Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Lockwood, Larry J & Linn, Scott C, 1990. " An Examination of Stock Market Return Volatility during Overnight and Intraday Periods, 1964-1989," Journal of Finance, American Finance Association, vol. 45(2), pages 591-601, June.
- Kenneth A. Kavajecz, 1999. "A Specialist's Quoted Depth and the Limit Order Book," Journal of Finance, American Finance Association, vol. 54(2), pages 747-771, April.
- Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-374.
- Foster, F Douglas & Viswanathan, S, 1993. " Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, American Finance Association, vol. 48(1), pages 187-211, March.
- Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, vol. 8(1), pages 31-53, March.
- Clark, Robert A & McConnell, John J & Singh, Manoj, 1992. " Seasonalities in NYSE Bid-Ask Spreads and Stock Returns in January," Journal of Finance, American Finance Association, vol. 47(5), pages 1999-2014, December.
- Ho, Thomas & Stoll, Hans R., 1981.
"Optimal dealer pricing under transactions and return uncertainty,"
Journal of Financial Economics,
Elsevier, vol. 9(1), pages 47-73, March.
- Thomas Ho & Hans Stoll, "undated". "Optimal Dealer Pricing Under Transactions and Return Uncertainty," Rodney L. White Center for Financial Research Working Papers 27-79, Wharton School Rodney L. White Center for Financial Research.
- Milgrom, Paul & Stokey, Nancy, 1982. "Information, trade and common knowledge," Journal of Economic Theory, Elsevier, vol. 26(1), pages 17-27, February.
- Huberman, Gur & Kandel, Shmuel, 1990. "Market Efficiency and Value Line's Record," The Journal of Business, University of Chicago Press, vol. 63(2), pages 187-216, April.
- Fortin, Richard D. & Grube, R. Corwin & Joy, O. Maurice, 1989. "Seasonality in NASDAQ Dealer Spreads," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(03), pages 395-407, September.
- Glosten, Lawrence R. & Milgrom, Paul R., 1985.
"Bid, ask and transaction prices in a specialist market with heterogeneously informed traders,"
Journal of Financial Economics,
Elsevier, vol. 14(1), pages 71-100, March.
- Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
- Kenneth A. Kavajecz, "undated". "A Specialist's Quoted Depth as a Strategic Choice Variable," Rodney L. White Center for Financial Research Working Papers 12-96, Wharton School Rodney L. White Center for Financial Research.
- Huberman, Gur & Kandel, Shmuel, 1987. "Value Line Rank and Firm Size," The Journal of Business, University of Chicago Press, vol. 60(4), pages 577-589, October.
- Charoenwong, Charlie & Chung, Kee H, 2000. "An Empirical Analysis of Quoted Depths of NYSE and Amex Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 14(1), pages 85-102, January.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:24:y:2001:i:2:p:161-178. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley Content Delivery) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/sfaaaea.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.