We examine the role of limit-order traders and specialists in the market-making process. We
find that a large portion of posted bid–ask quotes originates from the limit-order book without …

The performance of five adverse selection models are examined by comparing their component
estimates to other measures of information asymmetry and informed trading. The models …

In this study, we examine in an agency‐theoretic context the influence of executive equity
stakes upon corporate strategy and firm value. We argue that beneficial, risk‐increasing …

In this study we examine intense episodic spikes in quoting activity (frequently referred to as
quote stuffing) on market conditions. We find that quote stuffing is pervasive and that over 74…

We present an analytical survey of the explanations—price pressure, downward‐sloping
demand curves, improved liquidity, improved operating performance, and increased investor …

We study episodes of significant intraday downward price pressures in individual stocks
and find that price declines during such episodes are driven mainly by liquidity demanding …

We document trade price clustering in the futures markets. We find clustering at prices of x.00
and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout …

This study presents an analysis of the impact of the introduction of quotes in sixteenths of a
dollar on the AMEX, Nasdaq, and NYSE in mid-1997 on select market characteristics such as …

We examine execution costs and quote clustering on the New York Stock Exchange (NYSE)
and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the …

Research documents a U‐shaped intraday pattern of returns. We examine which trade sizes
drive the U‐shaped pattern and find that intraday price changes from larger trades exhibit a …