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An Analysis of Individual NYSE Specialist Portfolios and Execution Quality

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  • Jerry W. Liu
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    Abstract

    The value of specialist assistance to the trading of low-volume stocks has important implications in exchange design. We study the relation between the structure of individual specialist portfolios and the transitory volatility of low-volume stocks in these portfolios under the traditional NYSE auction-dealer market structure. We find that the trading quality for inactive stocks is positively related to the trading volume of active stocks in the same specialist portfolios. These results are consistent with specialist subsidization of low-volume stocks in their portfolios and suggest that specialists provide important support to the trading of inactive stocks if they have the resources. Copyright (c) 2009, The Eastern Finance Association.

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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1540-6288.2009.00220.x
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    Bibliographic Info

    Article provided by Eastern Finance Association in its journal Financial Review.

    Volume (Year): 44 (2009)
    Issue (Month): 3 (08)
    Pages: 311-344

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    Handle: RePEc:bla:finrev:v:44:y:2009:i:3:p:311-344

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    Web page: http://www.easternfinance.org/
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    Web: http://www.blackwellpublishing.com/subs.asp?ref=0732-8516

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    Cited by:
    1. Menkveld, Albert J. & Wang, Ting, 2013. "How do designated market makers create value for small-caps?," Journal of Financial Markets, Elsevier, vol. 16(3), pages 571-603.

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