Specialist performance and new listing allocations on the NYSE: an empirical analysis
Tài liệu tham khảo
Barnea, 1974, A performance evaluation of New York Stock Exchange specialists, Journal of Financial and Quantitative Analysis, 9, 511, 10.2307/2329758
Benveniste, 1992, What's specialist about the specialist, Journal of Financial Economics, 32, 61, 10.1016/0304-405X(92)90025-S
Bhattacharya, 1993, In search of the right middleman, Economic Letters, 42, 341, 10.1016/0165-1765(93)90082-N
Blume, 1997, Quotes, order flow, and price discovery, Journal of Finance, 52, 221, 10.2307/2329562
Cao, 1997, Does the specialist matter? Differential liquidity costs and inter-security subsidization on the NYSE, Journal of Finance, 52, 1615, 10.2307/2329449
Copeland, 1983, Information effects and the bid-ask spread, Journal of Finance, 38, 1457, 10.2307/2327580
Corwin, 1999, Differences in trading behavior across NYSE specialist firms, Journal of Finance, 54, 721, 10.1111/0022-1082.00123
Fama, 1997, Industry costs of equity, Journal of Financial Economics, 43, 153, 10.1016/S0304-405X(96)00896-3
Gehrig, 1998, Bid-ask spreads with indirect competition among specialists, Journal of Financial Markets, 1, 89, 10.1016/S1386-4181(97)00005-0
Glosten, 1989, Insider trading, liquidity, and the role of the monopolist specialist, Journal of Business, 62, 211, 10.1086/296460
Glosten, 1985, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 14, 71, 10.1016/0304-405X(85)90044-3
Greene, W.H., 1995. LIMDEP Version 7.0 User's Manual (Econometric Software, Inc.).
Greene, 1997
Harris, 1994, Minimum price variations, discrete bid-ask spreads, and quotation sizes, Review of Financial Studies, 7, 149, 10.1093/rfs/7.1.149
Hatch, 2002, The impact of specialist firm acquisitions on market quality, Journal of Financial Economics, 66, 139, 10.1016/S0304-405X(02)00153-8
Ho, 1981, Optimal dealer pricing under transactions and return uncertainty, Journal of Financial Economics, 9, 47, 10.1016/0304-405X(81)90020-9
Leach, 1993, Price experimentation and security market structure, Review of Financial Studies, 6, 375, 10.1093/rfs/6.2.375
Lee, 1991, Inferring trade direction from intraday data, Journal of Finance, 46, 733, 10.2307/2328845
New York Stock Exchange, Inc., 1998. NYSE Information Memo 98-06: Allocation Policy and Procedures. January 30, 1998.
New York Stock Exchange, Inc., 2001. NYSE Information Memo 01-37: Allocation Policy. October 29, 2001.
Oesterle, 1992, The New York Stock Exchange and its outmoded specialist system, Journal of Corporation Law, 17, 223
O'Hara, 1986, The microeconomics of market making, Journal of Financial and Quantitative Analysis, 21, 361, 10.2307/2330686
Pirrong, 1999, The organization of financial exchange markets, Journal of Financial Markets, 2, 329, 10.1016/S1386-4181(99)00005-1
Securities and Exchange Commission, 1995. File No. SR-NYSE-95-05.
Securities and Exchange Commission, 1998. Release No. 34-39564, File No. SR-NYSE-97-30.
Smidt, 1971, Which road to an efficient stock market, Financial Analysts Journal, 27, 18, 20, 64.69, 10.2469/faj.v27.n5.18
Sofianos, G., 1995. Specialist gross trading revenues at the New York Stock Exchange. NYSE Working Paper #95-01.
Strobl, G., 2001. On the optimal allocation of new security listings to specialists. Working paper, University of Pennsylvania.
