We study the relation between the percentage of outstanding shares held by a firm's largest institutional owner and the bid-ask spread on that firm's shares, a measure of information risk. We find that the greater the percentage of shares held by the largest institutional investor, the greater...

This study examines whether managerial forecasts of annual effective tax rates, disclosed in interim financial statements, are useful in predicting future quarterly earnings, are incorporated in financial analysts' forecasts of quarterly earnings, or are impounded in stock prices. The integral...

We study the relation between disclosure policy and market liquidity. Our tests examine how two key aspects of market liquidity, the effective bid-ask spread and quoted depth, relate to financial analysts' ratings of firms' disclosure policies. We introduce a method of combining order sizes and...

We find adverse-selection spread components increase sharply in the ratio of trade size to quoted depth, and spike when trade size equals quoted depth. We find two previously documented and prominent indicators of informed trading, raw trade size and high-trading-volume half-hours, offer almost...

This paper examines the association between block ownership and market liquidity. Blockholders are believed to have access to private, value relevant information via their role as monitors of firms' operations. Consistent with this, we find that firms with greater blockholder ownership, either...