Trade Execution Costs and Market Quality after Decimalization

By H. Bessembinder. Journal of Financial and Quantitative Analysis, 2003

482 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8ba269b68fe19f73db8981ad7a61913edf9e8720

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Citations in the corpus

Block Ownership, Trading Activity, and Market Liquidity (2009, unknown): “Consistent with Goldstein and Kavajecz (2000) and Bessembinder (2003), our liquidity measures, including relative quoted and effective spreads and quoted depths, decreased over our sample period.”
The Effect of Liquidity on Governance (2011, background): “stock markets reduced the minimum tick size from 1/16 dollar to one cent, lowering bid-ask spreads substantially (Bessembinder 2003; Furfine 2003).”
Implications of Transaction Costs for the Post-Earnings Announcement Drift (2008, background): “We note though that this assumption is unlikely to be descriptive because large trades are more likely to be executed outside the quoted spreads (Bessembinder [2003]).”
Using Matched Samples to Test for Differences in Trade Execution Costs (2009, unknown): “Similar matched sample approaches are used by Keim and Madhavan (1997), Bessembinder and Kaufamn (1997a, 1997b), LaPlante and Muscarella (1997), Bessembinder (1999, 2003), Weston (2000), Venkataraman (2001), SEC (2001), Bacidore and Sofianos (2002), Boehmer (2003), Chung and Chuwonganant (2004),…”
Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications (2005, background): “In the previous sections we reviewed the difference between equilibrium outcomes arising under uniform pricing (Kyle, 1985, 1989) and those arising with discriminatory pricing (Glosten, 1994; Bernhardt and Hughson, 1997; Biais, Martimort and Rochet, 2000).”
Very Fast Money: High-Frequency Trading on the NASDAQ (2013, background): “For example, Bessembinder (2003) finds mean effective spreads of 28.”
Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network (2007, unknown): “If nT+1 < 0; given time priority, the last jnT+1j submitted sell orders remain (5)Bessembinder (2003) nds average (volume-weighted) quoted spreads on NASDAQ equal to 1.”
Does Stock Liquidity Enhance or Impede Firm Innovation (2013, unknown): “Prior studies show significant increases in liquidity as a result of decimalization, especially among actively traded stocks (Bessembinder (2003) and Furfine”
A simple approximation of intraday spreads using daily data (2014, result): “For example, previous studies (e.g., Christie and Schultz, 1994; Huang and Stoll, 1996; Bessembinder, 2003a) use the bid-ask spread to perform inter-market comparisons of trading costs.”