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Market making, the tick size, and payment-for-order flow : theory and evidence

Chordia, Tarun - In: The journal of business : B 68 (1995) 4, pp. 543-575

Persistent link: https://www.econbiz.de/10001190518

Market microstructure and asset pricing : on the compensation for illiquidity in stock returns

Brennan, Michael J. - In: Journal of financial economics 41 (1996) 3, pp. 441-464

Persistent link: https://www.econbiz.de/10001200400

Informed speculation and hedging in a noncompetitive securities market

Spiegel, Matthew - In: The review of financial studies 5 (1992) 2, pp. 307-329

Persistent link: https://www.econbiz.de/10001123792

Long-lived private information and imperfect competition

Holden, Craig W. - In: The journal of finance : the journal of the American … 47 (1992) 1, pp. 247-270

Persistent link: https://www.econbiz.de/10001124507

Risk aversion, imperfect competition, and long-lived information

Holden, Craig W. - In: Economics letters 44 (1994) 1, pp. 181-190

Persistent link: https://www.econbiz.de/10001163997

Liquidity effects of the introduction of the S&P 500 index futures contract on the underlying stocks

Jegadeesh, Narasimhan - In: The journal of business : B 66 (1993) 2, pp. 171-187

Persistent link: https://www.econbiz.de/10001144670

Alternative factor specifications, security characteristics, and the cross-section of expected stock returns

Brennan, Michael J. - In: Journal of financial economics 49 (1998) 3, pp. 345-373

Persistent link: https://www.econbiz.de/10001246743

The going-public decision and the development of financial markets

Subrahmanyam, Avanidhar; Titman, Sheridan; Womack, Kent - In: The journal of finance : the journal of the American … 54 (1999) 3, pp. 1045-1082

Persistent link: https://www.econbiz.de/10001395690

Foreign firms issuing equity on US exchanges : an empirical investigation of IPOs and SEOs

Kadiyala, Padma; Subrahmanyam, Avanidhar - In: International review of finance 3 (2002) 1, pp. 27-51

Persistent link: https://www.econbiz.de/10001749536

An empirical analysis of stock and bond market liquidity

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2003 - [Elektronische Ressource]

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and...

Persistent link: https://www.econbiz.de/10001752003