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Information-Based Trading and Price Improvement
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Lee, Kaun Young | - |
| dc.contributor.author | Chung, Kee H. | - |
| dc.date.available | 2019-05-30T03:32:30Z | - |
| dc.date.issued | 2009-06 | - |
| dc.identifier.issn | 0306-686X | - |
| dc.identifier.issn | 1468-5957 | - |
| dc.identifier.uri | https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/23154 | - |
| dc.description.abstract | In this study we test the information hypothesis of price improvement. Our results show that price improvement is negatively related to both the probability of information-based trading and the price impact of trades. We interpret these results as evidence that liquidity providers selectively offer price improvements according to the information content of trades. We also show that liquidity providers offer greater (and more frequent) price improvements when they are at the NBBO, and for stocks with wider spreads, fewer trades, or smaller trade sizes relative to the quoted depth. Buyer-initiated trades receive smaller (larger) price improvements than seller-initiated trades on the NYSE (NASDAQ). | - |
| dc.format.extent | 20 | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | WILEY | - |
| dc.title | Information-Based Trading and Price Improvement | - |
| dc.type | Article | - |
| dc.identifier.doi | 10.1111/j.1468-5957.2009.02142.x | - |
| dc.identifier.bibliographicCitation | JOURNAL OF BUSINESS FINANCE & ACCOUNTING, v.36, no.5-6, pp 754 - 773 | - |
| dc.description.isOpenAccess | N | - |
| dc.identifier.wosid | 000268100300009 | - |
| dc.identifier.scopusid | 2-s2.0-68349127576 | - |
| dc.citation.endPage | 773 | - |
| dc.citation.number | 5-6 | - |
| dc.citation.startPage | 754 | - |
| dc.citation.title | JOURNAL OF BUSINESS FINANCE & ACCOUNTING | - |
| dc.citation.volume | 36 | - |
| dc.type.docType | Article | - |
| dc.publisher.location | 미국 | - |
| dc.subject.keywordAuthor | execution costs | - |
| dc.subject.keywordAuthor | price improvement | - |
| dc.subject.keywordAuthor | information-based trading | - |
| dc.subject.keywordAuthor | price impact | - |
| dc.subject.keywordPlus | YORK-STOCK-EXCHANGE | - |
| dc.subject.keywordPlus | SECURITIES MARKETS | - |
| dc.subject.keywordPlus | EXECUTION COSTS | - |
| dc.subject.keywordPlus | ORDERS | - |
| dc.subject.keywordPlus | IMPACT | - |
| dc.subject.keywordPlus | INTERNALIZATION | - |
| dc.subject.keywordPlus | COMPETITION | - |
| dc.subject.keywordPlus | VOLATILITY | - |
| dc.subject.keywordPlus | SPREADS | - |
| dc.subject.keywordPlus | QUALITY | - |
| dc.relation.journalResearchArea | Business & Economics | - |
| dc.relation.journalWebOfScienceCategory | Business, Finance | - |
| dc.description.journalRegisteredClass | scie | - |
| dc.description.journalRegisteredClass | scopus | - |
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