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• W1971354252 startingPage "1861" @default.
• W1971354252 abstract "The purpose of this study is to investigate inter-temporal and cross-sectional depth patterns in an electronic, order-driven environment. Although many exchanges operate in this environment, little is known about the liquidity dynamics induced by such trading mechanisms. The findings, based on over six million observations, reveal an inverted U-shaped pattern that mirrors the commonly reported U-shaped spread pattern. An important implication is that earlier spread results understate the strength of inter-temporal liquidity variations. Cross-sectional analysis, based on adverse selection-sorted portfolios, demonstrates that corporate depth is negatively related to information asymmetry. The adverse selection impact on liquidity and cost of capital is stronger than previously believed since information costs are realized through both spreads and depths." @default.
• W1971354252 created "2016-06-24" @default.
• W1971354252 creator A5050676766 @default.
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• W1971354252 date "1999-12-01" @default.
• W1971354252 modified "2023-10-01" @default.
• W1971354252 title "An analysis of depth behavior in an electronic, order-driven environment" @default.
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• W1971354252 doi "https://doi.org/10.1016/s0378-4266(99)00044-8" @default.
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