Presidential Address: Friction

By H. Stoll. 2000

525 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ca6e1a8978212f2534dd188d50d20966bde14da4

How researchers see this paper

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

In Economics and Econometrics

In Finance

Citations in the corpus

Liquidity and Expected Returns: Lessons from Emerging Markets (2007, unknown): “Liquidity and transactions costs are notoriously difficult to measure [see Stoll (2000), O’Hara (2003), and Hodrick and Moulton (2003) for discussions].”
Does Corporate Social Responsibility Affect Information Asymmetry? (2016, background): “A firm’s stock price and dollar-amount trading volume, in particular, are known to correlate highly with its illiquidity level (Stoll 2000; Chung et al. 2010).”
An Empirical Analysis of Stock and Bond Market Liquidity (2005, background): “Chordia, Roll, and Subrahmanyam (2001) study daily aggregate 1See Stoll (2000).”
Price Momentum and Idiosyncratic Volatility (2008, unknown): “Share price is viewed as inversely related to transactions costs (see, for example, Stoll, 2000 ).”
Liquidity of emerging markets (2005, methodology): “…the LDV measure are sizeable, ranging from 2.97 for Russia to 39.41 for Malaysia indicating sufficient power of the LDV estimate.28 Where significant, the liquidity variables of Stoll (2000) 27 The lone exception is the Czech Republic where the LDV liquidity measure is positive, but insignificant.”
A Closing Call's Impact on Market Quality at Euronext Paris (2003, methodology): “…that the introduction of the closing call improved market quality at the Paris Bourse.14 To this end, useful techniques are described in CHMSW (1983a, 1883b), Roll (1984), Hasbrouck and Schwartz (1988), Amihud et al. (1997), Lesmond et al. (1999), Chordia and Swaminathan (2000), and Stoll (2000).”
Discounts On Illiquid Stocks: Evidence From China (2001, background): “It reinforces the importance of asset pricing models that incorporate market frictions [e.g., Stoll (2000)].”
Direct and Mediated Associations among Earnings Quality, Information Asymmetry, and the Cost of Equity (2012, methodology): “Price impact has been used in the market microstructure literature (e.g., Bessembinder and Kaufman 1997, Stoll 2000, Wahal, Conrad and Johnson 2003) and also by market regulators.13 It has to our knowledge not been tested explicitly as a determinant of expected returns.”
Does Earnings Quality Affect Information Asymmetry? Evidence from Trading Costs*: Earnings Quality and Information Asymmetry (2013, unknown): “9 The price impact of trade has been used extensively in empirical market microstructure literature to quantify information asymmetry (see for example, Bessembinder and Kaufman, 1997; Stoll, 2000; Venkataraman, 2001, among others).”
A Liquidity-Based Theory of Closed-End Funds (2009, background): “On the other hand, both inventory and information asymmetry models predict a positive relation between spreads and volatility (see, for example, Ho and Stoll, 1983; Admati and Pfleiderer, 1988; Foster and Viswanathan, 1990), and empirical evidence supports this prediction (see Stoll, 2000).”
Stock Market Liquidity and Firm Dividend Policy (2007, unknown): “For the different sources of friction, see Stoll (2000).”