Opening mechanisms play a crucial role in information aggregation following the overnight nontrading period. This article examines the process of price discovery at the New York Stock Exchange single-price opening auction. We develop a theoretical model to explain the determinants of the opening...

It is commonly believed that fragmented security markets have a natural tendency to consolidate. This article examines this belief focusing on the effect of disclosing trading information to market participants. We show that large traders who place multiple trades can benefit from the absence of...

We analyze the ability of various market mechanisms to provide liquidity for large equity trades. Using data on 21,077 block transactions in Dow Jones stocks, we find that the "down-stairs" NYSE floor market is a significant source of liquidity. Although negotiation in the informal "upstairs"...

This article develops and tests a structural model of intraday price formation that embodies public information shocks and microstructure effects. We use the model to analyze intraday patterns in bid-ask spreads, price volatility, transaction costs, and return and quote autocorrelations, and to...