The Fuqua School of Business, Duke University. Detailed comments by an anonymous referee, Tom Smith, René Stulz (the editor), and Robert Whaley substantially improved the paper. We also want to thank Campbell Harvey, David Hsieh, Nancy Keeshan, Fred Lindahl, Kevin McCardle, Mike Moore, Paul Pfleiderer, Duane Seppi, the seminar participants at the WFA meetings in San Diego, the AFA meetings in New York, and the University of Minnesota for their helpful comments. Support from the Institute for Quantitative Research in Finance and the Futures and Options Research Center at Duke University is greatly appreciated.
Variations in Trading Volume, Return Volatility, and Trading Costs; Evidence on Recent Price Formation Models
Article first published online: 30 APR 2012
1993 The American Finance Association
The Journal of Finance
Volume 48, Issue 1, pages 187–211, March 1993
How to Cite
FOSTER, F. D. and VISWANATHAN, S. (1993), Variations in Trading Volume, Return Volatility, and Trading Costs; Evidence on Recent Price Formation Models. The Journal of Finance, 48: 187–211. doi: 10.1111/j.1540-6261.1993.tb04706.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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