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The cross-sectional determinants of inventory control and the subtle effects of ADRs

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  • Hansch, Oliver

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  • Hansch, Oliver, 2004. "The cross-sectional determinants of inventory control and the subtle effects of ADRs," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1915-1933, August.
    • Handle: RePEc:eee:jbfina:v:28:y:2004:i:8:p:1915-1933
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    1. Biais, Bruno, 1993. "Price Information and Equilibrium Liquidity in Fragmented and Centralized Markets," Journal of Finance, American Finance Association, vol. 48(1), pages 157-185, March.
    2. Madhavan, Ananth & Smidt, Seymour, 1993. "An Analysis of Changes in Specialist Inventories and Quotations," Journal of Finance, American Finance Association, vol. 48(5), pages 1595-1628, December.
    3. Stoll, Hans R, 1978. "The Supply of Dealer Services in Securities Markets," Journal of Finance, American Finance Association, vol. 33(4), pages 1133-1151, September.
    4. de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1995. "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," European Economic Review, Elsevier, vol. 39(7), pages 1277-1301, August.
    5. Brooks, Raymond & Masson, Jean, 1996. "Performance of Stoll's Spread Component Estimator: Evidence from Simulations, Time-Series, and Cross-Sectional Data," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 459-476, Winter.
    6. Werner, Ingrid M & Kleidon, Allan W, 1996. "U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration," The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 619-664.
    7. Julian Franks & Stephen Schaefer, 1995. "Equity Market Transparency On The London Stock Exchange," Journal of Applied Corporate Finance, Morgan Stanley, vol. 8(1), pages 70-78, March.
    8. Pagano, Marco & Röell, Ailsa A, 1991. "Dually-Traded Italian Equities: London vs. Milan," CEPR Discussion Papers 564, C.E.P.R. Discussion Papers.
    9. Oliver Hansch & Narayan Y. Naik & S. Viswanathan, 1999. "Preferencing, Internalization, Best Execution, and Dealer Profits," Journal of Finance, American Finance Association, vol. 54(5), pages 1799-1828, October.
    10. George, Thomas J & Kaul, Gautam & Nimalendran, M, 1991. "Estimation of the Bid-Ask Spread and Its Components: A New Approach," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 623-656.
    11. Madhavan, Ananth & Sofianos, George, 1998. "An empirical analysis of NYSE specialist trading," Journal of Financial Economics, Elsevier, vol. 48(2), pages 189-210, May.
    12. Kojo Menyah & Krishna Paudyal, 1996. "The Determinants And Dynamics Of Bid-Ask Spreads On The London Stock Exchange," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 377-394, September.
    13. Chan, K. C. & Fong, Wai-Ming & Kho, Bong-Chan & Stulz, ReneM., 1996. "Information, trading and stock returns: Lessons from dually-listed securities," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1161-1187, August.
    14. Ho, Thomas S Y & Macris, Richard G, 1984. "Dealer Bid-Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options," Journal of Finance, American Finance Association, vol. 39(1), pages 23-45, March.
    15. Snell, Andy & Tonks, Ian, 1998. "Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 1-25, January.
    16. Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, vol. 8(1), pages 31-53, March.
    17. Hasabrouck, Joel & Sofianos, George, 1993. "The Trades of Market Makers: An Empirical Analysis of NYSE Specialists," Journal of Finance, American Finance Association, vol. 48(5), pages 1565-1593, December.
    18. Raymond Brooks & Jean Masson, 1996. "PERFORMANCE OF STOLL's SPREAD COMPONENT ESTIMATOR: EVIDENCE FROM SIMULATIONS, TIME-SERIES, AND CROSS-SECTIONAL DATA," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 459-476, December.
    19. Garman, Mark B., 1976. "Market microstructure," Journal of Financial Economics, Elsevier, vol. 3(3), pages 257-275, June.
    20. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    21. de Jong, F.C.J.M. & Nijman, T.E. & Röell, A.A., 1995. "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," Other publications TiSEM 909cfa6b-a4be-4b4b-b214-f, Tilburg University, School of Economics and Management.
    22. repec:bla:jfinan:v:53:y:1998:i:5:p:1623-1656 is not listed on IDEAS
    23. repec:bla:jfinan:v:53:y:1998:i:5:p:1657-1703 is not listed on IDEAS
    24. Manaster, Steven & Mann, Steven C, 1996. "Life in the Pits: Competitive Market Making and Inventory Control," The Review of Financial Studies, Society for Financial Studies, vol. 9(3), pages 953-975.
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