Investors can trade individual agency mortgage-backed securities as specified pools (SPs), or trade them through TBA forward contracts. Sellers in the TBA market deliver the cheapest possible pool that fulfills the contracts, so they are traded on a cheapest to deliver basis. More valuable...

During five weeks over March and April 2000, internet stocks declined 58%. Almost $700 billion in capitalization was lost. This sudden collapse has been attributed to an increase in the supply of shares from lock-up expirations and equity offerings. In this paper, I show that internet stocks...

Our paper examines the impact of geographic location on liquidity for U.S. rural- and urban-based companies. Even after adjusting for size and other factors, rural firms trade much less, are covered by fewer analysts, and are owned by fewer institutions than urban firms. Trading costs are higher...

Two explanations are commonly offered for the large number of recent IPOs by Internet firms: that they are rushing to go public when Internet stock prices are irrationally high, and that they are trying to grab market share in an industry with large economies of scale. We examine the actions of...

We develop a bid-ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the high-low ratio reflects both the stock's variance and its bid-ask spread. While the variance component of the high-low ratio is proportional to the return...

On January 20, 1997, the Securities and Exchange Commission began requiring Nasdaq market makers to execute or display customer limit orders. In addition, Nasdaq began displaying quotes placed by market makers to execute or display customer limit orders. In addition, Nasdaq began displaying...

The NASDAQ multiple dealer market is designed to produce narrow bid-ask spreads through competition for order flow among individual dealers. However, we find that odd-eighth quotes are virtually non-existent for 71 of 100 actively traded NASDAQ securities, including Apple Computer and Lotus...

On May 26 and 27, 1994, several national newspapers reported the findings of Christie and Schultz (1994) who cannot reject the hypothesis that market makers of active NASDAQ stocks implicitly colluded to maintain spreads of at least $.25 by avoiding odd-eighth quotes. On May 27, dealers in...

This paper examines the intraday pattern of bid-ask spreads among NASDAQ stocks. We find that spreads are relatively stable throughout the day, but narrow significantly near the close. This contrasts with the U-shaped pattern for NYSE stocks reported by Brock and Kleidon (1992) and McInish and...

Numerous studies document long-run underperformance by firms following initial public offerings or seasoned offerings. In this paper I show that such underperformance is very likely to be observed ex-post in an efficient market. The premise is that more firms issue equity at higher stock prices...