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 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...

Derrien (2005) and Ljungqvist, Nanda, and Singh (2003) build upon the work of Miller (1977) and claim that issuers and the regular customers of investment bankers benefit from the presence of sentiment investors (noise traders) in the market for an IPO. Thus we argue that investment bankers have...

Archipelago began reporting trades and quotes to the Pacific Stock Exchange in 2002 for NYSE-listed securities and in 2003 for NASDAQ-listed securities. These events mark the time that Archipelago began migrating stocks from its ECN platform to the exchange platform, thereby becoming a...