Hasbrouck, Joel, and George Sofianos, 1993, The trades of market makers: An empirical analysis of NYSE specialists, Journal of Finance 68, 1565-1593. Home/Search Document Not in Database Summary Related Articles Check |
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Market Makers' Supply And Pricing Of Financial Market Liquidity - Shen, Starr (2000) (Correct)
....distribution is 0 V and the variance is 2 3 v # . 6 See Appendix 2 for examples. 7 Our setting thus leads to the conclusion that when the initial inventory position is large, the time series of inventory position has a unit root, which may or may not be consistent with the empirical evidence (Hasbrouck and Sofianos, 1993). However, this result should not be taken literally, as the focus of this paper is not the statistical property of the inventory and thus, the model is highly stylized. 8 Allowing the correlation between volume and price distributions is likely to strengthen the positive relation between the ....
Hasbrouck, Joel, and George Sofianos 1993, "The Trades of Market Makers: An Empirical Analysis of NYSE Specialists". The Journal of Finance, vol. 48, no.5, 1565-1593.
The Information-Content of the Limit Order Book: Evidence.. - Harris, Panchapagesan (1999) (Correct)
....blank. This makes it possible to use the omission of a trader identity code to flag such transactions as possibly involving the specialist. 3.4.1 Audit Trail Data Before proceeding further, it is necessary to understand how audit information is presented in the TORQ database and in the CAUD. Hasbrouck, Sofianos and Sosebee (1993, Table 1) present an example of how a trade is represented in the CAUD. A single regular way trade (5 day settlement) was reported to the Consolidated Tape System at 9:43 a.m. for 2,600 shares at a price of 70 7 8. The audit trail information for this trade (only the relevant fields are shown) ....
Hasbrouck, Joel and George Sofianos, 1993, The Trades of Market Makers: An Empirical Analysis of NYSE Specialists, Journal of Finance 48, 1565-1594.
Does the Specialist Matter? Differential Liquidity Costs.. - Cao, Choe, Hatheway Self-citation (Hasbrouck) (Correct)
....firms. In the existing research on differential liquidity costs, the norm has been to analyze liquidity costs for a range of stocks from a single market, draw inferences based on the results and characterize them as representative of the typical liquidity provider [see Roll (1984) Stoll (1989) Hasbrouck (1993), Hasbrouck and Sofianos (1993) Lee (1993) Stoll (1994) Huang and Stoll (1994a) 1 These studies are valuable for understanding the structure and sources of liquidity costs for stocks traded on the NYSE. Part of this line of research are the results documenting liquidity cost differentials ....
.... research on differential liquidity costs, the norm has been to analyze liquidity costs for a range of stocks from a single market, draw inferences based on the results and characterize them as representative of the typical liquidity provider [see Roll (1984) Stoll (1989) Hasbrouck (1993) Hasbrouck and Sofianos (1993), Lee (1993) Stoll (1994) Huang and Stoll (1994a) 1 These studies are valuable for understanding the structure and sources of liquidity costs for stocks traded on the NYSE. Part of this line of research are the results documenting liquidity cost differentials within a market. These studies ....
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Hasbrouck, J. and G. Sofianos, (1993), "The trades of market makers: An empirical analysis of NYSE specialists", Journal of Finance 48, 1565-1593.
Securities Transaction Taxes And Financial Markets - Habermeier, Kirilenko (2000) (1 citation) (Correct)
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Hasbrouck, Joel, and George Sofianos, 1993, The trades of market makers: An empirical analysis of NYSE specialists, Journal of Finance 68, 1565-1593.
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