Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks
---- Acknowledgements -----
We thank Hyeon Kee Bae, Utpal Bhattacharya, Wonseok Choi, David Feldman, Lawrence Glosten, Jarrad Harford, Mark Huson, Aditya Kaul, Alok Kumar, Ki Bong Lee, Kyung-Mook Lim, Raymond Liu, Ernst Maug, Vikas Mehrotra, Jeffrey Pontiff, Barry Scholnick, Hanfeng Shen, Andrei Shleifer, Jeremy Stein, Peter Swan, Bohui Zhang, students in Andrei Shleifer’s behavioral finance seminar course at Harvard University, and seminar participants at the University of Alberta, the University of Amsterdam, Arizona State University, the City University of Hong Kong, Erasmus University of Rotterdam, Seoul National University, and the University of New South Wales for helpful comments. We gratefully acknowledge financial support from the University of Alberta SAS fellowship and the Social Sciences and Humanities Research Council. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.