Quoting Activity and the Cost of Capital
研究了做市商的报价活动与交易、流动性和预期收益的关系，发现小盘、流动性差或受忽视的公司报价交易比更高，但高报价交易比却伴随低预期收益，并提出了一个理论模型解释这一现象。
Abstract We study the quoting activity of market makers in relation to trading, liquidity, and expected returns. Empirically, we find larger quote-to-trade (QT) ratios in small, illiquid, or neglected firms, yet large QT ratios are associated with low expected returns. The last result is driven by quotes, not by trades. We propose a model of quoting activity consistent with these facts. In equilibrium, market makers monitor the market faster (and thus increase the QT ratio) in neglected, difficult-to-understand stocks. They also monitor faster when their clients are more precisely informed, which reduces mispricing and lowers expected returns.