This paper uses specialist transaction data to examine the magnitude and determinants of NYSE specialist dealer trading in their assigned stocks. Specialist dealer trading varies widely across stocks. At one extreme, in 7 percent of the sampled stocks the specialist participation rate exceeds 60...

This paper examines empirically the impact of ADR listing in the United States on the Mexican Stock Exchange. The Mexican Stock Exchange is of particular interest because it is an emerging market that faces competition from highly liquid U.S. ADR markets during exchange hours. In addition,...

This paper uses a term structure of Mexican sovereign debt to create measures of country and currency risk premia. We use these measures to test hypothesis about investors' expectations regarding these risks and their relationship to volatility in securities markets. In the period 1993-94, the...

This article examines the impact of transaction costs on portfolio performance. Previous research on this topic has focused largely on post-trade considerations, i.e., the impact of realized transaction costs on investment performance. By contrast, we focus on pre-trade considerations, namely...

Traditional quantitative approaches to portfolio construction have drawbacks for investors or advisors who combine multiple active managers in typically producing large numbers of disperse positions. We develop a new methodology for sequentially allocating to active funds that results in...