Liquidity plays an increasingly important role in empirical asset pricing, market efficiency, and corporate finance. Identifying high quality proxies for liquidity based on daily data only (not intraday data) would permit liquidity to be studied over relatively long timeframes and across many...

Regulators typically assume that public financial disclosure is necessary for the efficient functioning of capital markets. Economists recognize that other mechanisms, such as insurance, can mitigate problems occurring when buyers have less information than sellers. We examine whether public...

Regulators typically assume that public financial disclosure is necessary for the efficient functioning of capital markets. Economists recognize that other mechanisms, such as insurance, can mitigate problems occurring when buyers have less information than sellers. We examine whether public...

Transaction costs are important for a host of empirical analysis from market efficiency to international market research. But transaction costs estimates are not always available; or where available, cumbersome to use and expensive to purchase. We present a model that requires only the time...

Liquidity plays an important role in global research. We identify high quality liquidity proxies based on low-frequency (daily) data, which provide 1,000X to 10,000X computational savings compared to computing high-frequency (intraday) liquidity measures. We find that: (1) Closing Percent Quoted...

Chinese firms have the right to initiate trading halts. We hypothesize that firms suspend trading to align stock prices with fundamentals. We find 46.5% of halts come after a four-day positive return. While many plausible reasons exist for halts to occur after a price decline, we argue the only...