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Citations for "Dimensions of execution quality: Recent evidence for US equity markets"

by Boehmer, Ekkehart

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  1. Jose Gutierrez & Yiuman Tse, 2009. "NYSE execution quality subsequent to migration to hybrid," Review of Quantitative Finance and Accounting, Springer, vol. 33(1), pages 59-81, July.
  2. Ricardo Lagos & Guillaume Rocheteau, 2008. "Liquidity in asset markets with search frictions," Staff Report 408, Federal Reserve Bank of Minneapolis.
  3. Mao, Wen & Pagano, Michael S., 2011. "Specialists as risk managers: The competition between intermediated and non-intermediated markets," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 51-66, January.
  4. Goldstein, Michael A. & Shkilko, Andriy V. & Van Ness, Bonnie F. & Van Ness, Robert A., 2008. "Competition in the market for NASDAQ securities," Journal of Financial Markets, Elsevier, vol. 11(2), pages 113-143, May.
  5. Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert, 2007. "Order dynamics: Recent evidence from the NYSE," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 636-661, December.
  6. O'Hara, Maureen & Ye, Mao, 2011. "Is market fragmentation harming market quality?," Journal of Financial Economics, Elsevier, vol. 100(3), pages 459-474, June.
  7. Hendershott, Terrence & Moulton, Pamela C., 2011. "Automation, speed, and stock market quality: The NYSE's Hybrid," Journal of Financial Markets, Elsevier, vol. 14(4), pages 568-604, November.
  8. Dale W. Rosenthal, 2012. "Modeling Trade Direction," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(2), pages 390-415.
  9. Shkilko, Andriy V. & Van Ness, Bonnie F. & Van Ness, Robert A., 2008. "Locked and crossed markets on NASDAQ and the NYSE," Journal of Financial Markets, Elsevier, vol. 11(3), pages 308-337, August.
  10. He, Chen & Odders-White, Elizabeth & Ready, Mark J., 2006. "The impact of preferencing on execution quality," Journal of Financial Markets, Elsevier, vol. 9(3), pages 246-273, August.
  11. Garvey, Ryan & Wu, Fei, 2009. "Intraday time and order execution quality dimensions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 203-228, May.
  12. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in asset markets," Working Paper 0607, Federal Reserve Bank of Cleveland.
  13. Beltran-Lopez, Héléna & Giot, Pierre & Grammig, Joachim G., 2009. "Commonalities in the order book," CFR Working Papers 09-05, University of Cologne, Centre for Financial Research (CFR).
  14. Davies, Ryan J. & Kim, Sang Soo, 2009. "Using matched samples to test for differences in trade execution costs," Journal of Financial Markets, Elsevier, vol. 12(2), pages 173-202, May.
  15. Wuyts, Gunther, 2007. "Stock market liquidity: Determinants and implications," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/203006, Katholieke Universiteit Leuven.
  16. Kervel, V.L. van, 2013. "Competition between stock exchanges and optimal trading," Open Access publications from Tilburg University urn:nbn:nl:ui:12-5663709, Tilburg University.
  17. Blau, Benjamin M. & Van Ness, Bonnie F. & Van Ness, Robert A., 2011. "Information in short selling: Comparing Nasdaq and the NYSE," Review of Financial Economics, Elsevier, vol. 20(1), pages 1-10, January.
  18. Makoto Watanabe, 2012. "Middlemen: A Directed Search Equilibrium Approach," Tinbergen Institute Discussion Papers 12-138/V, Tinbergen Institute.
  19. Chung, Kee H. & Chuwonganant, Chairat, 2009. "Transparency and market quality: Evidence from SuperMontage," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 93-111, January.
  20. Ryan Garvey & Fei Wu, 2012. "Are informed traders reluctant to bear price risk or execution risk?," International Journal of Managerial Finance, Emerald Group Publishing, vol. 8(4), pages 284-303.
  21. Garvey, Ryan & Wu, Fei, 2011. "Information, speed vs. cost trade-offs, and order routing decisions in U.S. equity markets," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 408-422, June.
  22. Alexander, Gordon J. & Peterson, Mark A., 2008. "The effect of price tests on trader behavior and market quality: An analysis of Reg SHO," Journal of Financial Markets, Elsevier, vol. 11(1), pages 84-111, February.
  23. Jan Hanousek & František Kopøiva, 2011. "Detecting Information-Driven Trading in a Dealers Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 204-229, July.
  24. Alexander, Gordon J. & Peterson, Mark A., 2007. "An analysis of trade-size clustering and its relation to stealth trading," Journal of Financial Economics, Elsevier, vol. 84(2), pages 435-471, May.
  25. Bennett, Paul & Wei, Li, 2006. "Market structure, fragmentation, and market quality," Journal of Financial Markets, Elsevier, vol. 9(1), pages 49-78, February.
  26. Chung, Kee H. & Chuwonganant, Chairat, 2007. "Quote-based competition, market share, and execution quality in NASDAQ-listed securities," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2770-2795, September.
  27. Frantisek Kopriva, 2008. "Source of Information-Driven Trading on the Prague Stock Exchange," CERGE-EI Working Papers wp365, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  28. Degryse, H.A. & Jong, F.C.J.M. de & Kervel, V.L. van, 2011. "The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051)," Discussion Paper 2011-069, Tilburg University, Center for Economic Research.
  29. Liu, Jerry W. & Wort, Donald H., 2009. "One-to-many matching: An alternative trading cost comparison technique," Global Finance Journal, Elsevier, vol. 20(1), pages 48-66.