We investigate whether customer (investor) loyalty and relational exchanges exist between investors, brokers and brokerage houses by analyzing the changes in investors' trading behavior when their broker changes her brokerage house. We accomplish this by analyzing a unique database containing...

This paper investigates the nature and behavior of the domestic (local) currency market that existed in Florence (Italy) during the late 14th and early 15th centuries (a.k.a. Early Renaissance). We find that the extant volatility and microstructure models developed for modern asset markets are...

Prior research indicates that there are gains from real estate asset restructurings (see Glascock, Davidson and Sirmans [1989], Owers and Rogers [1986], and Elayan and Young [1993]). Researchers in these studies use the ordinary least squares market model to estimate expected returns, thus...

This paper investigates the nature and behavior of the domestic (local) currency market that existed in Florence (Italy) during the late 14th and early 15th centuries (a.k.a. Early Renaissance). We find that the extant volatility and microstructure models developed for modern asset markets are...

This paper examines how financial networks influence asset prices and trading performance. Consistent with theoretical studies on the role of communication networks in information dissemination, we posit that financial institutions with more extensive financial networks can more efficiently...

The relation between theorized components of the bid-ask spread and trade size for a sample of NYSE firms is examined. We find that the adverse selection component increases uniformly with trade size. Conversely, order processing costs decrease with increases in trade size for all but the...