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When a firm commit to a more stringent disclosure regime, market maker relies more on disclosure itself and less on the alternative information source, such as abnormal trading volume. Using a panel of foreign firms that cross-list in US, I find significant deduction in the slope coefficient in...
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This paper studies the relationship among the U.S. securities laws, the premia that non-U.S. firms obtain by subjecting themselves to U.S. laws, overall U.S. share prices, and a cross-listed firm's U.S. trading volume. I report three main sets of findings. First, for exchange-traded (NYSE and...
Persistent link: https://www.econbiz.de/10013157474
We find that US cross-listing of Canadian stocks enhances domestic high-frequency trading (HFT) activity in the form of both opportunistic trading and market-making. First, US cross-listing boosts HFT low-latency cross-border arbitrage. This highly correlated HFT arbitrage activity across...
Persistent link: https://www.econbiz.de/10013232823
This paper studies the impact of a high-frequency investor sentiment measure (New FEARS) on the returns of foreign securities listed in U.S. markets as American Depository Receipts (ADRs). We recreate a high-frequency investor sentiment measure by aggregating search volume indices (SVIs) for a...
Persistent link: https://www.econbiz.de/10012792429
The U.S. equity markets recently increased the tick size from one to five cents for smaller capitalization stocks. We show that the larger tick size raised the cost for retail-sized liquidity demanding orders by almost fifty percent, and raised profits to liquidity providers by forty percent....
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