Blume is from the Wharton School, University of Pennsylvania at Boulder, and Goldstein is from the Graduate School of Business Administration, University of Colorado. We thank Dhaneesh Kumbhani, Kashif Hussain, and Anuj Malhotra for their excellent research assistance. We also thank Charles Black, James Cochrane, Gene Finn, Craig MacKinlay, Ananth Madhavan, Bernard Madoff, Peter Madoff, Edward Nelling, Mark Roomans, James Shapiro, and two referees for their valuable comments and help. Goldstein gratefully acknowledges financial support from Geewax, Terker & Company and the Rodney L. White Center for Financial Research. The contents of this article are the sole responsibility of the authors.
Quotes, Order Flow, and Price Discovery
Version of Record online: 18 APR 2012
© 1997 the American Finance Association
The Journal of Finance
Volume 52, Issue 1, pages 221–244, March 1997
How to Cite
BLUME, M. E. and GOLDSTEIN, M. A. (1997), Quotes, Order Flow, and Price Discovery. The Journal of Finance, 52: 221–244. doi: 10.1111/j.1540-6261.1997.tb03814.x
- Issue online: 18 APR 2012
- Version of Record online: 18 APR 2012
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