Bid-ask spreads and return volatility decline substantially following Exchange listing for firms that moved from Nasdaq to the NYSE during 1996 and 1997, with the largest reductions in volatility for firms with the largest reductions in spreads. This finding is inconsistent with the reasoning...

Trade execution costs remain larger on Nasdaq as compared to the NYSE in the wake of new SEC-mandated order-handling rules and reductions in tick sizes, but the differential across markets is smaller than in earlier years. Cross-sectional regression analysis indicates that the differences in...

This study evaluates changes in trade execution costs and liquidity for a set of 773 Nasdaq-listed stocks whose tick size changed as their share prices passed through $10 during 1995. This analysis allows for a substantially larger effective sample size as compared to before-versus-after studies...

The Samuelson hypothesis implies that the volatility of futures price changes increases as a contract's delivery date nears. In markets where the Samuelson hypothesis holds, accurate valuation of options and related derivatives on futures requires that a term structure of futures volatilities be...

This paper investigates relations between several measures of trade execution costs and price rounding practices for sets of NYSE and Nasdaq listed firms. Percentage execution costs on each exchange are found to be positively related to the rounding of transaction prices and quotes, both in the...

We investigate whether the demonstrated effectiveness of technical analysis for forecasting equity returns can be reconciled with market efficiency. We find that evidence supportive of technical sell signals identifying periods of negative expected returns is confined to the pre-1940 subsamples....

The Samuelson hypothesis predicts that futures price volatility increases as the contract expiration date nears. We analyze the economic conditions that underlie this prediction, and highlight the crucial role of mean reverting spot prices. We show that the clustering of information flows near...

We examine execution costs for trades in NYSE issues completed at the NYSE, the NASD stock market, and the regional stock exchanges during 1994. We find that while effective bid-ask spreads are only slightly smaller at the NYSE, realized bid-ask spreads, which measure market-making revenue net...