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Citations for "Liquidity And Market Structure"

by Grossman, S.J. & Miller, M.H.

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. José Ramón Martínez-Resano, 2005. "Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds," Banco de España Occasional Papers 0501, Banco de España. [Downloadable!]
  2. Harrison Hong & Terence Lim & Jeremy C. Stein, 1998. "Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies," NBER Working Papers 6553, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Peter C. Reiss & Ingrid M. Werner, 1994. "Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange," NBER Working Papers 4727, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Gagnon, Louis & Karolyi, G. Andrew, 2004. "Multi-market Trading and Arbitrage," Working Paper Series 2004-9, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  5. Peter R. Locke & Asani Sarkar & Lifan Wu, 1997. "Market liquidity and trader welfare in multiple dealer markets: evidence from dual trading restrictions," Research Paper 9721, Federal Reserve Bank of New York. [Downloadable!]
  6. Stephen Morris & Hyun Song Shin, 2003. "Liquidity Black Holes," Cowles Foundation Discussion Papers 1434, Cowles Foundation, Yale University. [Downloadable!]
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  7. A. Chatrath & F. Song & B. Adrangi, 2003. "Futures trading activity and stock price volatility: some extensions," Applied Financial Economics, Taylor and Francis Journals, vol. 13(9), pages 655-664, September. [Downloadable!] (restricted)
  8. Vinay Datar & Raymond So & Yiuman Tse, 2008. "Liquidity commonality and spillover in the US and Japanese markets: an intraday analysis using exchange-traded funds," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 379-393, November. [Downloadable!] (restricted)
  9. Peter R. Locke & Asani Sarkar, 1996. "Volatility and liquidity in futures markets," Research Paper 9612, Federal Reserve Bank of New York. [Downloadable!]
  10. Amir E. Khandani & Andrew W. Lo, 2008. "What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data," NBER Working Papers 14465, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. Mark Carey & Rene M. Stulz, 2007. "Introduction to "The Risks of Financial Institutions"," NBER Chapters, in: The Risks of Financial Institutions, pages 1-26 National Bureau of Economic Research, Inc. [Downloadable!]
  12. Craig Holden & Avanidhar Subrahmanyam, 1998. "New Events, Information Acquisition, and Serial Correlation," University of California at Los Angeles, Anderson Graduate School of Management 1115, Anderson Graduate School of Management, UCLA. [Downloadable!]
  13. Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," NBER Working Papers 8816, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  14. Albert Wang & Joon Chae, 2004. "Who makes markets? The Role of Dealers and Liquidity Provision," Econometric Society 2004 North American Summer Meetings 364, Econometric Society. [Downloadable!]
  15. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
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  16. Sugato Chakravarty & Asani Sarkar, 1999. "Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets," Staff Reports 73, Federal Reserve Bank of New York. [Downloadable!]
  17. David Folkerts-Landau & Peter M. Garber, 1992. "The European Central Bank: A Bank or a Monetary Policy Rule," NBER Working Papers 4016, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  18. Amber Anand & Carsten Tanggaard & Daniel G. Weaver, 2007. "Paying for Market Quality," CREATES Research Papers 2007-04, School of Economics and Management, University of Aarhus. [Downloadable!]
  19. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005. "Liquidity and Expected Returns: Lessons From Emerging Markets," NBER Working Papers 11413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  20. Yacine Ait-Sahalia, 1996. "Dynamic Equilibrium and Volatility in Financial Asset Markets," NBER Working Papers 5479, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  21. Louis K. C. Chan & Josef Lakonishok, 1995. "A Cross-Market Comparison of Institutional Equity Trading Costs," NBER Working Papers 5374, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  22. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "The Size and Incidence of the Losses from Noise Trading," NBER Working Papers 2875, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  23. Lasse H. Pedersen & Markus Brunnermeier, 2004. "Predatory Trading," Econometric Society 2004 North American Winter Meetings 425, Econometric Society. [Downloadable!]
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  24. Alfonso Dufour & Robert Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 1999-15, Department of Economics, UC San Diego. [Downloadable!]
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  25. Daniel Dorn & Gur Huberman & Paul Sengmueller, 2005. "Correlated Trading and Returns," DNB Working Papers 072, Netherlands Central Bank, Research Department. [Downloadable!]
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  26. Shmuel Hauser, Azriel Levy, Uzi Yaari, 2001. "Trading frequency and the efficiency of price discovery in a non-dealer market," European Journal of Finance, Taylor and Francis Journals, vol. 7(3), pages 187-197, September. [Downloadable!] (restricted)
  27. Narasimhan Jegadeesh & Sheridan Titman, 1992. "Overreaction, Delayed Reaction, and Contrarian Profits," University of California at Los Angeles, Anderson Graduate School of Management 1159, Anderson Graduate School of Management, UCLA. [Downloadable!]
