We investigate why trading costs through Electronic Communication Networks (ECNs) are lower than trading costs with market makers through estimating the components of the bid-ask spread. Additionally, we show how the composition and size of bid-ask spreads change with the market environment. We...

We investigate whether persistent macroeconomic variables can be reliably shown to predict momentum profits. We find that when predictor variables are persistent and the predictive relationship is estimated over a period that overlaps the momentum portfolio formation period, predicted returns...