Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/trading-volume-and-transaction-costs-in-specialist-markets-vnCOEZ96Aj
References (26)
-
Oliver Kim (1991)
Market reaction to anticipated announcementsJournal of Financial Economics, 30
-
A. Kyle (1985)
Continuous Auctions and Insider TradingEconometrica, 53
-
Paul Milgrom, Nancy Stokey (1982)
Information, Trade, and Common KnowledgeJournal of Economic Theory, 26
-
Douglas Foster, S. Viswanathan, F. Foster (1990)
A theory of the interday variations in volume -
Bamber (1987)
Unexpected earnings, firm size, and trading volume around quarterly earnings announcementsThe Accounting Review, 62
-
Anat Admati, P. Pfleiderer (1989)
Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean EffectsReview of Financial Studies, 2
-
E. Comiskey, Ralph Walkling, Michael Weeks (1987)
Dispersion of Expectations and Trading VolumeEconometrics: Applied Econometrics & Modeling eJournal
-
Dale Morse (1981)
Price And Trading Volume Reaction Surrounding Earnings Announcements - A Closer ExaminationJournal of Accounting Research, 19
-
Oliver Kim, Robert Verrecchia (1991)
Trading Volume And Price Reactions To Public AnnouncementsJournal of Accounting Research, 29
-
L. Glosten, L. Harris (1988)
Estimating the components of the bid/ask spreadJournal of Financial Economics, 21
-
Ananth Madhavan (1992)
Trading Mechanisms in Securities MarketsJournal of Finance, 47
-
R. Chiang, Thomas Copeland, Robert Verrecchia, Nicholas Kiefer, Maureen O'Hara, Joseph Paperman (1988)
Insider Holdings and Perceptions of Information Asymmetry: A NoteJournal of Finance, 43
-
L. Glosten (1989)
Insider Trading, Liquidity, and the Role of the Monopolist SpecialistThe Journal of Business, 62
-
G. Richardson, Stephan Sefcik, Rex Thompson (1986)
A test of dividend irrelevance using volume reactions to a change in dividend policyJournal of Financial Economics, 17
-
L. Glosten, Paul Milgrom (1985)
Bid, ask and transaction prices in a specialist market with heterogeneously informed tradersJournal of Financial Economics, 14
-
Thomas George, F. Longstaff (1993)
Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options MarketJournal of Financial and Quantitative Analysis, 28
-
R. Litzenberger, V. Madrigal (1992)
Testing Financial Market Equilibrium under Asymmetric InformationJournal of Political Economy, 100
-
Bruce Grundy, M. McNichols (1989)
Trade and the Revelation of Information through Prices and Direct DisclosureReview of Financial Studies, 2
-
H. Varian (1985)
Differences of Opinion and the Volume of Trade -
Kim Kim, Verrecchia Verrecchia (1991b)
Market research to anticipated announcementsJournal of Financial Economics, 30
-
Prem Jain (1988)
Response of Hourly Stock Prices and Trading Volume to Economic NewsThe Journal of Business, 61
-
Holthausen Holthausen, Verrecchia Verrecchia (1990)
The Effect of informedness and consensus on price and volume behaviorThe Accounting Review, 65
-
Ziebart Ziebart (1990)
The association between consensus of beliefs and trading activity surrounding earnings announcementsThe Accounting Review, 65
-
Linda Bamber (1986)
The information content of annual earnings releases : a trading volume approachJournal of Accounting Research, 24
-
W. Beaver (1968)
The Information Content Of Annual Earnings Announcements -
Anat Admati, P. Pfleiderer (1988)
A Theory of Intraday Patterns: Volume and Price VariabilityReview of Financial Studies, 1
- Publisher
- Wiley
- Copyright
- 1994 The American Finance Association
- ISSN
- 0022-1082
- eISSN
- 1540-6261
- DOI
- 10.1111/j.1540-6261.1994.tb02463.x
- Publisher site
- See Article on Publisher Site
Abstract
ABSTRACT Prior work with competitive rational expectations equilibrium models indicates that there should be a positive relation between trading volume and differences in beliefs or information among traders. We show that this result is sensitive to whether and how transaction costs are modeled. In a specialist market with endogenous transaction costs we show that trading volume can be negatively related to the degree of informational asymmetry in the market. Our analysis highlights the dependence of volume on market structure, and our results suggest that the “volume effects” of corporate or macroeconomic events reflect a decrease, rather than an increase, in heterogeneity of beliefs or asymmetry of information.
Journal
The Journal of Finance – Wiley
Published: Sep 1, 1994