Chung, Kee H.; Zhao, Xin - In: Journal of Business Finance & Accounting 31 (2004-09) 7-8, pp. 1069-1097
In this paper we study the quote revision behavior of NASDAQ market makers by analyzing inter-temporal changes in their spread and depth quotes. Using individual dealer quote and trade data for a sample of 2,319 stocks, we find that NASDAQ dealers make more frequent revisions in depths than in...