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  28. Joon Chae & Albert Wang, 2004. "Who makes market," Econometric Society 2004 Far Eastern Meetings 605, Econometric Society. [Downloadable!]
  29. Pástor, Luboš & Stambaugh, Robert F, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  30. Wagner, Wolf, 2006. "Diversification at financial institutions and systemic crises," Discussion Paper 71, Tilburg University, Center for Economic Research. [Downloadable!]
  31. John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1992. "Trading Volume and Serial Correlation in Stock Returns," NBER Working Papers 4193, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  32. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  33. J.Ramon Martinez-Resano, 2005. "Size And Heterogeneity Matter. A Microstructure-Based Analysis Of Regulation Of Secondary Markets For Government Bonds," Finance 0508007, EconWPA. [Downloadable!]
  34. Jorda, Oscar & Liu, Holly & Williams, Jeffrey, 2002. "Non-institutional Market Making Behavior: The Dalian Futures Exchange," Working Papers 02-4, University of California at Davis, Department of Economics. [Downloadable!]
  35. Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2005. "Measuring Liquidity in the Greek Government Securities Market," Working Papers 23, Bank of Greece. [Downloadable!]
  36. Gianni De Nicoló & Iryna V. Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," IMF Working Papers 09/52, International Monetary Fund. [Downloadable!]
  37. Larry Prather & Ting-Heng Chu & Paul Bayes, 2009. "Market reactions to announcements to expense options," Journal of Economics and Finance, Springer, vol. 33(3), pages 223-245, July. [Downloadable!] (restricted)
  38. Mark Carey & Rene M. Stulz, 2005. "The Risks of Financial Institutions," NBER Working Papers 11442, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  39. Avanidhar Subrahmanyam, 1989. "Price Volatility, International Market Links and their Implications for Regulatory Policies," University of California at Los Angeles, Anderson Graduate School of Management 1188, Anderson Graduate School of Management, UCLA. [Downloadable!]
  40. Andrei Shleifer & Robert W. Vishny, 1995. "The Limits of Arbitrage," NBER Working Papers 5167, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  41. Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2009. "Crises and Liquidity in Over-the-Counter Markets," NBER Working Papers 15414, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  42. Sauer, Stephan, 2007. "Three Liquidity Crises in Retrospective: Implications for Central Banking Today," Discussion Papers in Economics 2011, University of Munich, Department of Economics. [Downloadable!]
  43. Anand, Amber & Tanggaard, Carsten & Weaver, Daniel G., 2005. "Paying for Market Quality," Finance Research Group Working Papers F-2006-06, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  44. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating Liquidity Using Information on the Multivariate Trading Process," CoFE Discussion Paper 06-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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  45. Jennifer Huang & Jiang Wang, 2008. "Liquidity and Market Crashes," NBER Working Papers 14013, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  46. Ewerhart, C. & Valla, N., 2007. "Forced Portfolio Liquidation," Documents de Travail 179, Banque de France. [Downloadable!]
  47. Lillyn L. Teh & Werner F. M. de Bondt, 1997. "Herding Behavior and Stock Returns: An Exploratory Investigation," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(II), pages 293-324, June. [Downloadable!]
  48. Christian A. Johnson, 2002. "Value at Risk: Teoría y Aplicaciones," Working Papers Central Bank of Chile 136, Central Bank of Chile. [Downloadable!]
  49. Christopher Chung & Bryan Campbell & Scott Hendry, 2007. "Price Discovery in Canadian Government Bond Futures and Spot Markets," Working Papers 07-4, Bank of Canada. [Downloadable!]
  50. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Working Papers 02-9, Bank of Canada. [Downloadable!]
  51. Gianni De Nicolò & Iryna Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  52. Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," NBER Working Papers 15215, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  53. Elijah Brewer & William Jackson, 2000. "Requiem for a Market Maker: The Case of Drexel Burnham Lambert and Junk Bonds," Journal of Financial Services Research, Springer, vol. 17(3), pages 209-235, September. [Downloadable!] (restricted)
  54. Skully, David W., 1999. "The Economics Of Trq Administration," Working Papers 14584, International Agricultural Trade Research Consortium. [Downloadable!]
  55. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, . "The Size and Incidence of Losses from Noise Trading," J. Bradford De Long's Working Papers _128, University of California at Berkeley, Economics Department. [Downloadable!]
  56. Rodolfo Apreda, 2001. "The Brokerage of Asymmetric Information," CEMA Working Papers: Serie Documentos de Trabajo. 190, Universidad del CEMA. [Downloadable!]
