The authors examine forty-seven stocks that voluntarily left the American Stock Exchange from 1992 through 1995 and listed on the NASDAQ . They find that both effective and quoted spreads increase by about 100 percent after listing on the NASDAQ. These spread changes are consistent across...

We decompose realized market returns into expected return, unexpected cash-flow news and unexpected discount rate news to test the relation between aggregate market returns and aggregate insider trading. We find that (1) the predictive ability of aggregate insider trading is much stronger than...