A Century of Stock Market Liquidity and Trading Costs

By Charles M. Jones. 2002

493 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/9143271a520628c34e61c00d9502a0161c256dc6

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Citations in the corpus

The History of the Cross Section of Stock Returns (2016, unknown): “tion costs, liquidity, information availability) have declined over the last century (Jones 2002; French 2008; Hasbrouck 2009).”
An Empirical Analysis of Stock and Bond Market Liquidity (2005, unknown): “Jones (2001) and Amihud (2002) show that liquidity predicts expected returns in the time-series.”
Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns (2006, unknown): “Consistent with the findings of Jones (2002), we find that”
Research in Emerging Markets Finance: Looking to the Future (2002, unknown): “12 See Bekaert and Harvey (1997, 2000a), Richards (1996), Kim and Singal (2000), De Santis and Imrohoroglu (1997) and Aggarwal, Inclan and Leal (1999).”
Common market makers and commonality in liquidity (2004, background): “Because systematic liquidity variation is most likely a priced source of risk (Amihud and Mendelson, 1986; Brennan and Subrahmanyam, 1996; Jones, 2002; P!astor and Stambaugh, 2003), understanding the causes of liquidity covariation will help investors bear this risk with greater efficiency.”
Liquidity Shocks and Stock Market Reactions (2014, background): “Kahneman’s (1973) theory of attention argues that attention is a scarce cognitive resource.”
Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance (2008, result): “These results are to be expected given the evidence that the bid-ask spreads of U.S. stocks declined substantially over the past decade or so (see, e.g., Chordia et al. (2001) and Jones (2002)).”
A Catering Theory of Dividends (2004, unknown): “On the other hand, Jones (2001) shows that transaction costs have declined dramatically since the mid-1970s, which coincides with a reduction in the rate of initiation.24 Jones’s Figure 4 shows the average annual one-way transaction cost for the NYSE, or one half of the bid-ask spread plus…”
Volume, liquidity, and liquidity risk (2008, unknown): “In annual vector autoregressions using the Dow Jones 30 industrial stocks, Jones (2002) finds no significant effect of changes in turnover on changes in bid-ask spreads.”
Sparse and Stable Portfolio Selection With Parameter Uncertainty (2015, unknown): “Jones (2002) found that the average proportional bid-ask spread on large U.S. stocks has declined substantially over the past century from about 0.8% in the 1900s to about 0.2% in 2000.”