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The effect of price tests on trader behavior and market quality: An analysis of Reg SHO

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  • Alexander, Gordon J.
  • Peterson, Mark A.

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  • 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.
  • Handle: RePEc:eee:finmar:v:11:y:2008:i:1:p:84-111
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    References listed on IDEAS

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    1. Alexander, Gordon J. & Peterson, Mark A., 1999. "Short Selling on the New York Stock Exchange and the Effects of the Uptick Rule," Journal of Financial Intermediation, Elsevier, pages 90-116.
    2. Miller, Edward M, 1977. "Risk, Uncertainty, and Divergence of Opinion," Journal of Finance, American Finance Association, vol. 32(4), pages 1151-1168, September.
    3. Figlewski, Stephen, 1981. "The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(04), pages 463-476, November.
    4. Alexander, Gordon J. & Peterson, Mark A., 2002. "Implications of a Reduction in Tick Size on Short-Sell Order Execution," Journal of Financial Intermediation, Elsevier, pages 37-60.
    5. Arturo Bris & William N. Goetzmann & Ning Zhu, 2007. "Efficiency and the Bear: Short Sales and Markets Around the World," Journal of Finance, American Finance Association, vol. 62(3), pages 1029-1079, June.
    6. Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002. "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, pages 307-339.
    7. Geczy, Christopher C. & Musto, David K. & Reed, Adam V., 2002. "Stocks are special too: an analysis of the equity lending market," Journal of Financial Economics, Elsevier, pages 241-269.
    8. Yexiao Xu & Burton G. Malkiel, 2003. "Investigating the Behavior of Idiosyncratic Volatility," The Journal of Business, University of Chicago Press, vol. 76(4), pages 613-644, October.
    9. Bessembinder, Hendrik, 2003. "Issues in assessing trade execution costs," Journal of Financial Markets, Elsevier, pages 233-257.
    10. Asquith, Paul & Pathak, Parag A. & Ritter, Jay R., 2005. "Short interest, institutional ownership, and stock returns," Journal of Financial Economics, Elsevier, pages 243-276.
    11. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, pages 313-357.
    12. Peterson, Mark & Sirri, Erik, 2003. "Evaluation of the biases in execution cost estimation using trade and quote data," Journal of Financial Markets, Elsevier, pages 259-280.
    13. Stoll, Hans R. & Schenzler, Christoph, 2006. "Trades outside the quotes: Reporting delay, trading option, or trade size?," Journal of Financial Economics, Elsevier, pages 615-653.
    14. Jones, Charles M. & Lamont, Owen A., 2002. "Short-sale constraints and stock returns," Journal of Financial Economics, Elsevier, pages 207-239.
    15. Ofek, Eli & Richardson, Matthew & Whitelaw, Robert F., 2004. "Limited arbitrage and short sales restrictions: evidence from the options markets," Journal of Financial Economics, Elsevier, pages 305-342.
    16. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
    17. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, pages 277-311.
    18. Nagel, Stefan, 2005. "Short sales, institutional investors and the cross-section of stock returns," Journal of Financial Economics, Elsevier, pages 277-309.
    19. Boehmer, Ekkehart, 2005. "Dimensions of execution quality: Recent evidence for US equity markets," Journal of Financial Economics, Elsevier, pages 553-582.
    20. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
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