We present an analysis of clientele trading effects in response to the widespread dissemination of public information. Employing analyst recommendations published in The Wall Street Journal's quot;Dartboardquot; column as the informational stimulus and the NYSE's TAQ (trades and quotes)...

We study the effect of the implementation of new Securities Exchange Commission Order Handling Rules--the Limit Order Display Rule, the Quote Rule, and the Actual Size Rule--on NASDAQ's (National Association of Security Dealers Automated Quotation) quoting and trading behavior. We find that the...

We analyze a set of 97 NASD-listed securities that trade on both the Nasdaq and Chicago Stock Exchange (CHX) to determine if trading costs and price improvements differ between the two markets. We find that order execution costs, which we define by the traded spread and the signed effective...

We study municipal bond market activity before, during, and after natural disasters (tornados, wildfires, and hurricanes/tropical storms). Using a sample of municipal bond trades from 2010 to 2013, we find that natural disasters influence municipal bond trading. Specifically, we show that...

We study odd-lot trades in U.S. Equities. NYSE- and NASDAQ-listed securities trade and report on various markets, and in this paper, we examine odd-lot activity in these venues. We also look at odd-lot trading on December 9, 2013, when odd-lot trades began reporting to the consolidated public...

1-share trades are the most common odd lot trade size, accounting for 9.62% of all odd lot transactions and 3.65% of all trades on NASDAQ in 2012. While 50.41% of 1-share trades result from broken orders, 34.89% of 1-share trades are intentional. We provide evidence that traders use 1-share...

This paper investigates the effects of an increase in tick size on order and trading flow across market fee venues. Using the pilot firms in the SEC's Tick Size Pilot Program, we document trade and order volume declines significantly on maker-taker fee venues after the tick size implementation....

On March 21, 2000, Aeroflex Corporation became the first company in history to voluntarily switch its equity listing from the New York Stock Exchange to the Nasdaq. This study presents a comprehensive analysis of the changes in trading dynamics observed in Aeroflex stock around the time of the...

We examine the performance of five adverse selection models by comparing their component estimates to other measures of information asymmetry and informed trading. The models produce mixed results. Adverse selection components correlate with various volatility measures, but appear unrelated to...

OTC Markets Group organizes over 10,000 securities that trade over-the-counter into one of three tiered marketplaces (OTCQX, OTCQB, and OTC Pink) based on the quality and quantity of information a firm discloses. The tier designation and listing status of the securities in this study provide a...