Price Discovery and Trading After Hours

By Michael J. Barclay, Terrence Hendershott. 2003

382 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/343e22b18fd3f46c9a936b0de50a97dbfd71e802

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Citations in the corpus

Order Dynamics: Recent Evidence from the NYSE (2003, background): “For example, Chung et al. (1999) document a U-shaped pattern in trading activity and Barclay and Hendershott (2003) document a U-shaped pattern in price discovery over the trading day with a much larger spike at the beginning of the day.”
Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours (2004, background): “…surprising that small trades account for the difference in adverse selection between the preopen and postclose because a majority of trades in the preopen are executed anonymously on an ECN , while most trades in the postclose are negotiated with market makers ( Barclay and Hendershott ( 2003 ) ) .”
Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open (2012, background): “2There is an after-hours market and a pre-open on electronic communication networks (ECNs), but high costs and other impediments to trading deter retail investors, so that professional traders dominate these markets (see Barclay and Hendershott (2003), (2004)).”
Automation, Speed, and Stock Market Quality: The NYSE’s Hybrid (2011, background): “Terrence Hendershotta, Pamela C. Moultonb,* aHaas School of Business, University of California, 545 Student Services Building #1900, Berkeley, CA 94720, USA bSchool of Hotel Administration, Cornell University, 435A Statler Hall, Ithaca NY 14853, USA February 7, 2010”
Latency, liquidity and price discovery ☆ (2012, neutral): “This measure however has been used in a number of other studies with the same interpretation (Barclay and Hendershott (2003), Madhavan (2000)).”
Informed trading and price discovery before corporate events (2015, neutral): “Barclay and Hendershott (2003) interpret the slope of the unbiasedness regressions as a signal:noise ratio.”