Haas School of Business, University of California, Berkeley and BlackRock, Inc. We thank the editor, Cam Harvey, an anonymous associate editor, an anonymous referee, participants at the 2012 Western Finance Association, NYU Stern Market Microstructure conference, BlackRock's Research Workshop, Hank Bessimbinder, Mark Coppejans, Chris Downing, Larry Harris, Burton Hollifield, Francis Longstaff, Farshad Mashayekhi, Alex Sedgwick, and Kumar Venkataraman for helpful suggestions and MarketAxess® for some of the data used herein. Of course, any errors are entirely our own. The views expressed here are those of the authors alone and not necessarily those of BlackRock, its officers, or directors. This note is intended to stimulate further research and is not a recommendation to trade particular securities or of any investment strategy.
Click or Call? Auction versus Search in the Over-the-Counter Market
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This article has been accepted for publication and undergone full peer review but has not been through the copyediting, typesetting, pagination and proofreading process which may lead to differences between this version and the Version of Record. Please cite this article as doi: 10.1111/jofi.12164.
- Accepted manuscript online: 26 MAR 2014 01:53PM EST
- Manuscript Accepted: 24 JAN 2014
- Manuscript Received: 4 SEP 2012
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