Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders

By Amber Anand, Sugato Chakravarty, Terrence F. Martell. 2005

182 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/a631f028c94522524486a57bf22422e13c0bcd7e

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. Maik Schmeling
2. Ryan Riordan
3. P. Jain
4. Robert H. Jennings
5. Terrence Hendershott
6. Carol L. Osler
7. Craig W. Holden
8. Jonathan Brogaard

In Finance

1. Ryan Riordan
2. Jonathan Brogaard
3. Terrence Hendershott
4. Craig W. Holden
5. Maik Schmeling
6. P. Jain
7. Robert H. Jennings
8. Carol L. Osler

Citations in the corpus

• Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (2011, unknown): “(1995), Harris and Hasbrouck (1996), Ranaldo (2004), Anand et al. (2005), Hall and Hautsch (2006) and Pascual and Veredas (2009).”
• Limit-Order Submission Strategies under Asymmetric Information (2010, background): “Anand et al. (2005) does examine how order choice varies between informed and uninformed traders, but that paper focuses on the influence of time. In that study of TORQ data, institutional traders are considered informed and others are considered uninformed. Anand et al. (2005) confirms Bloomfield e”
• Order Dynamics: Recent Evidence from the NYSE (2003, methodology): “Anand et al (2005) document that the profitability of institutional (informed) traders’ aggressively-priced limit order exceeds the profitability of individual (uninformed) investors’ orders.”
• Price Discovery without Trading: Evidence from Limit Orders (2019, background): “Anand, Chakravarty, and Martell (2005) show institutions use limit orders.”
• Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets (2009, unknown): “…value, defensive traders may react by 5 Other studies, such as Harris and Hasbrouck (1996), Chakravarty and Holden (1995), Bae, Jang, and Park (2003), Anand, Chakravarty, and Martell (2005), and Ellul, Holden, Jain, and Jennings (2007), examine the traders’ choice of market versus limit orders.”
• Informed trading and price discovery before corporate events (2015, unknown): “6 Other experimental and empirical papers also suggest that informed traders use limit orders (e.g., Barclay, Hendershott, and McCormick (2003), Bloomfield, O’Hara, and Saar (2005, 2015 ), Anand, Chakravarty, and Martell (2005), Hautsch and Huang (2012) , and Zhang (2013) ).”