Liquidity in a Market for Unique Assets: Specified Pool and To-Be-Announced Trading in the Mortgage-Backed Securities Market-Reference-Cited by-同舟云学术

Liquidity in a Market for Unique Assets: Specified Pool and To-Be-Announced Trading in the Mortgage-Backed Securities Market

Published:2017-04-13 Issue:3 Volume:72 Page:1119-1170
ISSN:0022-1082
Container-title:The Journal of Finance
language:en
Short-container-title:The Journal of Finance

Author:

GAO PENGJIE,SCHULTZ PAUL,SONG ZHAOGANG

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/jofi.12496/fullpdf

Reference17 articles.

1. A theory of intraday patterns: Volume and price variability;Admati;Review of Financial Studies,1988

2. Atanasov , Vladimir John Merrick 2012 Liquidity and value in the deep vs. shallow ends of mortgage-backed securities pools

3. Atanasov , Vladimir John Merrick 2014 Why do dealers buy high and sell low? An analysis of persistent crossing in extremely segmented markets Review of Finance

4. Trading activity and transaction costs in structured credit products;Bessembinder;Financial Analysts Journal,2013

5. Hidden liquidity: An analysis of order exposure strategies in electronic stock markets;Bessembinder;Journal of Financial Economics,2009

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