This paper studies the link between secondary market liquidity for a corporate bond and the bond's yield spread at issuance. Using ex-ante measures of expected liquidity at the time of issuance, based on the characteristics of the underwriting syndicate, we find an economically large impact of...

Nature provides critical ecosystem services on which society and businesses rely, but the effort and cost of utilizing those services can change with the climate. Both climatic trend and variance affect these efforts and costs, creating a complex decision space where uncertain future predictions...

We examine the effect of high frequency trading on market quality from theperspective of a limit order trader. By competing with slower limit order traders, highfrequency traders (HFT) impose a welfare externality by crowding out slower non-HFTlimit orders. The order book imbalance immediately...

We examine market making behavior of dealers for 55,988 corporate bonds, many of which trade infrequently. Dealers have a substantially higher propensity to offset trades within the same day rather than committing capital for longer periods for riskier and less actively traded bonds. Dealers'...

In this paper, we demonstrate using a simple model that reducing tick size may either reduce or increase adverse selection. Therefore, the effect of tick size on adverse selection is an important empirical question. At the same time, we demonstrate that the standard asymmetric information models...

This study explores the integration of the markets for NYSE-listed stocks. Although the NYSE bid or offer is part of the best displayed intermarket quote roughly ninety percent of the time, there is some evidence that non-NYSE markets do on occasion contribute to price discovery. Actual...

The purpose of this paper is to compare execution prices of NYSE-listed stocks on the NYSE and on non-NYSE markets. The first conclusion of this comparison is that most of the time the NYSE had the best quote. This result does not necessarily imply that execution prices on the NYSE are better...

Investors globally prefer dividend-paying stocks over non-dividend-paying stocks more in declining than in advancing markets, even accounting for firm-level growth opportunities, size and risk effects. Dividend paying stocks outperform non-dividend paying stocks, from 0.63% (China) to 3.79%...

The use of computers to execute trades, often with very low latency, has increased over time, resulting in a variety of computer algorithms executing electronically targeted trading strategies at high speed. We describe the evolution of increasingly fast automated trading over the past decade...

The goal of this paper is to examine the impact of the 1975 Congressional mandate to integrate the trading of NYSE-listed stocks. The conclusions are: Most of the time, the NYSE quote matches or determines the best displayed quote, and the NYSE is the most frequent initiator of quote changes....