Easley, Hvidkjaer, and O'Hara (2002), building upon the asset pricing model of Fama and French (1992), show that the probability of informed trading (PIN) is a determinant of asset returns for NYSE-listed securities. We extend this work by examining whether the PIN is a predictive factor for...

We examine the microstructure effects of the QQQ ETF listing change from AMEX to NASDAQ. We find that even though the stock traded on both venues before and after the listing change, NASDAQ reaped a substantial increase in order flow for QQQ at the expense of the AMEX. The change results in a...

We analyze both short- and long-term effects of multimarket trading by examining the entries of multiple markets in three actively traded Exchange Traded Funds (DIA, QQQ, and SPY). Using a time series analysis, we follow the market evolution of these ETFs with regard to order flow fragmentation,...

We analyze the pricing and informational efficiency of the Italian market for options written on the most important stock index, the MIB30. We find several indications inconsistent with the hypothesis that the Italian MIBO is an efficient market. We report that a striking percentage of the data...

This paper studies the relationship between civil war and the value of firms in a poor, resource abundant country using microeconomic data for Angola. We focus on diamond mining firms and conduct an event study on the sudden end of the conflict, marked by the death of the rebel movement leader...

This paper studies the effects of conflict onset on asset markets applying the event study methodology. We consider a sample of 112 conflicts during the period 1974-2004 and find that a sizeable fraction of them had a significant impact on stock market indices and on major commodity prices....

Archipelago began reporting trades and quotes to the Pacific Stock Exchange in 2002 for NYSE-listed securities and in 2003 for NASDAQ-listed securities. These events mark the time that Archipelago began migrating stocks from its ECN platform to the exchange platform, thereby becoming a...

We examine execution costs and quote clustering on the NYSE and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the mean spread of NASDAQ stocks is greater than the mean spread of NYSE stocks when spreads are equally weighted across stocks and the difference is...