thatcollusionamongdealersstillleadstohigherspreadson
the NASDAQ.
14 L.Y.Dann,D.Mayers,andR.J.Rabb,“TradingRules,
LargeBlocksandtheSpeedofPriceAdjustment,”Journalof
Financial Economics4 (1977): 3–22.
15 JoelHasbroucklookedatadetaileddatasetthatcontained
informationonquotes,tradesandspreadsofstockslistedon
the NYSE and came to this conclusion.
16 SeeR.W.Holthausen,R.W.Leftwich,andD.Mayers,
“Large-Block Transactions, the Speed of Response, and
Temporary and Permanent Stock-Price Effects,” Journal of
FinancialEconomics 26 (1990):71–95;D.B.KeimandA.
Madhavan, “Anatomy of the Trading Process: Empirical
EvidenceontheBehaviorofInstitutionalTrades,”Journalof
Financial Economics37 (1995): 371–398.
17 L. Spierdijk,T. Nijman,and A.H.O.vanSoest, “The
PriceImpactofTradesinIlliquidStocksinPeriodsofHigh
and Low Market Activity,” working paper, Tilburg
University, 2002.
18 W. A. Breen, L. S. Hodrick, and R. A. Korajczyk,
“Predicting Equity Liquidity,” working paper, Kellogg
Graduate School of Management, 2000.
19 Y.Amihud and H.Mendelson, “Asset Pricing and the
Bid-AskSpread,”JournalofFinancialEconomics 17 (1986):
223–250.