Comerton-Forde is at University of Sydney. Hendershott is at Haas School of Business, University of California Berkeley. Jones is at Columbia Business School. Moulton is at Fordham Graduate School of Business. Seasholes is at Hong Kong University of Science and Technology. We thank the NYSE for providing data. We thank Cam Harvey, an associate editor, two anonymous referees, Yakov Amihud, Jeff Benton, Ekkehart Boehmer, Robin Greenwood, Joel Hasbrouck, Jerry Liu, Marios Panayides, L̆ubos̆ Pástor, Avanidhar Subrahmanyam, Dimitri Vayanos, Vish Viswanathan, Masahiro Watanabe, Pierre-Olivier Weill, and participants at the NBER Market Microstructure meeting, the Trading Frictions in Asset Markets conference at UCSB, the 2008 AFA meeting, Columbia University, the Federal Reserve Bank of New York, University of Maryland, University of Michigan, the Office of Economic Analysis of the U.S. Securities and Exchange Commission, Society of Quantitative Analysts, University of Amsterdam, University of California Santa Barbara, University of Toronto, University of Utah, and University of Washington for helpful comments. Hendershott gratefully acknowledges support from the National Science Foundation. Part of this research was conducted while Moulton was an economist and Comerton-Forde and Hendershott were visiting economists at the New York Stock Exchange. This paper combines two working papers by subsets of the authors: “Market Maker Inventories and Liquidity” and “Market Maker Revenues and Stock Market Liquidity.”
Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues
Version of Record online: 13 JAN 2010
© 2009 the American Finance Association
The Journal of Finance
Volume 65, Issue 1, pages 295–331, February 2010
How to Cite
COMERTON-FORDE, C., HENDERSHOTT, T., JONES, C. M., MOULTON, P. C. and SEASHOLES, M. S. (2010), Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues. The Journal of Finance, 65: 295–331. doi: 10.1111/j.1540-6261.2009.01530.x
- Issue online: 13 JAN 2010
- Version of Record online: 13 JAN 2010
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