This study examines the impact of Regulation Fair Disclosure (FD) on liquidity, information asymmetry, and institutional and retail investors trading behavior. Our main findings suggest three conclusions. First, Regulation FD has been effective in improving liquidity and in decreasing the level...

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...

Two hypotheses have been advanced to explain why spreads on Nasdaq were substantially higher than those on the NYSE in the 1990s - quot;collusionquot; and quot;preferencing and payment for order flow.quot; We present data on all actively traded stocks of relative effective spreads (RES) on these...

Using high-frequency data and a carefully constructed 1-1 matched sample of control (non decimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that decimalization has resulted in significantly lower quoted and effective...

Previous research using daily returns finds conflicting evidence about the relationship between unanticipated inflation (news) and stock returns. We explore the relationship by looking at the response (in minutes and trades) of size-based stock portfolios to the news (controlling for...

We examine short selling of NYSE stocks that are listed on the Samp;P 500 on days when the index experiences dramatic price movements. While prior research shows that short sellers are generally contrarian in contemporaneous daily returns, we document that, after controlling for factors that...

We examine the time-series relation between aggregate bid-ask spreads and conditional equity premium. We document that average market-wide relative effective bid-ask spreads forecast aggregate market returns only when controlling for average idiosyncratic variance. This control allows us to...

Two hypotheses have been advanced to explain why spreads on NASDAQ were substantially higher than those on the NYSE in the 1990s: quot;collusionquot; and quot;preferencing and payment for order flowquot;. We present data on all actively traded stocks in these markets of relative effective...

The links between the housing market and consumer spending have been the source of much debate. In this article, we examine the evidence for a link between housing transactions and consumer spending, which could exist if households were more likely to purchase some goods and services when they...