The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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DISCUSSION
Published: 07/01/1988 | DOI: 10.1111/j.1540-6261.1988.tb04595.x
DAVID K. WHITCOMB
DISCUSSION
Published: 05/01/1977 | DOI: 10.1111/j.1540-6261.1977.tb03283.x
David K. Whitcomb, Enrique R. Arzac
On Time‐Variance Analysis: Reply
Published: 12/01/1979 | DOI: 10.1111/j.1540-6261.1979.tb00074.x
ROBERT A. SCHWARTZ, DAVID K. WHITCOMB
Market Maker Quotation Behavior and Pretrade Transparency
Published: 05/06/2003 | DOI: 10.1111/1540-6261.00565
Yusif Simaan, Daniel G. Weaver, David K. Whitcomb
We examine the impact of differing levels of pretrade transparency on the quotation behavior of Nasdaq market makers. We find that market makers are more likely to quote on odd ticks, and to actively narrow the spread, when they can do so anonymously by posting limit orders on Electronic Communication Networks (ECNs). From a public policy perspective, our findings suggest that making the level of pretrade transparency on Nasdaq more opaque by allowing anonymous quotes could improve price competition and narrow spreads further.
The Trading Decision and Market Clearing under Transaction Price Uncertainty
Published: 03/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04935.x
THOMAS S. Y. HO, ROBERT A. SCHWARTZ, DAVID K. WHITCOMB
This paper models an individual's trading decision, given: (1) his/her demand function to hold shares of an asset, (2) his/her expectation on what the market clearing price will be, and (3) the design of the market which determines how orders will be translated into trades. The particular market design we consider is the batched trading (periodic call) regime. Assuming investors are distributed according to their propensities to hold shares, we model the aggregation of orders to obtain market clearing values of price and volume and to show the way in which, with trading friction, these solutions differ from Pareto efficient values. The importance of this analysis for various issues concerning market design is noted.