We study odd-lot trading and determine if an odd-lot trade results from odd-lot orders or if odd-lots are a result of orders broken into multiple trades. We confirm that odd-lot transactions contribute to price discovery. Our finding that odd-lot transactions contain substantial information is...

In this study we examine intense episodic spikes in quoting activity (frequently referred to as quote stuffing) on market conditions. We find that quote stuffing is pervasive and that over 74% of U.S. exchange-listed securities experienced at least one episode during 2010. We also find that...

On September 8, 2008, a false-news event precipitates a sharp decline in United Airline's stock price, rapidly leading to an exchange-mandated trading halt. This event allows for the empirical investigation of the effects of a false-news trading halt in an attempt to determine its effect on...

This paper examines the Financial Management Association (FMA) Annual Meeting programs from 1996 through 2012. During this 17 year time period, 2,107 institutions are represented on the FMA program. Georgia State University has the most authors on the FMA program during this time period. There...

We study the levels of lit and dark fragmentation in IPOs. Using a sample of 451 IPOs, we find that measures of dark and lit fragmentation are higher in underpriced issues. We further test the claim that IPO price uncertainty is not fully resolved at the offering and that this ex-post...

The NBBO for an average active stock is non-positive (locked or crossed) 10.58% and 4.05% of the time on, respectively, the NASDAQ and the NYSE inter-markets. Locks and crosses are frequent fleeting events that usually accompany significant price changes. Non-positive NBBOs arise because of (i)...

On September 8, 2008, a false-news event precipitates a sharp decline in United Airline's stock price, rapidly leading to an exchange-mandated trading halt. This event allows for the empirical investigation of the effects of a false-news trading halt in an attempt to determine its effect on...

We document a two-fold increase in limit order cancellation activity over the last decade, and study the determinants of cancellations and the change in cancellation activity through time. We also examine the impact of order cancellation on market quality. We use an instrumental variable...

The study investigates competition in the market for NASDAQ stocks during a recent period in U.S. equity markets history when three major ECNs - Archipelago, Island, and Instinet - are identifiable in TAQ. We show that the ECNs compete with NASDAQ's SuperMontage on the basis of quotes, execution...

On March 18th 2002, the ECN Island, in a cost saving move, began reporting trades to the Cincinnati Stock Exchange (CSE). We use this trade reporting change to analyze differences in trading costs between Island and Nasdaq. We analyze trade-based execution costs for Nasdaq trades and Island...