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Asset Pricing Frictions in Fragmented Markets - Online Appendix

14 Pages Posted: 23 Jan 2013  

Emiliano Pagnotta

Imperial College Business School

Date Written: January 21, 2013

Abstract

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

Pagnotta, Emiliano, Asset Pricing Frictions in Fragmented Markets - Online Appendix (January 21, 2013). Available at SSRN: https://ssrn.com/abstract=2204831 or http://dx.doi.org/10.2139/ssrn.2204831

Emiliano Pagnotta (Contact Author)

Imperial College Business School ( email )

Imperial College Business School, Tanaka Building
London, SW7 2AZ
Great Britain
+447478734028 (Phone)

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