Using comprehensive electronic data collected directly from NASDAQ systems, we assess the impact of changes in electronic message traffic on predicting short-term changes in prices, spreads and quoted depth levels. We document evidence that message traffic at, and nearby, the inside quotes...

This dissertation consists of three essays. The first chapter examines the valuation effect of information asymmetry and the role of financial intermediaries as information gathering and processing experts. In a sample of cross-border mergers and acquisitions made by U.S. firms, we find that...