This study examines the usefulness of interim income tax disclosures in predicting future earnings and analysts' forecast errors. The integral view of interim financial reporting requires managers to make their best estimate of the effective income tax rate expected to be in effect for the year....

We find that firms with higher quality disclosures have lower effective bid-ask spreads and lower adverse selection spread components. In contrast, we also find that firms with higher quality disclosures have lower quoted depths, resulting in no unambiguous conclusion regarding market liquidity...

Existing research suggests adverse selection spread components are positively related to trade size, consistent with informed traders trading in larger sizes. However, if market makers use quoted depth to limit losses to informed traders, the size of a trade relative to the depth quoted at the...

We evaluate the ability of the mean analyst forecast to effectively summarize analysts' information. We show analytically that even if analysts possess the ability and intention to forecast earnings truthfully, the mean forecast underweights analysts' private information. Thus, the mean does not...

This study examines whether managerial forecasts of annual effective tax rates, disclosed in interim financial statements, are useful in predicting future quarterly earnings, are incorporated in financial analysts' forecasts of quarterly earnings, or are impounded in stock prices. The integral...

We study the relation between disclosure policy and market liquidity. Our tests examine how two key aspects of market liquidity, the effective bid-ask spread and quoted depth, relate to financial analysts' ratings of firms' disclosure policies. We introduce a method of combining order sizes and...

We find adverse-selection spread components increase sharply in the ratio of trade size to quoted depth, and spike when trade size equals quoted depth. We find two previously documented and prominent indicators of informed trading, raw trade size and high-trading-volume half-hours, offer almost...

This paper examines the association between block ownership and market liquidity. Blockholders are believed to have access to private, value relevant information via their role as monitors of firms' operations. Consistent with this, we find that firms with greater blockholder ownership, either...

We examine whether NYSE/AMEX depth quotes are related to the adverse-selection and inventory-holding-cost components of the spread. Consistent with theory predicting an inverse relation between depths and the risk of informed trading, we find that depth quotes are strongly inversely related to...

Electronic limit order books are prevalent in financial markets. Most allow quot;hidden orders,quot; in which the order's information is neither revealed to the market nor reflected in the National Best Bid and Offer quotes. Hidden orders comprise a large portion of the trading activity in many...