This paper employs Hasbrouck's (2003) information share method to analyze the flow of information in equity markets. In particular we compare trading in Index ETFs with that of their underlying securities. Surprisingly, ETFs seem to play a significant role in the price discovery process, rather...

We analyze gains from intercorporate sales of mutual fund subsidiaries, using mandated SEC disclosures to assess the performance of mutual funds transferred by these transactions. Sellers are financial conglomerates (banks) using equity-based deals to transfer poorly performing funds to highly...

This paper investigates the market microstructure effects on client firms of equity holdings by relationship banks, i.e., lenders and/or underwriters, prior to the 2008 financial crisis. It intends to shed light on the need for “the Volcker Rule.” We find that banks' equity holdings of...

We analyze gains from intercorporate sales of mutual fund subsidiaries, using mandated SEC disclosures to assess the performance of mutual funds transferred by these transactions. Sellers are financial conglomerates (banks) using equity-based deals to transfer poorly performing funds to highly...

Chen and Ritter (2000) show that it is customary in the investment banking industry to charge a gross spread of seven percent for underwriting a moderately-sized firm-commitment initial public offering. However, in a nontrivial number of IPOs, the spread differs from this standard. We examine...

We examine the level of experience of law firms participating in IPOs and the impact of law firm experience on IPO pricing. We find a statistically significant, negative relationship between market share of the law firm representing the investment banks and IPO price. In general, the...

We employ the implied volatility spread (IVS) and the short lending fee as measures of privateinformation conveyed by their respective markets. Using credit rating announcements as aninformational event, we find that both IVS and the short fee have significantly higher predictivepower for...