The current National Football League overtime rule favors the team starting on offense. Auctioning off or dividing-and-choosing the starting possession can potentially restore ex post fairness. We find auctions to provide a better outcome when teams have asymmetric information.

The current National Football League overtime rule favors the team starting on offense. Auctioning off or dividing-and-choosing the starting possession can potentially restore ex post fairness. We find auctions to provide a better outcome when teams have asymmetric information.

This paper examines daily inventory/asset price dynamics using 11 years of NYSE specialist data. The unique length and breadth of our sample enables the first longer horizon testing of market making inventory models - e.g., Grossman and Miller (1988). We confirm such models' predictions that...

The differences between ECNs and Nasdaq market makers are used to formulate and test several hypotheses about the choice of trading venue and the importance of ECN trades in the price discovery process. Trades are more likely to occur on ECNs when spreads are narrow and when trading volume and...

We compare the execution quality of trades with market makers to trades executed on Electronic Communications Networks (ECNs). Average quoted, realized, and effective spreads are smaller for ECN trades than for market-maker trades even though ECN trades are more informative than trades with...

In response to a regulatory enforcement, the Island electronic communications network recently stopped displaying its limit order book in the three most active exchange-traded funds (ETFs). As a result of this reduction in pre-trade transparency, this dominant venue's share of trading activity...

Automation and trading speed are increasingly important aspects of competition among financial markets. Yet we know little about how changing a market's automation and speed affects the cost of immediacy and price discovery, two key dimensions of market quality. At the end of 2006 the New York...

We examine the impact on stock prices of a major upgrade to the New York Stock Exchange's trading environment. The upgrade was sequentially implemented across groups of stocks. The upgrade improved information dissemination on the trading floor and reduced the latency in reporting trades and...

This paper studies the ability of non-informational order imbalances (buy minus sell volume) to predict daily stock returns at the market level. Using a model with three types of participants (an informed trader, liquidity traders, and a finite number of arbitrageurs), we derive predictions...