M
Mark J. Ready
Researcher at University of Wisconsin-Madison
Publications - 28
Citations - 6165
Mark J. Ready is an academic researcher from University of Wisconsin-Madison. The author has contributed to research in topics: Order (exchange) & Adverse selection. The author has an hindex of 20, co-authored 28 publications receiving 5907 citations.
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Journal ArticleDOI
Inferring Trade Direction from Intraday Data
Charles M.C. Lee,Mark J. Ready +1 more
TL;DR: In this paper, the authors evaluate alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data and identify two serious potential problems with this method, namely, that quotes are often recorded ahead of the trade that triggered them and that trades inside the spread are not readily classifiable.
Journal ArticleDOI
Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis
TL;DR: For example, the authors show that wide spreads are accompanied by low depths, and that spreads widen and depths fall in response to higher volume on the New York Stock Exchange (NSE).
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On The Robustness of Size and Book‐to‐Market in Cross‐Sectional Regressions
Peter J. Knez,Mark J. Ready +1 more
TL;DR: In this paper, the authors use a robust regression estimator to analyze the risk premia on size and book-to-market and find that the risk premium on size that was estimated by Fama and French (1992) completely disappears when the 1 percent most extreme observations are trimmed each month.
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Volume, Volatility, and New York Stock Exchange Trading Halts
TL;DR: This article found that trading halts increase both volume and volatility in the first full trading day after a trading halt, while non-halt control periods matched on time of day, duration, and absolute net-of-market returns.
Journal ArticleDOI
Estimating the profits from trading strategies
Peter J. Knez,Mark J. Ready +1 more
TL;DR: The authors showed that trading strategies that attempt to exploit the weekly predictability of small-firm returns would be swamped by transaction costs and that expected price improvement falls off dramatically as the size of the order approaches the quoted depth, and becomes negative for larger orders.