We investigate changes in market quality in the United States and Canada during macroeconomic news announcements. We measure market quality in terms of the cost of trading, pricing errors, and returns dependence. Using a sample of cross-listed stocks and stock index futures, we provide robust...

This study examines abnormal stock return around the announcement of the Lifetime Capital Gains Exemption (LCGE) in the Canadian federal tax system. The revised code, adopted May 23, 1985 provided individual taxpayers with a cumulative tax exemption for capital gains, up to a lifetime limit of...