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Market Maker Inventories and Stock Prices

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  • Mark S. Seasholes
  • Terrence Hendershott

Abstract

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Suggested Citation

  • Mark S. Seasholes & Terrence Hendershott, 2007. "Market Maker Inventories and Stock Prices," American Economic Review, American Economic Association, vol. 97(2), pages 210-214, May.
  • Handle: RePEc:aea:aecrev:v:97:y:2007:i:2:p:210-214 Note: DOI: 10.1257/aer.97.2.210
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    References listed on IDEAS

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    1. Max R. Blouin & Roberto Serrano, 2001. "A Decentralized Market with Common Values Uncertainty: Non-Steady States," Review of Economic Studies, Oxford University Press, vol. 68(2), pages 323-346.
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    Citations

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    Cited by:

    1. Lescourret, Laurence & Robert, Christian Y., 2011. "Transparency matters: Price formation in the presence of order preferencing," Journal of Financial Markets, Elsevier, vol. 14(2), pages 227-258, May.
    2. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, vol. 88(2), pages 406-423, May.
    3. Seasholes, Mark S. & Liu, Clark, 2011. "Trading imbalances and the law of one price," Economics Letters, Elsevier, vol. 112(1), pages 132-134, July.
    4. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
    5. Cespa, Giovanni & Vives, Xavier, 2011. "Higher order expectations, illiquidity, and short-term trading," IESE Research Papers D/915, IESE Business School.
    6. Köksal, Bülent, 2010. "Participation strategy of the NYSE specialists to the posted quotes," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 314-331, December.
    7. Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Capital Constrained Traders," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
    8. Hendershott, Terrence & Seasholes, Mark S., 2014. "Liquidity provision and stock return predictability," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 140-151.
    9. Hendershott, Terrence & Menkveld, Albert J., 2010. "Price pressures," CFS Working Paper Series 2010/14, Center for Financial Studies (CFS).
    10. Kumar, Kiran & Mamidi, Varsha & Marisetty, Vijaya, 2011. "Global markets exposure and price efficiency: An empirical analysis of order flow dynamics of NYSE-listed Indian firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 686-706.
    11. Abul Shamsuddin & Jae H. Kim, 2010. "Short-Horizon Return Predictability in International Equity Markets," The Financial Review, Eastern Finance Association, vol. 45(2), pages 469-484, May.
    12. Hendershott, Terrence & Menkveld, Albert J., 2014. "Price pressures," Journal of Financial Economics, Elsevier, vol. 114(3), pages 405-423.
    13. Zhu, Mei & Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2009. "Does the market maker stabilize the market?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3164-3180.
    14. Andrei, Daniel & Cujean, Julien, 2017. "Information percolation, momentum and reversal," Journal of Financial Economics, Elsevier, vol. 123(3), pages 617-645.
    15. John Glascock & Ran Lu-Andrews, 2015. "The Price Behavior of REITs Surrounding Extreme Market-Related Events," The Journal of Real Estate Finance and Economics, Springer, vol. 51(4), pages 441-479, November.

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