In this paper, we apply the method for removing the upward bias in returns in equally-weighted return indexes developed by Fisher, Weaver, and Webb (2010) to REIT stocks in the US. While we find significant bias in this index, two trends are evident: first, there is less overall bias than in...

The SEC is considering the imposition of a trade-at rule which requires venues not at the inside to either significantly improve on price or route to a venue that is quoting at the inside. The rule is expected to greatly reduce the internalization of order flow either directly or through dark...

We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades. In contrast to theories of STT imposition as a means to reduce...