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A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks

  • Bessembinder, Hendrik
  • Kaufman, Herbert M.

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/B6VBX-4228Y16-8/2/e6b050d6bbf1a9990ef1c55d105249a5
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 46 (1997)
Issue (Month): 3 (December)
Pages: 293-319

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Handle: RePEc:eee:jfinec:v:46:y:1997:i:3:p:293-319
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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  1. Blume, Marshall E & Goldstein, Michael A, 1997. " Quotes, Order Flow, and Price Discovery," Journal of Finance, American Finance Association, vol. 52(1), pages 221-44, March.
  2. 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.
  3. Paul Milgrom & Nancy L.Stokey, 1979. "Information, Trade, and Common Knowledge," Discussion Papers 377R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  4. Chordia, Tarun & Subrahmanyam, Avanidhar, 1995. "Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence," The Journal of Business, University of Chicago Press, vol. 68(4), pages 543-75, October.
  5. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June.
  6. Knez, Peter J & Ready, Mark J, 1996. "Estimating the Profits from Trading Strategies," Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1121-63.
  7. 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, vol. 41(3), pages 313-357, July.
  8. Madhavan, Ananth & Cheng, Minder, 1997. "In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets," Review of Financial Studies, Society for Financial Studies, vol. 10(1), pages 175-203.
  9. Petersen, Mitchell A. & Fialkowski, David, 1994. "Posted versus effective spreads *1: Good prices or bad quotes?," Journal of Financial Economics, Elsevier, vol. 35(3), pages 269-292, June.
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