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Sixteenths: direct evidence on institutional execution costs

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Author Info
Jones, Charles M.
Lipson, Marc L.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 59 (2001)
Issue (Month): 2 (February)
Pages: 253-278
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Handle: RePEc:eee:jfinec:v:59:y:2001:i:2:p:253-278

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  1. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September. [Downloadable!] (restricted)
  2. Jeremy Large, 2006. "A Market-Clearing Role for Inefficiency on a Limit Order Book," Economics Papers 2006-W08, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
  3. Campbell, John Y & Ramadorai, Tarun & Schwartz, Allie, 2007. "Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements," CEPR Discussion Papers 6390, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  4. Roberto Pascual & Alvaro Escribano & Mikel Tapia, 2004. "On the bi-dimensionality of liquidity," European Journal of Finance, Taylor and Francis Journals, vol. 10(6), pages 542-566, December. [Downloadable!] (restricted)
  5. John Y. Campbell & Tarun Ramadorai & Tuomo O. Vuolteenaho, 2005. "Caught On Tape: Institutional Order Flow and Stock Returns," NBER Working Papers 11439, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Monica Espinosa & Mikel Tapia & Marco Trombetta, 2005. "Disclosure And Liquidity," Business Economics Working Papers wb050202, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
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