This study examines the evolution of transitory volatility over the week for NYSE/AMEX stocks. We treat the block of five trading days during a week as a single trading session and control for disproportionate rates of information arrival over the week by comparing variances of weekly returns...

This article tests for differences in execution costs among specialist firms for New York Stock Exchange listed securities. Execution cost differences provide a measure of the relative performance of specialist firms. The authors find a substantial difference in effective spreads and order...

This paper tests for differences in execution costs among specialist firms for NYSE listed securities. Execution cost differences provide a useful measure of the relative performance of specialist firms. We find a substantial difference in effective spreads and order processing costs across...

The Toronto Stock Exchange (TSE) switched from a fractional to a decimal trading system on April 15, 1996. This paper examines the impact of decimalization on the competition for order flows between Canadian and U.S. exchanges by analyzing TSE stocks cross-listed on U.S. exchanges. We find that...

The AMEX changed the tick size from $1/8 to $1/16 for low-price stocks on September 3, 1992. Consistent with the prediction of L. E. Harris (1994, Stock Price Clustering and Discreteness, Review of Financial Studies 7, 149-178), the change has reduced both quoted and effective spreads, although...