On September 8, 2008, a false-news event precipitates a sharp decline in United Airline's stock price, rapidly leading to an exchange-mandated trading halt. This event allows for the empirical investigation of the effects of a false-news trading halt in an attempt to determine its effect on...

In July 2007 the SEC granted a proposal by the NASDAQ stock exchange to allow firms relisting on the NASDAQ to retain their 3-digit ticker. We examine whether the length of a ticker symbol on NASDAQ matters by comparing stocks that transfer their listing from AMEX to NASDAQ with 3-digit tickers,...

We examine the performance of three spread decomposition models which provide estimates of the inventory holding component of the bid-ask spread: the Stoll (1989), Huang and Stoll (1997), and Bollen, Smith, and Whaley (2004) models. As a benchmark for the analysis, we use the order imbalance...

We examine the effect of home market short-sale constraints on stocks that also trade in other countries that have more liberal short-sale rules. We focus on the case of ADRs traded in the U.S., as in some cases, the home markets of these ADRs prohibit short selling. We find that U.S. short...

We document a two-fold increase in limit order cancellation activity over the last decade, and study the determinants of cancellations and the change in cancellation activity through time. We also examine the impact of order cancellation on market quality. We use an instrumental variable...

We examine the liquidity providing behavior of NASDAQ market makers surrounding two periods of changing dealer obligation. The first change in November, 2007 is the relaxation of Rule 4613, which required NASDAQ market makers to place two-sided quotes “reasonably related” to the current best...

On September 8, 2008, a false-news event precipitates a sharp decline in United Airline's stock price, rapidly leading to an exchange-mandated trading halt. This event allows for the empirical investigation of the effects of a false-news trading halt in an attempt to determine its effect on...

This study examines the market response to the 1999 announcement of a change in accounting for Funds from Operations (FFO) for Real Estate Investment Trusts (REITs). This change provides an increase in transparency in the accounting statements of REITs regarding the calculation of FFO. An...

Ellis, Michaely, and O'Hara (2000) find that trade classification rules have limited success in classifying trades executed inside the quotes. We reconfirm this result and propose an alternative algorithm to improve the classification accuracy for trades inside the quotes. This alternative...

The study investigates competition in the market for NASDAQ stocks during a recent period in U.S. equity markets history when three major ECNs - Archipelago, Island, and Instinet - are identifiable in TAQ. We show that the ECNs compete with NASDAQ's SuperMontage on the basis of quotes, execution...