This paper examines liquidity and quote clustering on the NYSE and Nasdaq using data after the two market reforms - the 1997 order-handling rule and minimum tick size changes. We find that Nasdaq-listed stocks exhibit wider spreads and smaller depths than NYSE-listed stocks and stocks with...

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...

This paper examines execution costs and quote clustering on the NYSE and Nasdaq using 517 matching pairs of stocks after decimalization. We find that the average quoted, effective, and realized spreads of Nasdaq-listed stocks are 18%, 29%, and 58% larger, respectively, than those of NYSE-listed...

Using a matched sample of NYSE and Nasdaq stocks we examine the determinants of differences in the adverse selection component of the spread. Consistent with previous work, we find that adverse selection is less for Nasdaq stocks than for NYSE stocks. Further, we find that many of the factors...

We examine a large sample of electronically placed limit orders on NYSE stocks to investigate (1) what limit prices investors choose, (2) the relation between investor limit prices and stock quotes, and (3) limit order execution rates. We find that both individual and institutional investors...

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...

Blume and Goldstein [Journal of Finance 52, 1997, 221-244] suggest that quote competition between trading venues may diminish following tick size reductions. We test this suggestion by studying the competitive landscape in the NYSE-listed stocks before and after decimalization. We find that NBBO...

We show that short selling may, occasionally, cause excessive price pressure. We study large negative price reversals that occur on no-news days and find that short selling during such reversals is abnormally aggressive and substantially increases the magnitude of price declines. This negative...

We examine short selling of NYSE stocks that are listed on the Samp;P 500 on days when the index experiences dramatic price movements. While prior research shows that short sellers are generally contrarian in contemporaneous daily returns, we document that, after controlling for factors that...

This study directly compares the level and return predictability of short selling for NYSE stocks to a matched sample of NASDAQ stocks. When considering trading that executes on all exchanges, we document that the NASDAQ has greater levels of short selling, relative to total trading activity,...