Using comprehensive electronic data collected directly from NASDAQ systems, we assess the impact of changes in electronic message traffic on predicting short-term changes in prices, spreads and quoted depth levels. We document evidence that message traffic at, and nearby, the inside quotes...

Specialists constantly update information based on the price movements of the stocks that trade nearby. The study argues that this process of changing quotes to reflect floor information may lead to contemporaneous co-variation in liquidity measures. The evidence indicates that individual stock...

Microstructure literature suggests common factors in liquidity measures. However, research on the intraday behaviour of liquidity commonality is scant. Because of higher information and inventory holding costs during the first and last half-hours of trading, we argue that liquidity covariations...

Anomalies and stock returns have been studied thoroughly in the realm of asset pricing. This work is motivated by the lack of such studies on liquidity co-variation patterns. Earlier research documents market-wide commonality in liquidity. However, empirical work on the temporal behaviour of...

We extend the evidence on whether investors impound efficiently into stock prices new disclosures about corporate R&D programs. We find that firms that disclose the discontinuation of some of their R&D programs experience a significant negative announcement-period stock price response which is...

The study examines empirically whether, and to what extent, equity markets in the Gulf Cooperation Council (GCC) are integrated inter-regionally. According to the official Charter of the GCC, building stronger ties among financial and capital markets of member states is a chief objective of the...

Large-size firms which significantly increase their R&D expenditures experience subsequently three-year-long negative abnormal stock returns on the magnitude of 56 basis-points per month. We find no robust evidence of significant event-induced abnormal returns for small-size sample firms or any...

We estimate a cross-sectional time-series model to assess the impact of equity market liberalization and capital account openness on individual-firm stock return volatility in GCC (Gulf Cooperation Council) markets. We document evidence that international participation in local trades has no...

We investigate the pricing of idiosyncratic volatility of seven frontier markets in six GCC countries. We find a significant (marginal) negative relationship between expected returns and lagged idiosyncratic volatility for individual stocks in Saudi Arabia (Qatar) but none in Kuwait and Abu...