We decompose US Treasury bid-ask spreads into inventory, adverse selection and order processing costs by using the fact that inventory trades have different effects on spreads than do proprietary trades. We exploit this asymmetry and develop a technique to identify the three components of the...

A theoretical model is presented, which predicts a heightening in return volatility following a news reversal. A reversal occurs when a value of an economic indicator that is larger than the forecasted value is followed in the following month by a value smaller than the forecasted value, or vice...

This study examines information incorporation and price discovery in closely related markets that witness staggered openings. A theoretical model is presented. In this framework, one market, termed dominant, is the venue where most of the price discovery occurs, and the other is termed...