This study examines the relationship between equity analysts and information asymmetry, and the extent of leakages in analyst recommendations. Literature suggests that analysts reduce information asymmetry by bringing privately held information to the market, and through superior analysis of...

This study examines the relation between information asymmetry and the cost of equity capital of firms listed on the Australian Securities Exchange. We calculate the ex ante cost of equity capital for constituent companies of the S&P/ASX 200 Index. The bid–ask spread of the companies is...

The employment of IBES (Institutional Brokers’ Estimate System) analysts’ earnings forecast consensus in capital markets research literature presupposes normality in per period, per firm distributions of analysts’ earnings estimates on the basis that: (i) the central limit theorem holds...

<section xml:id="fut21634-sec-0001"> This study measures the magnitude of execution costs of outright options and options which constitute strategies (“strategy‐linked options”), and examines if any differences in execution costs between these two groups is attributable to differences in market making costs on the Australian...</section>

This study examines the effects of large trades executed by outside customer on the prices of futures contracts traded on the Chicago Mercantile Exchange. We find that, on average, large buyer‐initiated trades have a larger permanent price impact (information effect) than large...

This study is the first to examine the intraday behavior of quoted depth in a competitive dealer market. In sharp contrast to previous research that focuses on specialist markets, quoted depth is lowest at the open of trading, plateaus around the middle of the day, and then dramatically...

Using a proprietary data set from the Sydney Futures Exchange, this study reconciles an inconsistency in futures microstructure literature. One strand of the literature documents that single trades in futures markets contain information, whereas another strand finds that trade packages in...