Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?

Christie, William G.; Schultz, Paul

doi:10.2307/2329272

Cited by 298 publications

(242 citation statements)

References 8 publications

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“…In a similar vein, Christie and Huang (1994) and Barclay (1997) find that trading costs decrease after stocks move from the NASDAQ to the NYSE. Others with similar findings include Goldstein (1993), Christie and Schultz (1994), Bessembinder (1999Bessembinder ( , 2003, and Chung et al (2001).…”

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confidence: 69%

Is information risk priced for NASDAQ-listed stocks?

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Ness

2009

Rev Quant Finan Acc

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Easley et al. (J Finance 57:2185-2221, building upon the asset pricing model of Fama and French (J Finance 47:427-465, 1992), show that the probability of informed trading (PIN) is a determinant of asset returns for NYSE-listed securities. We extend this work by examining whether the PIN is a predictive factor for NASDAQ stocks, as many studies document significant differences between NYSE and NASDAQ listed securities. In the process we examine whether the use of PIN is appropriate for NASDAQlisted securities. We find that PIN and certain stock characteristics correlate differently for our sample of NASDAQ stocks than that of Easley et al. sample of NYSE stocks. We also determine that the risk of informed trading is only weakly priced for NASDAQ stocks. Contrary to Easley et al. we do not find evidence that excess returns increases as PIN increases.

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confidence: 69%

Is information risk priced for NASDAQ-listed stocks?

Fuller

Ness

2009

Rev Quant Finan Acc

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“…In this paper, we find that individual film critics exhibit a statistical bias toward specific studios. Perhaps the best analog to these findings in a very different context would be the study by Christie and Schultz (1994). Christie and Schultz (1994) found that odd eighth quotes were virtually non-existent for 70 out of the 100 actively traded stocks in the Nasdaq.…”

Section: Conclusion and Discussionmentioning

confidence: 98%

“…Perhaps the best analog to these findings in a very different context would be the study by Christie and Schultz (1994). Christie and Schultz (1994) found that odd eighth quotes were virtually non-existent for 70 out of the 100 actively traded stocks in the Nasdaq. They interpreted their results as evidence of collusion by market makers to keep spreads wider.…”

Section: Conclusion and Discussionmentioning

confidence: 98%

Distributors and film critics: does it take two to Tango?

2006

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Previous literature has documented the impact of critics on audience choices of movies. We investigate three issues regarding professional critics in the motion picture industry. First we document whether and to what extent critics and their recommendations exhibit a statistical bias toward specific studios. We show that reviews by a number of critics are significantly affected by the film distributor’s identity. A second question is whether audiences are able to distinguish between biased and unbiased critics. We cannot support the view that audiences put less weight on the views of biased critics; in fact, they may listen to them more. Third, we try to characterize critics who are more prone to bias. Surprisingly, but in accord with reputation models, we find that more reputable critics may be more biased; in particular, critics based in L.A. tend to significantly prefer specific studios. Copyright Springer Science+Business Media, LLC 2006Critics, Bias, Motion picture, Reputation,

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“…costs between the NYSE and NASDAQ (e.g., Christie and Schultz 1994;Huang and Stoll 1996;Bessembinder and Kaufman 1997;Chung et al 2001) accompany investigations of cream-skimming, purchased order flow, and preferencing (e.g., Easley et al 1996;Battalio 1997;Chung et al 2004). Another stream of research concentrates on competition between market centers engaged in trading of listed securities (e.g., Lee 1993;Blume and Goldstein 1997;Bessembinder 2003;Barclay et al 2003;Goldstein et al 2008).…”

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confidence: 99%