Price Dispersion in OTC Markets: A New Measure of Liquidity

By R. Jankowitsch, Amrut J. Nashikkar, Marti G. Subrahmanyam. 2011

196 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/7ee98b04672f3732ae8f1ba4c1c265540da32872

How researchers see this paper

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

In Accounting

1. Stacey Jacobsen
2. Craig W. Holden
3. Pengjie Gao
4. Avanidhar Subrahmanyam
5. R. Jankowitsch
6. Florian Nagler
7. Chang Lee
8. Marti G. Subrahmanyam

In Finance

1. Stacey Jacobsen
2. Craig W. Holden
3. Avanidhar Subrahmanyam
4. R. Jankowitsch
5. Florian Nagler
6. Marti G. Subrahmanyam
7. Pengjie Gao
8. Chang Lee

Citations in the corpus

• Adverse Selection and Liquidity Distortion (2011, unknown): “Along with this line, Jankowitsch et al. (2011) shows that there is indeed a correlation between the price dispersion in OTCmarket and the trading volume (as well as common liquidity measures).”
• The Empirical Analysis of Liquidity (2014, background): “Jankowitsch et al. [2011] show theoretically that in the presence of search costs for investors and inventory risk for dealers, trade prices will exhibit price dispersion.”
• The Determinants of Recovery Rates in the US Corporate Bond Market (2014, background): “In this section, we present the results of the various regression models explaining the variation in the recovery rates of corporate bonds.”
• Financing dies in darkness? The impact of newspaper closures on public finance (2020, background): “the 90-day period following the municipal bond offering date, which is based on the metric in Jankowitsch et al. (2011) .”