Similar Search Results

Estimating the effects of information surprises and trading on stock returns using a mixed jump-diffusion model

Nimalendran, Mahendrarajah - In: The review of financial studies 7 (1994) 3, pp. 451-473

Persistent link: https://www.econbiz.de/10001169085

Information and noise in speculative markets : two essays

Nimalendran, Mahendrarajah - 1990

Persistent link: https://www.econbiz.de/10000827497

Changes in trading activity following stock splits and their impact on volatility and the adverse information component of the bid-ask spread

Desai, Anand S.; Nimalendran, Mahendrarajah; … - 1996

Persistent link: https://www.econbiz.de/10000982777

Errors-in-variables problems in financial models

Maddala, Gangadharrao S. - 1996

Persistent link: https://www.econbiz.de/10001320240

Trading volume and transaction costs in specialist markets

George, Thomas J. - In: The journal of finance : the journal of the American … 49 (1994) 4, pp. 1489-1505

Persistent link: https://www.econbiz.de/10001171943

Estimation of the bid-ask spread and its components : a new approach

George, Thomas J. - In: The review of financial studies 4 (1991) 4, pp. 623-656

Persistent link: https://www.econbiz.de/10001120546

CVaR-LASSO Enhanced Index Replication (CLEIR) : outperforming by minimizing downside risk

Gendreau, Brian C.; Jin, Yong; Nimalendran, Mahendrarajah; … - In: Applied economics 51 (2019) 52, pp. 5637-5651

Persistent link: https://www.econbiz.de/10012197263

A simple model of payment for order flow, internalization, and total trading cost

Battalio, Robert H.; Holden, Craig W. - In: Journal of financial markets 4 (2001) 1, pp. 33-71

Persistent link: https://www.econbiz.de/10001539061

Earnings expectations, investor trade size, and anomalous returns around earnings announcements

Battalio, Robert H.; Mendenhall, Richard R. - In: Journal of financial economics 77 (2005) 2, pp. 289-319

Persistent link: https://www.econbiz.de/10003052530

The Cost of Exposing Large Institutional Orders to Electronic Liquidity Providers

Battalio, Robert H. - 2019

We use a novel dataset to examine the impact of exposing institutional orders to electronic liquidity providers (ELPs). We present empirical evidence that marketable pieces of large parent orders are routed to ELPs, seemingly to avoid paying liquidity fees on exchanges. This routing decision...

Persistent link: https://www.econbiz.de/10012897509