  57. Jennifer Huang & Jiang Wang, 2008. "Market Liquidity, Asset Prices and Welfare," NBER Working Papers 14058, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  58. Heppke-Falk, Kirsten H. & Wolff, Guntram B., 2007. "Moral hazard and bail-out in fiscal federations: evidence for the German Länder," Discussion Paper Series 1: Economic Studies 2007,07, Deutsche Bundesbank, Research Centre. [Downloadable!]
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  59. Narasimhan Jegadeesh & Sheridan Titman, 1990. "Short Horizon Reversals and the Bid-Ask Spread," University of California at Los Angeles, Anderson Graduate School of Management 1183, Anderson Graduate School of Management, UCLA. [Downloadable!]
  60. Nicolas Audet & Toni Gravelle & Jing Yang, 2002. "Alternative Trading Systems: Does One Shoe Fit All?," Working Papers 02-33, Bank of Canada. [Downloadable!]
  61. Gong-meng Chen & Oliver Rui & Steven Wang, 2005. "The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 159-182, September. [Downloadable!] (restricted)
  62. Robert O. Edmister & Gay B. Hatfield, 1995. "The Significance of Porfolio Lenders to Real Estate Brokers," Journal of Real Estate Research, American Real Estate Society, vol. 10(1), pages 57-68. [Downloadable!]
  63. Andrew C. Worthington & Helen Higgs, 2003. "Modelling the Intraday Return Volatility Process In The Australian Equity Market: An Examination Of The Role Of Information Arrival In S&P/Asx 50 Stocks," School of Economics and Finance Discussion Papers and Working Papers Series 150, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  64. Bryan R. Routledge & Stanley E. Zin, 2001. "Model Uncertainty and Liquidity," NBER Working Papers 8683, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  65. Bruce Tuckman & Jean-Luc Vila, 1993. "Holding Costs and Equilibrium Arbitrage," University of California at Los Angeles, Anderson Graduate School of Management 1153, Anderson Graduate School of Management, UCLA. [Downloadable!]
  66. Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2008. "Crashes and Recoveries in Illiquid Markets," NBER Working Papers 14119, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  67. Lee, Kuan-Hui, 2005. "The World Price of Liquidity Risk," Working Paper Series 2006-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  68. Adlai Fisher, 1999. "Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-071, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  69. Carey, Mark & Stulz, Rene M., 2005. "The Risks of Financial Institutions," Working Paper Series 2005-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  70. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO. [Downloadable!]
  71. Michael A. Goldstein & Kenneth A. Kavajecz, . "Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE," Rodney L. White Center for Financial Research Working Papers 14-98, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
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  72. Biais, Bruno & Weill, Pierre-Olivier, 2009. "Liquidity Shocks and Order Book Dynamics," IDEI Working Papers 550, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
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  73. Thomas Gehrig & Matthew Jackson, 1994. "Bid-Ask Spreads with Indirect Competition Among Specialists," Discussion Papers 1107, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
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  74. Felipe Zurita, 2001. "Liquidity as an Insurance Problem," Documentos de Trabajo 198, Instituto de Economía. Pontificia Universidad Católica de Chile.. [Downloadable!]
  75. Christian A. Johnson, 2000. "Value at Risk Ajustado por Liquidez: Una Aplicación a los Bonos Soberanos Chilenos," Working Papers Central Bank of Chile 76, Central Bank of Chile. [Downloadable!]
  76. Levine, Ross & Zervos, Sara, 1996. "Stock markets, banks, and economic growth," Policy Research Working Paper Series 1690, The World Bank. [Downloadable!]
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  77. Hua He & Jiang Wang, 1995. "Differential Information and Dynamic Behavior of Stock Trading Volume," NBER Working Papers 5010, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  78. Lucie Laliberté, 2004. "The Relationship Between Macroeconomic Statistics Guidelines and Accounting Standards," IMF Working Papers 04/233, International Monetary Fund. [Downloadable!]
  79. Ewerhart, C. & Valla, N., 2007. "Financial Market Liquidity and the Lender of Last Resort," Documents de Travail 178, Banque de France. [Downloadable!]
  80. Francisco Peñaranda & Jón Daníelsson, 2007. "On the Impact of Fundamentals, Liquidity and Coordination on Market Stability," Economics Working Papers 1003, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
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  81. Wayne Passmore & Roger Sparks & Jamie Ingpen, 2001. "GSEs, mortgage rates, and the long-run effects of mortgage securitization," Finance and Economics Discussion Series 2001-26, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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This page was last updated on 2009-12-16.

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