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On the Static Efficiency of Secondary Bond Markets. (2004). Oxelheim, Lars ; Rafferty, Michael.
In: Working Paper Series.
RePEc:hhs:iuiwop:0623.

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  25. Oxelheim, L., Rafferty, M., 2001. On the Static Efficiency of Secondary Bond Markets.

  26. Oxelheim, L., Rafferty, M., 2003. Dynamic Efficiency of Secondary Bond Markets. WP2003/4, Lund Institute of Economic Research, Lund University, Lund.
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Cocites

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  1. Attention-driven reaction to extreme earnings surprises. (2023). Kausel, Edgar ; Batista, Julian A ; Reyes, Tomas ; Martinez, Diego ; Chacon, Alvaro.
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  2. One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations. (2018). Verousis, Thanos ; Sermpinis, Georgios ; Perotti, Pietro.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:50:y:2018:i:2:d:10.1007_s11156-017-0632-2.

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  3. A continuous and efficient fundamental price on the discrete order book grid. (2018). Bonart, Julius ; Lillo, Fabrizio.
    In: Physica A: Statistical Mechanics and its Applications.
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  4. A continuous and efficient fundamental price on the discrete order book grid. (2016). Lillo, Fabrizio ; Bonart, Julius.
    In: Papers.
    RePEc:arx:papers:1608.00756.

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  5. Estimation of trading costs: Trade indicator models revisited. (2014). Theissen, Erik ; Zehnder, Lars Simon .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1409.

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  6. Spread decomposition with common spread components. (2010). Martens, Martin ; Henker, Thomas .
    In: International Journal of Managerial Finance.
    RePEc:eme:ijmfpp:v:6:y:2010:i:2:p:88-115.

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  7. Liquidity and market efficiency. (2008). Subrahmanyam, Avanidhar ; Roll, Richard ; Chordia, Tarun .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:87:y:2008:i:2:p:249-268.

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  8. Determinants of bid and ask quotes and implications for the cost of trading. (2008). Russell, Jeffrey R. ; Tsay, Ruey S. ; Zhang, Michael Yuanjie.
    In: Journal of Empirical Finance.
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  9. Structural breaks in point processes: With an application to reporting delays for trades on the New York stock exchange. (2007). Andersson, Jonas ; Moberg, Jan-Magnus.
    In: Discussion Papers.
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  10. Stock Market Liquidity.Determinants and Implications. (2007). Wuyts, G.
    In: Review of Business and Economic Literature.
    RePEc:ete:revbec:20070205.

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  11. On the importance of timing specifications in market microstructure research. (2006). Wang, Jianxin ; Henker, Thomas .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:9:y:2006:i:2:p:162-179.

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  12. The joint dynamics of liquidity, returns, and volatility across small and large firms. (2005). Subrahmanyam, Avanidhar ; Chordia, Tarun .
    In: Staff Reports.
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  13. On the static efficiency of secondary bond markets. (2005). Oxelheim, Lars ; Rafferty, Michael.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:15:y:2005:i:2:p:117-135.

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  14. Evidence on the speed of convergence to market efficiency. (2005). Subrahmanyam, Avanidhar ; Roll, Richard ; Chordia, Tarun .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:76:y:2005:i:2:p:271-292.

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  15. The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms. (2005). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun .
    In: University of California at Los Angeles, Anderson Graduate School of Management.
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  16. On the Static Efficiency of Secondary Bond Markets. (2004). Oxelheim, Lars ; Rafferty, Michael.
    In: Working Paper Series.
    RePEc:hhs:iuiwop:0623.

    Full description at Econpapers || Download paper

  17. Liquidity and Arbitrage. (2004). Subrahmanyam, Avanidhar ; Roll, Richard ; Schwartz, Eduardo S.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
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  18. Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading. (2003). ap Gwilym, Owain ; Alibo, Evamena .
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  19. An empirical analysis of stock and bond market liquidity. (2003). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun .
    In: Staff Reports.
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  20. The effect of decimalization on the components of the bid-ask spread. (2003). Singh, Rajdeep ; Yerramilli, Vijay ; Gibson, Scott .
    In: Journal of Financial Intermediation.
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  21. An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies. (2001). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun .
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  22. Evidence on the Speed of Convergence to Market Efficiency, forthcoming: Journal of Financial Economics. (2001). Subrahmanyam, Avanidhar ; Roll, Richard ; Chordia, Tarun .
    In: University of California at Los Angeles, Anderson Graduate School of Management.
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