In 2015 the Tokyo Stock Exchange (TSE) implemented Arrowhead Renewal improvements (ARI) that reduced latency from about one millisecond to less than 0.5 milliseconds. Simultaneously, the ARI introduced new risk management functions to improve market fairness by reducing manipulative trading...

We investigate the impact of failures-to-deliver on the performance of 116 Real Estate Investment Trusts (REITs) during a period of substantial short selling (calendar years 2007 and 2008). REIT shares typically are easy to borrow, have high transparency (low information asymmetry), and are...

Naked short selling and purposeful fails-to-deliver have been identified in the popular press and by the SEC as contributing factors to the stock market decline in 2008. We investigate the market impact of the announcement that fails-to-deliver have occurred for a sample of real estate...

TThe 2015 bankruptcy of Doral Financial Corporation, once “the best” U.S. bank according to U.S. Banker, is the largest since April 2010. The bankruptcy concludes years of management manipulation and efforts to recover. SEC investigation revealed fraud related to Doral's valuation of...

In this study we show that both the price impact of trades and serial correlation in trade direction are positively and significantly related to the probability of information-based trading (PIN). The positive relation remains significant even after controlling for the effects of stock...

There have been a number of investigations of the individual characteristics of the limit order book (Lee, Mucklow, and Ready, 1993; Harris, 1994; Bruno, Hillion, and Spatt, 1995). Lee,Mucklow, and Ready report that wide spreads are accompanied by low depths and that spreads widen and depths fall in...

Using the adverse selection component of the spread as a measure of asymmetric information,we investigate how asymmetric information evolves after firms go public. We find that the level of asymmetric information is lower immediately after the initial public offering (IPO) compared with its...

We test whether an increase either in informed (hypothesis 1) or in large liquidity trades (hypothesis 2) leads to greater correlation of trading volume across markets. We confirm that both trading volume and positive returns of target companies are abnormally high prior to merger announcements....

Using synchronous transactions data for IBM from the New York, Pacific and Midwest Stock Exchanges, we estimate an error correction model to investigate whether each of the exchanges is contributing to price discovery. Johansen's multi-variate cointegration test yields two cointegrating vectors...

Microstructure research has recently forged two theoretical frameworks characterizing stock specialist behavior: A Walrasian inventory-theoretic individual optimization model sometimes with asymmetric information, and a queue-theoretic disequilibrium market model of the continuous auction...