The equity indexes of the Frank Russell Company are widely used as performance benchmarks for investment managers. Once a year, at the end of June, the Frank Russell Company reconstitutes its stock market indexes. We document economically and statistically significant abnormal returns associated...

Market microstructure is the area of finance that studies the process by which investors' latent demands are ultimately translated into prices and volumes. This paper provides a detailed review of the theoretical, empirical and experimental literature on market microstructure with a special...

Primary capital markets involve the exchange of cash for claims against the issuers, either in the form of equity or debt, or some other derivative instrument. These markets are of great importance to both investors and issuers, especially in emerging markets where capital is scarce relative to...

It is commonly believed that fragmented security markets have a natural tendency to consolidate. This paper examines this belief, focusing on the effect of disclosing trading information to market participants. We show that large traders who place multiple trades can benefit from the absence of...

Restrictions on transaction price changes are a feature of many security markets. This paper analyzes the impact of such price continuity rules on price dynamics and examines possible rationales for their existence. Contrary to popular belief, continuity rules need not reduce price efficiency,...

This paper examines empirically the role of quot;upstairsquot; and quot;downstairsquot; (batch and continuous) markets in providing liquidity for large-block transactions. Using data on 21,077 large-block transactions in Dow Jones stocks, we find that downstairs markets are a significant source...

It is commonly believed that fragmented security markets have a natural tendency to consolidate. This paper examines this hypothesis theoretically, focusing on the relation between fragmentation and the disclosure of trading information to market participants. Non-disclosure benefits traders...

We analyze the ability of various market mechanisms to provide liquidity for large equity trades. Using data on 21,077 block transactions in Dow Jones stocks, we find that the 'downstairs' NYSE floor market is a significant source of liquidity. Although negotiation in the informal 'upstairs'...