@techreport{Cebiroglu2012Hidden,
abstract = {We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that large hidden orders are associated with larger transaction costs, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the market, hidden liquidity provision gives rise to negative liquidity externalities.},
address = {Berlin},
author = {G\"{o}khan Cebiro\u{g}lu and Ulrich Horst},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G10; G11; G12; G14; G24; 330; hidden liquidity; pretrade transparency; iceberg orders; informed trading; market impact; market quality; liquidity externalities; upstairs markets; trade negotiation; Wertpapierhandel; Marktliquidit\"{a}t; B\"{o}rsenumsatz; B\"{o}rsenkurs; Theorie; Sch\"{a}tzung; USA},
language = {eng},
number = {2012-023},
publisher = {SFB 649, Economic Risk},
title = {Hidden liquidity: Determinants and impact},
type = {SFB 649 discussion paper},
url = {http://hdl.handle.net/10419/56686},
year = {2012}
}
