The Empirical Analysis of Liquidity

Holden, Craig W.; Jacobsen, Stacey E.; Subrahmanyam, Avanidhar

doi:10.1561/0500000044

Cited by 104 publications

(40 citation statements)

References 428 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…More recently, Del Guercio et al (2013) study the effect of time-varying legal enforcement environment 5 Biais et al (2005) and Vayanos and Wang (2013), among others, provide thorough reviews of the theoretical literature. Goyenko et al (2009) and Holden et al (2014), among others, survey the empirical literature. 6 Bhattacharya (2014) provides an excellent review of the literature on both legal and illegal insider trading.…”

Section: Related Literaturementioning

confidence: 99%

See 1 more Smart Citation

Chasing Private Information

Kacperczyk

Pagnotta

2019

The Review of Financial Studies

View full text Add to dashboard Cite

Using over 5,000 trades unequivocally based on nonpublic information about firm fundamentals, we find that asymmetric information proxies display abnormal values on days with informed trading. Volatility and volume are abnormally high, whereas illiquidity is low, in equity and option markets. Daily returns reflect the sign of private signals, but bid-ask spreads are lower when informed investors trade. Market makers’ learning under event uncertainty and limit orders help explain these findings. The cross-section of information duration indicates that traders select days with high uninformed volume. Evidence from the U.S. SEC Whistleblower Reward Program and the FINRA involvement addresses selection concerns. Received January 11, 2017; editorial decision December 17, 2018 by Editor Andrew Karolyi. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

show abstract

Section: Related Literaturementioning

confidence: 99%

“…Stock-based measures at high and low frequencies are computed using monthly TAQ and CRSP, respectively. For each stock, we compute the intra-day NBBO prices using the interpolated time method in Holden et al (2014).…”

Section: Data and Implementation Detailsmentioning

confidence: 99%

Chasing Private Information

Kacperczyk

Pagnotta

2019

The Review of Financial Studies

View full text Add to dashboard Cite

show abstract

“…DEP Natural logarithm of average daily market depth at NBBO over the preannouncement window. Daily depth is defined as volume-weighted average dollar depth at NBBO computed over all trades, including both on-exchange and offexchange trades, during regular trading hours in that day (see Holden et al 2014 for details). ESPD Average daily percentage effective spread over the pre-announcement window.…”

Section: Fq4mentioning

confidence: 99%

Off-Exchange Trading and Post Earnings Announcement Drift

2019

View full text Add to dashboard Cite

Off-exchange trading, which tends to attract uninformed trades, accounts for about 35 percent of total trading volume today. Taking uninformed trades off exchanges harms liquidity but improves price discovery, indicated by a decline in intraday price inefficiency (deviation of price changes from a random walk). We examine whether it also decreases an accounting inefficiency: investor underreaction to quarterly earnings news. Our results, based on investigation of a large panel of US firms and a natural experiment created by the SEC's Tick Size Pilot program, suggest the opposite conclusion: off-exchange trading increases underreaction to earnings news. The negative effects of off-exchange trading on liquidity (less depth and wider spreads) likely increase arbitrage costs, thereby reducing arbitrage activity that partially corrects underreaction. We find that the positive relation between off-exchange trading and underreaction remains strong even when we control for a host of observable arbitrage cost measures. Levels of off-exchange trading appear to serve as a useful proxy for hard-to-measure arbitrage costs.

show abstract

“…In contrast, the following proxies measure a portfolio`s illiquidity level. Relative spread, represents the difference between the logarithm of the best offer price and the logarithm of the best bid price, as in Holden, Jacobsen, and Subrahmanyam (2014). Amihud, is based on the illiquidity measure of Amihud (2002).…”

Section: Table IV -Mutual Fund Performance -Sub-advised Controlmentioning

confidence: 99%

Trading efficiency of fund families: Impact on fund performance and investment behavior

Cici

Dahm

Kempf

2018

Journal of Banking & Finance

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte.

show abstract

The Empirical Analysis of Liquidity

Cited by 104 publications

References 428 publications

Chasing Private Information

Chasing Private Information

Off-Exchange Trading and Post Earnings Announcement Drift

Trading efficiency of fund families: Impact on fund performance and investment behavior

Contact Info

Product

Resources

About