This study investigates the impact of strategic order activities during the pre-opening session of trading halts on post-halt return and volatility. Strategic orders are non-binding, aggressive limit orders that are placed in the pre-opening phase but subsequently cancelled or revised shortly...

We exploit exogenous variation in the timing of gubernatorial elections to study the timing of bank failure in the US. Using hazard analysis, we show that bank failure is about 45% less likely in the year leading up to an election. Political control (i.e. lack of competition) can explain all of...

This paper empirically examines limit order revisions and cancellations which contribute to a significant portion of the order activity in many order-driven markets. We document that limit orders are more likely to be revised or cancelled if they are large and near the bid-ask quote. We show...

This paper presents a formal analysis of the relation between monitoring and limit order submission risk. With heterogeneous information, limit order traders face two types of risks. First, they may be picked off when prices change unexpectedly after the limit order is entered (known as free...

We document that firms are 80% more likely to issue non-earnings press releases during the earnings announcement period when delivering extremely negative earnings news. These non-earnings press releases are insufficient to improve negative announcement returns in isolation. However, if the...

We investigate the extent to which the liquidity of listed stocks is affected by the market structure under which stockbrokers provide a combination of stock trading, research, and investment banking services. Six market structures of differing degrees of competitiveness are identified for...

In order-driven markets, orders can be strategically submitted at aggressive prices during the pre-opening phase and withdrawn just before trading commences. Based on a Kyle (1989) setting, we develop several predictions regarding how such quot;strategicquot; orders can temporarily distort price...

This study employs firm-specific announcements as a proxy for information flows and investigates the information-volatility relation using high-frequency data from the Australian Stock Exchange. Our analysis reveals a positive and significant impact of the arrival rate of the selected news...

We examine the nature of state blockholding across publicly listed firms in East Asia by assembling a unique dataset spanning 16 years and 9 economies. Our newly compiled data identifies ultimate owners for each firm annually between 1997 and 2012, totaling 2,984 firm-year observations. Three...