We use limit order data provided by the New York Stock Exchange (NYSE) to investigate the impact of reducing the minimum tick size on the liquidity of the market. Specifically, we analyze both spreads and depths (quoted and on the limit order book) for periods before and after the NYSE'schange...

Equity mutual funds earn large positive returns on the last day of the year, and large negative returns on the following day. The same applies on a smaller scale at quarter-ends that aren't month-ends. Empirical evidence from a variety of sources, including portfolio disclosures and intra-day...

This paper sets out to quantify, with the use of a consumption-based CAMP, the risk premiums inherent in the Israeli market for index-linked and non-index-linked bonds. In contrast to what has appeared in the macroeconomics literature, this study, quantifies the size and dynamics of two such...