The impact of trading mechanisms and stock characteristics on order processing and information costs: A panel GMM approach
My study provides a panel approach to quantify the impact of trading mechanisms and stock characteristics on spread components. Based on the two-way decomposition of Huang and Stoll (1997), a cross-sectional dimension is added. Arrelano and Bover's (1995) dynamic GMM procedure and the Helmert&#...
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| Format: | Article |
| Language: | English |
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2005.
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| Online Access: | Get fulltext |