Barclay and Hendershott are from the Simon School of Business, University of Rochester and Haas School of Business, University of California at Berkeley. We thank Tim McCormick for providing data and helpful comments. We also thank Rick Green (the editor); Joel Hasbrouck; Rich Lyons; an anonymous referee; and seminar participants at the Review of Financial Studies Conference on Investments in Imperfect Capital Markets, the University of California at Berkeley, the University of North Carolina, and the Economic Research group at Nasdaq for their helpful comments. Hendershott gratefully acknowledges support from the National Science Foundation. Any errors are our own.
Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours
Version of Record online: 25 MAR 2004
© 2004 the American Finance Association
The Journal of Finance
Volume 59, Issue 2, pages 681–710, April 2004
How to Cite
Barclay, M. J. and Hendershott, T. (2004), Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours. The Journal of Finance, 59: 681–710. doi: 10.1111/j.1540-6261.2004.00646.x
- Issue online: 25 MAR 2004
- Version of Record online: 25 MAR 2004
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