Real estate investment trusts (REITs) have grown to become an important financial product in Asia, which today stands as the second largest REIT market in the world. Although existing literature has shown that externally managed REITs have underperformed their internally managed counterparts,...

We conduct a comprehensive analysis of the New York Stock Exchange (NYSE) limit order book at both the aggregate market level and the individual stock level based on a sample covering all the NYSE ordinary stocks. By providing detailed description of the limit order book, we show that it...

We analyze the role of liquidity provision of limit order traders in the NYSE. Using an extensive limit order book data for all the ordinary stocks in the NYSE, we compute various measures of liquidity and imbalance in liquidity. We show that the interest rate environment has a strong impact on...

I find that limit order submission is not random. The probability of observing a limit sell (buy) order is highest after another limit sell (buy) order. This first-order positive serial correlation in the order flow cannot be explained by theories offered in the current literature. I find that...

Recent data from the NYSE shows that more than 20 percent of all the orders submitted to the SuperDot are cancellation orders. In fact, there are more cancellation orders than there are market buy orders or market sell orders. Of all the limit orders that are submitted in any particular day, 40...

This study addresses two questions: Is there earnings management in the REIT industry around seasoned equity offerings (SEO)? How is earnings management affected by financial and governance factors? Discretionary accruals methods are used to measure earnings management. In addition, the...