The process of clearing and settling trades involves risks to both investors and the brokerage firms that represent them. Because of the International Organization of Securities Commissions (IOSCO) has appointed a technical committee to explore the problems of clearing and settlement in a global...

Many recommendations for reforming securities market are predicated on the belief that providing information on order flow and other market variables to traders (i.e., increasing market transparency) will increase liquidity and improve price efficiency. This paper demonstrates that market...

This paper examines the behavior of institutional traders. We use unique data on the equity transactions of 21 institutions of differing investment styles which provide a detailed account of the anatomy of the trading process. The data include information on the number of days needed to fill an...

This paper examines the execution costs and investment performance of $83 billion of recent equity transactions by 21 institutional traders. These traders are of particular interest because we have detailed information on the order submission strategy adopted by traders with different investment...

This paper analyzes a market where investors observe the intermediate stages of price formation and can revise their orders as prices are determined. A trading mechanism that exhibits this property is said to be transparent. The issue of market transparency arises in many current policy issues...

This paper examines the execution costs and investment performance of $83 billion of recent equity transactions by 21 institutional traders. These traders are of particular interest because we have detailed information on the order submission strategy adopted by traders with different investment...

This paper develops a structural model of intraday price formation that embodies both public information shocks and microstructure effects. Due to its structural nature, the model’s underlying parameters provide summary measures to asset trading costs, the sources of short-run price...

We develop and test a model of intraday price formation based on an explicit description of a representative market maker whose beliefs evolve according to Bayes’ rule. We derive an estimating equation where the weight the market maker places on the order flow as an information signal can be...

This paper analyzes the effect on equity prices of large-block transactions negotiated ‘upstairs’. We develop a model of the upstairs market which yields testable hypotheses. We investigate these hypotheses with unique data for 5,625 block trades in 1985-1992. Unlike previous studies, all...