This paper uses the methods of error correction and common factor analysis to estimate the contribution of locals (market makers who may participate directly by trading for their own account) and non‐local traders to price discovery on the floor of the Chicago Board of Trade (CBOT) and the...

In November 2008, the Federal Reserve announced the first of a series of unconventional monetary policies, which would include asset purchases and forward guidance, to reduce long-term interest rates. We investigate the behavior of shorts, considered sophisticated investors, before and after a...

We test the invariance-of-bet hypothesis from Kyle and Obizhaeva (2016) for one of the largest order-driven equity markets: the Tokyo Stock Exchange (TSE). The pooled regression coefficients of the log of the number of trades on the log of trading activities range from 0.586 to 0.679, close to...

Cohen, Diether, and Malloy (Journal of Finance, 2007), find that shifts in the demand curve predict negative stock returns. We use their approach to examine changes in supply and demand at the time of FOMC announcements. We show that shifts in the demand for borrowing Treasuries and agencies...

We test the invariance-of-bet hypothesis from Kyle and Obizhaeva (2016) for the Tokyo Stock Exchange. The pooled regression coefficients of log of the number of trades on log of trading activities range from 0.586 to 0.679, close to the theoretical value of two-thirds predicted by the...

The Daimler foray into the international equity market, beginning with its 1993 cross-listing in the U.S. and peaking with its 1998 merger with Chrysler, provides an uncommon opportunity to explore the interplay between competing approaches countries may take in their treatment of minority...

In this study we show that both the price impact of trades and serial correlation in trade direction are positively and significantly related to the probability of information-based trading (PIN). The positive relation remains significant even after controlling for the effects of stock...

There have been a number of investigations of the individual characteristics of the limit order book (Lee, Mucklow, and Ready, 1993; Harris, 1994; Bruno, Hillion, and Spatt, 1995). Lee,Mucklow, and Ready report that wide spreads are accompanied by low depths and that spreads widen and depths fall in...

We investigate CEOs who combine insider selling with stock splits, which is suspicious because dumping stocks is inconsistent with the positive stock-split signal. Our empirical results indicate that, compared with other splits, these suspicious splits are followed by a 53 percent lower...