Market Maker Inventories and Stock Prices

By Terrence Hendershott, Mark S. Seasholes. 2006

143 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5ecd71b9e09a666d9492b187908e0527b9ff24f8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Economics and Econometrics

In Finance

Citations in the corpus

The Flash Crash: High-Frequency Trading in an Electronic Market (2017, background): “…unit root for all variables. are negatively related to contemporaneous price changes but are generally positively related to lagged price changes.27 Hendershott and Seasholes (2007) argue that market makers are willing to accommodate trades to less patient investors only if they are able to buy…”
Asset Price Dynamics with Slow-Moving Capital (2010, background): “A wealth of empirical evidence of price surges and return reversals caused by specialist inventory imbalances has been provided by Andrade, Chang, and Seasholes (2005), Hendershott and Seasholes (2007), and Hendershott and Menkveld (2009).”
Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues (2010, unknown): “The authors also identify three 24 specialist firms in which the specialists are only employees (corporate ownership).”
Trading imbalances, predictable reversals, and cross-stock price pressure (2008, result): “Using 11 years of NYSE stocks, a recent paper by Hendershott and Seasholes (2007) confirms a pattern of predictable reversals that is similar to the reversals in our paper.”
Order Flow and Expected Option Returns (2015, unknown): “7 Hendershott and Seasholes (2007), Hendershott, Li, Menkvel, and Seasholes (2013), and Mitchell, Pedersen, and Pulvino (2007) are three recent examples.”
High-Frequency Trading and Extreme Price Movements (2018, unknown): “Hendershott and Seasholes (2007), Nagel (2012) and So and Wang (2014) find that providing liquidity against price movements that eventually reverse is a profitable strategy.”
Information Percolation, Momentum and Reversal (2014, unknown): “Another strand of the literature documents that investors who have a broader experience on how the market operates—specialists and commercial investors—are contrarians and liquidity providers (Hendershott and Seasholes, 2007; Moskowitz et al., 2012).”
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010, background): “A wealth of empirical evidence of price surges and return reversals caused by specialist inventory imbalances has been provided by Andrade, Chang, and Seasholes (2005), Hendershott and Seasholes (2007), and Hendershott and Menkveld (2009).”