Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours

By Michael J. Barclay, Terrence Hendershott. 2004

177 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/c445892a28981c945127742c615fdc677fad1509

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. Timothy C. Johnson
2. Charles M. Jones
3. Terrence Hendershott
4. P. Bennett
5. Li Wei
6. Tālis J. Putniņš
7. Ekkehart Boehmer
8. Y. Amihud

In Finance

1. Charles M. Jones
2. Timothy C. Johnson
3. Terrence Hendershott
4. P. Bennett
5. Li Wei
6. Tālis J. Putniņš
7. Albert J. Menkveld
8. Peter Hoffmann

Citations in the corpus

• Ownership Level, Ownership Concentration and Liquidity (2007, unknown): “Following Barclay and Hendershott (2004), we employ two measures.”
• Privatization and Stock Market Liquidity (2007, unknown): “23 22 Barclay and Hendershott (2004) document another kind of liquidity externality, arising from the temporal consolidation of trades on a given security: the arrival of another trader in the marketplace reduces trading costs for all market participants.”
• Volume, liquidity, and liquidity risk (2008, background): “See Chordia, Roll, and Subrahmanyam and Barclay and Hendershott (2004), for example.”
• Market structure, fragmentation, and market quality (2006, background): “…on market quality.4 Others show that fragmentation with competition does not hurt market quality.5 Amihud et al. (2003) provide evidence that order consolidation improves liquidity and pricing, and Barclay and Hendershott (2004) show the positive impact of trading consolidation on liquidity.”
• Island Goes Dark: Transparency, Fragmentation, and Regulation (2005, background): “Realized spreads, which proxy for revenue to liquidity providers, decline off Island, indicating that these other markets become 4 See Barclay and Hendershott (2004) for evidence on liquidity externalities arising from traders consolidating their activity in time, and Amihud, Lauterbach, and Mendels”
• Institutional Ownership, Volatility and Dividends (2009, unknown): “Following Barclay and Hendershott (2004), we define the effective spread as the absolute difference between the trade price and the quote midpoint at the time of the trade divided by the quote midpoint, i.”