Student or educator? Sign up with your school email and get 6 months of Pro free.
CoChat
Sign Up
Cited by 959

The DOI matches its Crossref record; 22 of the 22 references it cites were found in a registry or an index.

Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks

Open access
Madhavan, Ananth, Richardson, Matthew, Roomans, Mark·1997·Review of Financial Studies
DOI 10.1093/rfs/10.4.1035
Open this paper in CoChat — free account

Abstract

This article develops and tests a structural model of intraday price formation that embodies public information shocks and microstructure effects. We use the model to analyze intraday patterns in bid-ask spreads, price volatility, transaction costs, and return and quote auto-correlations, and to construct metrics for price discovery and effective trading costs. Information asymmetry and uncertainty over fundamentals decrease over the day, although transaction costs increase. The results help explain the U-shaped pattern in intraday bid-ask spreads and volatility, and are also consistent with the intra-day decline in the variance of ask price changes.

Overview

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Integrity signals

Registry

Crossref · 10.1093/rfs/10.4.1035

Cites

22 of 22 references verified0 citation errors · 0 not checkable

Statistics

Verification

Claims the paper makes

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Self-check

Percentages, sums and reported differences re-computed from the paper’s own numbers.

The self-check needs the paper’s full text.

Citations

Cites

Show all 22 references

Cited by

See all 959

Metadata

Authors
Madhavan, A., Richardson, M., & Roomans, M.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
1997-10
Volume
10
Issue
4
Pages
1035-1064
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/10.4.1035
OpenAlex
W2086987861
Cited by
959
References
22
FWCI
41.17
Type
journal article
Language
en
Open access
green

About these checks

Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.

Statistics and arithmetic are recomputed, not judged.

Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

What counts as a claim ›How we measure confidence ›How we check this ›

Are you an author, or do you see a problem with this page? Request a review

How to cite

Cite CoChat for the checks on this page, and the paper for its own findings.

This page
CoChat. (2026). Citation check: Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks. https://app.cochat.ai/papers/10.1093/rfs/10.4.1035
The paper
Madhavan, A., Richardson, M., & Roomans, M. (1997). Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks. Review of Financial Studies. https://doi.org/10.1093/rfs/10.4.1035

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.