The purpose of this paper is to quantify and test for the existence of inventory control and asymmetric information in stock market price quotes, extending the time series work of Hasbrouck (1988,1991) to the institutional setting of the London Stock Exchange. In contrast to the NYSE work our...

In this paper we apply a regression test of the volatility of asset prices to a cross-section data set of US stock prices each year between 1932-71. We show that the rejection of REEM in the time series domain carries over to a data set consisting of observations on a cross-section of individual...

The paper compares the trading costs for institutional investors who are subject to liquidity shocks, of trading in auction and dealer markets. The batch auction restricts the institutions ability to exploit informational advantages because of competition between institutions when they...