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New low-frequency spread measures

Holden, Craig W. - In: Journal of financial markets 12 (2009) 4, pp. 778-813

Persistent link: https://www.econbiz.de/10003902763

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

Do liquidity measures measure liquidity?

Goyenko, Ruslan Y.; Holden, Craig W.; Trzcinka, Charles - In: Journal of financial economics 92 (2009) 2, pp. 153-181

Persistent link: https://www.econbiz.de/10003850973

What are the best liquidity proxies for global research?

Fong, Kingsley Y. L.; Holden, Craig W.; Trzcinka, Charles - In: Review of finance : journal of the European Finance … 21 (2017) 4, pp. 1355-1401

Persistent link: https://www.econbiz.de/10011803836

New Low-Frequency Spread Measures

Holden, Craig W. - 2017

I develop new spread proxies that pick up on three attributes of the low-frequency (daily) data: (1) price clustering, (2) serial price covariance accounting for midpoint prices on no-trade days, and (3) the quoted spread which is available on no-trade days. I develop and empirically test two...

Persistent link: https://www.econbiz.de/10012976841

Trading costs in three US bond markets

Chakravarty, Sugato; Sarkar, Asani - In: The journal of fixed income 13 (2003) 1, pp. 39-48

Persistent link: https://www.econbiz.de/10001782460

Do differences in transparency affect trading costs? : Evidence from US corporate, municipal and treasury bond markets

Chakravarty, Sugato; Sarkar, Asani - 2000

Persistent link: https://www.econbiz.de/10001525798

A comparison of trading costs in the US corporate, municipal and treasury bond markets

Chakravarty, Sugato (contributor); Sarkar, Asani (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001914432