Jiang, Christine X.; Kim, Jang-Chul - In: Journal of Financial Research 28 (2005) 3, pp. 439-459
We investigate the differences in market microstructure between U.S. and non-U.S. stocks cross-listed on the New York Stock Exchange using a sample of 316 pairs of matched stocks. We find that non-U.S. stocks have wider spreads and larger adverse-selection costs than U.S. stocks even after...
