion: High-Tech versus Low-Tech Stocks (2002)Financial Analysts' Forecast …Oil and gas reserve value disclosures and bid-ask spreads (1998)Oil and gas reserve value dis…Adverse selection and bid–ask spreads: Evidence from closed-end funds (1998)Adverse selection and bid–ask…THE DETERMINANTS OF MARKET BID ASK SPREADS ON THE AUSTRALIAN STOCK EXCHANGE: CROSS‐SECTIONAL ANALYSIS (1996)THE DETERMINANTS OF MARKET BI…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Measuring the Information Content of Stock Trades (1991)Theory of rational option pricing (2005)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)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)Market reaction to anticipated announcements (1991)Pre-announcement and event-period private information (1997)Tweets and Trades: the Information Content of Stock Microblogs (2013)The capital asset pricing model: Some empirical tests (1972)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Transaction costs and the small firm effect (1983)Transaction costs and the small firm effect (1983)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Trade Size and Components of the Bid-Ask Spread (1995)Valuation in Over-the-Counter Markets (2007)Price, trade size, and information in securities markets (1987)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)The Behavior of Stock-Market Prices (1965)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)No Single Currency Regime is Right for All Countries or At All Times (1999)Liquidity and Asset Prices (2006)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)
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References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1968The Cost of Transacting1,909 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1971The Only Game in Town855 cited
  • 1978THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS630 cited
  • 1986A Theory of Trading Volume567 cited
  • 1974Determinants of bid-asked spreads in the over-the-counter market560 cited
  • 1988Trades, quotes, inventories, and information489 cited
  • 1986Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements244 cited
  • 1982The Use of Mathematical Models in Financial Accounting191 cited
  • 1971Predicting Earnings: Entity versus Subentity Data127 cited

Cited by

  • 1998Adverse selection and bid–ask spreads: Evidence from closed-end funds

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122 cited
  • 2019The financial and market consequences of environmental, social and governance ratings97 cited
  • 2012Liquidity, the Value of the Firm, and Corporate Finance*88 cited
  • 2007Auditing standards, increased accounting disclosure, and information asymmetry: Evidence from an emerging market83 cited
  • 2003Underlying principles of the electronization of business: a research agenda82 cited
  • 2008Liquidity, the Value of the Firm, and Corporate Finance71 cited
  • 2012Firm size, disclosure and cost of equity capital70 cited
  • 2013The Commitment Effect versus Information Effect of Disclosure—Evidence from Smaller Reporting Companies70 cited
  • 1996THE DETERMINANTS OF MARKET BID ASK SPREADS ON THE AUSTRALIAN STOCK EXCHANGE: CROSS‐SECTIONAL ANALYSIS69 cited
  • 2013Foreign Ownership and Information Asymmetry63 cited
  • 2013The Impact of Corporate Governance and Earnings Management on Stock Market Liquidity in a Highly Concentrated Ownership Capital Market59 cited
  • 2002Financial Analysts' Forecast Accuracy and Dispersion: High-Tech versus Low-Tech Stocks56 cited
  • 1998Oil and gas reserve value disclosures and bid-ask spreads54 cited
  • 2008Do auditing standards improve the accounting disclosure and information environment of public companies? Evidence from the emerging markets in China54 cited
  • 2010The Impacts of State Ownership on Information Asymmetry: Evidence from an Emerging Market43 cited
  • 2007Market behaviour around bankruptcy announcements: evidence from the Australian Stock Exchange39 cited