This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. The authors document two potential problems with quote-based methods of trade classification: quotes may be recorded ahead of trades that triggered...

For a sample of NYSE firms, we show that wide spreads are accompanied by low depths, and that spreads widen and depths fall in response to higher volume. Spreads widen and depths fall in anticipation of earnings announcements; these effects are more pronounced for announcements with larger...

The authors use predictions of aggregate stock return variances from daily data to estimate time-varying monthly variances for size-ranked portfolios. The authors propose and estimate a single factor model of heteroskedasticity for portfolio returns. This model implies time-varying betas....

The authors examine whether greater futures-trading activity (volume and open interest) is associated with greater equity volatility. They partition each trading activity series into expected and unexpected components, and document that while equity volatility covaries positively with unexpected...

Following the crash of 1987, one contentious regulatory issue has been whether margin activity exacerbated the decline in equity values. The authors contrast the crash behavior of NASDAQ securities eligible for margin trading with the behavior of ineligible ones. Consistent with the hypothesis...

This study investigates why externally advised real estate investment trusts (REITs) underperform their internally managed counterparts. Consistent with previous studies, we find that REITs managed by external advisors underperform internally managed ones by over 7 percent per year....

I examine the predictability of daily returns for the Dow Jones Industrial Average by comparing the technical trading rules developed by Allen and Karjalainen (1999) with moving average rules studied by Brock, Lakonishok, and LeBaron (1992). I argue that this comparison lends support to the...

The authors use a robust regression estimator to analyze the risk premia on size and book-to-market. They find that the risk premium on size that was estimated by Eugene F. Fama and Kenneth R. French (1992) completely disappears when the 1 percent most extreme observations are trimmed each...

When a market order arrives, the NYSE specialist can offer a price one tick better than the limit orders on the book and trade for his own account. Alternatively, the specialist can "stop" the market order, which means he guarantees execution at the current quote but provides the possibility of...