We examine the impact of market maker concentration on adverse-selection costs for NASDAQ stocks and find that more market makers results in lower costs. Furthermore, this reduction in adverse-selection exceeds the overall reduction in spreads that is attributable to market maker competition. We...

This study compares the components of the bid-ask spread estimated from quotes that reflect the trading interest of specialists with those estimated from limit-order quotes and all available quotes for a sample of NYSE stocks. The results show that the adverse selection component of the spread...

We examine execution costs and quote clustering on the NYSE and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the mean spread of NASDAQ stocks is greater than the mean spread of NYSE stocks when spreads are equally weighted across stocks and the difference is...

Using a carefully constructed matched sample of control (nondecimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that the quoted depth as well as the quoted and effective bid-ask spreads declined significantly following...

This study shows that limit-order traders play a significant role in the market-making process. We find that the majority of bid-ask quotes on the NYSE reflects the trading interest of limit-order traders. We find that specialists tend to quote more actively for low-volume stocks and during...

In this paper, we determine whether each bid (ask) quote reflects the trading interest of the specialist, limit order traders, or both for a sample of NYSE stocks in 1991. We then compare Nasdaq spreads with NYSE spreads that reflect the trading interest of the specialist. Our empirical results...

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 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...

This study presents an analysis of the wealth effects of property-liability insurance company market pullout announcements on the shareholders of both the withdrawing firms and their major competitors. The results of the study indicate that market withdrawals are positively interpreted by...

We examine the effects of an order cancellation fee on limit order flow and execution quality in the PHLX options market. The cancellation fee on professional order flow is effective in reducing the rate at which limit orders are canceled. While the cancellation fee discourages the submission of...