We examine the effect of decimalization on institutional investors using proprietary data. In particular, we examine the time and the number of trades it takes to execute a given trading decision, as well as the price impact of these trades. We use three different benchmarks to determine the...

Although brokers’ trading is endemic in securities markets, the form of this trading differs between markets. Whereas in some securities markets, brokers may trade with their customers in the same transaction (simultaneous dual trading or SDT), in other markets, brokers are only allowed to...

We compare trading costs in the U.S. Treasury bond market with U.S. corporate and municipal bond markets, based on newly available transaction data. We estimate that the mean bid-ask spread per $100 par value is 23 cents for municipal bonds, 21 cents for corporate bonds and 8 cents for Treasury...

We investigate how price discovery occurs in the options markets through traders' trade size choice. By employing transactions data on all options traded on a sample of 100 firms, we show that informed traders fragment their orders into small (medium) trades for low (high) volume contracts. We...

Using intra-day transaction data for a sample of NYSE firms, I show that medium size trades have the highest percent cumulative price change and greatest impact on transaction-by-transaction stock price changes. Even though large size trades have the highest price impact per transaction, it is...

Using a national survey data where the event of individual households being refused loans (credit rationed) by financial institutions – as well as the specific loans for which they were turned down – is observed directly, this study investigates both the role of relationships on credit...

We investigate the efforts of public announcements of analyst recommendations on the bid-ask spreads, the corresponding bad and ask depths and on trading volume of the associated stocks. Using a sample of analyst recommendations made on all stocks trading in the NYSE and AMEX over an 18-month...

The objective of this study is to determine which characteristics of a company’s board of directors that are generally favored by the shareholders (specifically, higher level of independence, smaller board size, higher equity ownership, and presence of financial experts), are also used by...

We investigate whether busy boards add more value to standalone firms compared to business group affiliated firms in India – an economy plagued with significant institutional voids. Using board composition data of the top 500 Indian firms spanning the period 2003 to 2006, we find that firm...