Prior studies have reported a positive correlation between insider trading and stock price changes. The implication of these studies is that insider (i.e., informed) trades have a differential impact on price discovery than non-insider (i.e., uninformed) trades. Based on these results, various...

Using an audit trail transaction data set compiled by the Commodity Futures Trading Commission (CFTC), we seek to ascertain directly the motives behind dual traders’ own account trading and whether or not they are informed traders. We estimate our system of equations on each of the 101 most...

We address two important themes associated with institutions’ trading in foreign markets: (1) the choice of trading venues (between a company’s listing in its home market and that in the U.S. as an ADR); and (2) the comparison of trading costs across the two venues. To do so, we identify...

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 both quoted and effective bid-ask spreads and depths have declined...

We examine the effect of decimalization on institutional investors using proprietary data. In particular, we examine the time and the number of trades it takes to execute a given trading decision, as well as the price impact of these trades. We use three different benchmarks to determine the...

Although brokers’ trading is endemic in securities markets, the form of this trading differs between markets. Whereas in some securities markets, brokers may trade with their customers in the same transaction (simultaneous dual trading or SDT), in other markets, brokers are only allowed to...

We compare trading costs in the U.S. Treasury bond market with U.S. corporate and municipal bond markets, based on newly available transaction data. We estimate that the mean bid-ask spread per $100 par value is 23 cents for municipal bonds, 21 cents for corporate bonds and 8 cents for Treasury...

Using intra-day transaction data for a sample of NYSE firms, I show that medium size trades have the highest percent cumulative price change and greatest impact on transaction-by-transaction stock price changes. Even though large size trades have the highest price impact per transaction, it is...

Using a national survey data where the event of individual households being refused loans (credit rationed) by financial institutions – as well as the specific loans for which they were turned down – is observed directly, this study investigates both the role of relationships on credit...

We investigate the efforts of public announcements of analyst recommendations on the bid-ask spreads, the corresponding bad and ask depths and on trading volume of the associated stocks. Using a sample of analyst recommendations made on all stocks trading in the NYSE and AMEX over an 18-month...