This paper presents an empirical analysis of firms that are delisted from a major stock exchange. The delisting process is described and stock price movements surrounding delisting are analyzed. For firms with prior announcements, equity values decline by approximately 8.5 percent on...

We analyze gains from intercorporate sales of mutual fund subsidiaries, using mandated SEC disclosures to assess the performance of mutual funds transferred by these transactions. Sellers are financial conglomerates (banks) using equity-based deals to transfer poorly performing funds to highly...

The neglected firm effect is the phenomenon where stocks of less widely-known firms have larger returns than that predicted by asset pricing models. Researchers have found mitigating variables, such as the price of the stock, that have partially explained the performance of neglected firms....

Existing trade-indicator models that estimate the components of the bid-ask spread of a common stock fail to utilize the trade flows in the options market as a potential source of adverse information. This paper develops a cross-market model to address this issue by introducing an option...

Most exchanges do not report trade direction thus researchers and traders must deduce whether a trade is buyer or seller initiated since this information is required to evaluate models of bid-ask spread components and to understand the market for immediacy. Algorithms that assign trade direction...

High frequency traders have largely replaced human liquidity providers in US equity markets. This has increased market efficiency, reduced transaction costs, and increased volumes. We develop a model that can explain how and why this has occurred: -Similar to the Glosten and Milgrom (1985)...