Asset Pricing Frictions in Fragmented Markets - Online Appendix
14 Pages Posted: 23 Jan 2013
Date Written: January 21, 2013
This Appendix comprises proofs of propositions and lemmas in the main paper.
The paper "Asset Pricing Frictions in Fragmented Markets" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=2188687
Keywords: Fragmentation, speed, liquidity, asset prices, exchanges, trade-through rule, regulation
JEL Classification: G12, G15, G18, D40, D43, D61
Suggested Citation: Suggested Citation