Dimensions of execution quality: Recent evidence for US equity markets

By Ekkehart Boehmer. 2005

177 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5a4db624dbdc130508492deff1c251ee25838377

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Citations in the corpus

Using Matched Samples to Test for Differences in Trade Execution Costs (2009, unknown): “How does test power differ across different time periods? Table 8 considers In the context of detecting abnormal returns, Boehmer, Musumeci, and Poulsen (1991) show that event studies may be severely affected by event-induced variance in returns.”
The effect of price tests on trader behavior and market quality: An analysis of Reg SHO ☆ (2008, background): “These two spread measures are calculated as (Ask – Bid)/MP and 2D(P – MP)/MP, respectively, where Ask is the national best ask, Bid is the national best bid, D is –1 for sellerinitiated trades and +1 for buyer-initiated trades as defined by Lee and Ready (1991) without a lag (Peterson and Sirri, 200”
Latency, liquidity and price discovery ☆ (2012, unknown): “Earlier empirical studies of transaction costs (Demsetz, 1968) and more recent studies (Bacidore, Ross, and Sofianos, 2003; Battalio, Hatch, and Jennings, 2003; Boehmer, 2005; Bennett and Wei, 2006) find a trade-off between speed and cost.”
Direct and Mediated Associations among Earnings Quality, Information Asymmetry, and the Cost of Equity (2012, unknown): “These measures include the effective spread and the price impact of trade metrics (Boehmer, 2005).”
Automation, Speed, and Stock Market Quality: The NYSE’s Hybrid (2011, unknown): “Email addresses: hender@haas.berkeley.edu (T. Hendershott), pmoulton@cornell.edu (P. Moulton).”
Order Dynamics: Recent Evidence from the NYSE (2003, background): “Our results complement the speed versus cost trade-off documented in Boehmer (2005).”
Market structure, fragmentation, and market quality (2006, background): “They are not large and actively traded stocks if compared to index stocks and actively traded ETFs.6 We 1See Weston (2000), Sapp and Yan (2003), and Boehmer (2005).”
Liquidity Cycles and Make/Take Fees in Electronic Markets (2013, background): “The trading (18)Note that cm and ct a¤ect the optimization in (8) and (9) through their e¤ect on m and t:”
Is Market Fragmentation Harming Market Quality (2009, unknown): “We follow the approach of Boehmer (2005) and apply standard filters to remove non-common equities, dual class shares, REITS, and common stocks of non-US companies.”
Liquidity in asset markets with search frictions (2007, unknown): “It is apparent from (5) that the investor’s payoff is the one he would get in an economy where he meets dealers according to a Poisson process with arrival rate α, but instead of bargaining, he readjusts his asset position and extracts the whole surplus with probability 1−η, whereas with probability”