This paper shows that the effects of bid-ask spreads and price discreteness on observed stock returns are related to stock price level, properties of the bid-ask spread and the nature of the rounding process. Using a mole similar to Harris (1990), we derive robust Taylor series approximations...

This paper estimates the returns to insiders when they trade their company’s stock. We first construct a rolling "purchase portfolio" that holds all shares purchased by insiders for a six-month period, and an analogous "sale portfolio" that holds all shares sold by insiders for six months. The...