The DOI matches its Crossref record; 12 of the 12 references it cites were found in a registry or an index.
Trade Execution Costs and Market Quality after Decimalization
Abstract
*The author thanks the New York Stock Exchange for the provision of financial support and data for this study, and the Nasdaq Stock Market for the provision of data. The paper was improved by the
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Citations
Cites
Inferring Trade Direction from Intraday Data
LEE, C. M. C., & READY, M. J. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb02683.x · Cited by 3,147
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
ROLL, R. (1984) · The Journal of Finance · doi:10.1111/j.1540-6261.1984.tb03897.x · Cited by 2,747
Mean Reversion in Stock Prices: Evidence and Implications
Poterba, J., & Summers, L. (1987) · National Bureau of Economic Research · doi:10.3386/w2343 · Cited by 1,875
Mean reversion in stock prices
Poterba, J. M., & Summers, L. H. (1988) · Journal of Financial Economics · doi:10.1016/0304-405x(88)90021-9 · Cited by 1,858
Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE
Huang, R. D., & Stoll, H. R. (1996) · Journal of Financial Economics · doi:10.1016/0304-405x(95)00867-e · Cited by 1,009
Presidential Address: Friction
Stoll, H. R. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00259 · Cited by 679
The illusory nature of momentum profits
Lesmond, D. A., Schill, M. J., & Zhou, C. (2004) · Journal of Financial Economics · doi:10.1016/s0304-405x(03)00206-x · Cited by 657
Liquidity Provision with Limit Orders and a Strategic Specialist
Seppi, D. J. (1997) · Review of Financial Studies · doi:10.1093/rfs/10.1.103 · Cited by 518
The Accuracy of Trade Classification Rules: Evidence from Nasdaq
Ellis, K., Michaely, R., & O'Hara, M. (2000) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2676254 · Cited by 454
Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison
Bessembinder, H. (1999) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2676265 · Cited by 263
Self-citation
Cited by
Does Stock Liquidity Enhance or Impede Firm Innovation?
FANG, V. W., TIAN, X., & TICE, S. (2014) · The Journal of Finance · doi:10.1111/jofi.12187 · Cited by 1,339
The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns
Green, J., Hand, J. R. M., & Zhang, X. F. (2017) · The Review of Financial Studies · doi:10.1093/rfs/hhx019 · Cited by 675
Is market fragmentation harming market quality?
O'Hara, M., & Ye, M. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.02.006 · Cited by 578
The Effect of Liquidity on Governance
Edmans, A., Fang, V. W., & Zur, E. (2013) · Review of Financial Studies · doi:10.1093/rfs/hht012 · Cited by 434
Stock liquidity and default risk
Brogaard, J., Li, D., & Xia, Y. (2017) · Journal of Financial Economics · doi:10.1016/j.jfineco.2017.03.003 · Cited by 426
Metadata
- Authors
- Bessembinder, H.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 2003-12
- Volume
- 38
- Issue
- 4
- Pages
- 747
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W2165376318
- Cited by
- 512
- References
- 12
- FWCI
- 34.23
- Type
- journal article
- Language
- en
- Open access
- closed
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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.