Summary Based on an extended game-theoretic innovation-race model, we derive some Schumpeterian hypotheses of the impact of technological rivalry, market power, technological opportunities and demand expectations on the timing of product and process innovations. Using innovation data at the firm...

Purpose – The purpose of this paper is to test the relationship between liquidity in listed real estate markets, company size and geography during different market cycles, specifically pre-crisis (2002-2006) and post-crisis (2010-2014). Further, the study analyses the impact of stock liquidity...

Purpose – This paper aims to investigate the performance of estimators of the bid-ask spread in a wide range of circumstances and sampling frequencies. The bid-ask spread is important for many reasons. Because spread data are not always available, many methods have been suggested for...

Purpose – This paper aims to investigate the extent to which different prices within the bid-ask spread are used for fair value measurements and evaluate the potential consequences thereof. Design/methodology/approach – The paper investigates different Level 1 fair value measurements of...

Purpose The purpose of this paper is to examine the empirical relationship between trades undertaken by informed agents (managers) and the proxies for informed trades computed by bid-ask spread decomposition models. Design/methodology/approach An econometric application of spread decomposition...

Purpose The purpose of this paper is to examine the impact of regulatory changes by the US Securities and Exchange Commission in 2000 on private information leakage prior to merger announcements. Design/methodology/approach Using a sample of 5,045 merger announcements between 1990 and 2008, the...

Purpose – The purpose of this paper is to investigate the immediate impact of firm-specific announcements on the trading volume of individual and institutional investors on the Australian Securities Exchange (ASX), during a period when the market becomes fragmented. Design/methodology/approach...

Purpose The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures markets. The authors capture the size and change in speculative behaviour in futures markets by examining the role of liquidity variables (trading volume and open interest) in...

Purpose The purpose of this paper is to examine stock price and trading volume reactions to name changes of the Toronto Stock Exchange listed companies. Previous studies present conflicting evidence on reactions to corporate name changes in US and other capital markets....

Purpose The purpose of this paper is to evaluate the profitability of technical trading relative to buy-and-hold (BH) strategy at firm level, controlling for firm size and trading volume. Design/methodology/approach This paper applies variable-length moving averages (VMAs) thoroughly to each and...