We use new data from SEC filings to investigate how S&P 500 firms execute their open market repurchase programs. We find that smaller S&P 500 firms repurchase less frequently than larger firms, and at a price which is significantly lower than the average market price. Their repurchase activity...

We study market-making high-frequency trader (HFT) dynamics around large institutional trades in Canadian equities markets using order-level data with masked trader identification. Following a regulatory change that negatively affected HFT order activity, we find that bid-ask spreads increased...

The REIT industry has experienced tremendous growth in the 1990s, with its market capitalization quintupling from $9 billion to $58 billion. Over the same time period, REIT liquidity as measured by the percentage bid-ask spread declined significantly from 5.6% to 3.9% (Bhasin, Cole, and Kiely...

Using new monthly data we investigate open-market repurchase executions of US firms. We find that firms repurchase at prices which are significantly lower than average market prices. This price discount is negatively related to size and positively related to market-to-book ratio. Firms'...