This paper documents order submission strategies during the Toronto Stock Exchange preopening session. I find that the registered trader (RT) actively participates in the market opening, even though he cannot set the opening price directly, and has no apparent informational advantage. RT opening...

Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies of trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our measures (i) better capture institutional trading costs; and...

I examine three research themes related to the potential manipulation of closing prices. First, I examine the incentives for mutual fund and hedge fund managers to inflate the closing prices of their existing holdings by trading near the close on the last trading day of key performance...

Multi-year regulatory rate plans are becoming more common. An agreement to "stay out" of the rate revision process removes an option for the utility company or regulatory commission to request a modification to tariff rates in response to changes in interest rates. We develop an objective...

This paper provides guidance on how to use matched samples to test for differences in trade execution costs (e.g. quoted and effective spreads). Based on extensive simulation results, we conclude that the best practice is to match firms one - to - one based on market capitalization and share...

This paper incorporates investor preferences for return distributions' higher moments into a Polynomial Goal Programming (PGP) optimisation model. This allows us to solve for multiple competing hedge fund allocation objectives within a mean -variance - skewness - kurtosis framework. Our...

We develop a model of mutual fund manager investment decisions near the end of quarters. We show that when investors reward better performing funds with higher cash flows, near quarter-ends a mutual fund manager has an incentive to distort new investment toward stocks in which his fund holds a...

We develop measures of stock-specific trading activity based on durations of sequences of consecutive trades with fixed cumulative values. Trade sizes and signed-trade imbalances rise with activity, while price impacts generally fall, but not always, due to endogenous variation in liquidity...

We examine a fund manager's alleged manipulation of platinum and palladium futures settlement prices. Using benchmarks from parallel electronic markets, we find that the manager's market-on-close trading causes significant settlement price artificiality. Defying predictions that competition...