We compare the auction mechanisms of two major European stock exchanges: Euronext (Paris) and Xetra (Frankfurt). During the call phase, the French exchange discloses five levels of limit orders and has a fixed closing time. The more opaque Xetra system only discloses the virtual clearing price...

We examine performance in publicly listed U.K. companies over a period that encompasses the issuance of the Cadbury Committee's Code of Best Practice, which calls for the abolition of the combined CEO/COB position. We find that companies splitting the combined CEO/COB position to conform to the...

This paper investigates how long it takes until dispersed information on the valuation of IPO-firms is incorporated in secondary market prices, and how the speed of information aggregation relates to market microstructure and IPO characteristics. We find that it takes one week for all...

We present an overlapping generations model with spatial separation and agents who face liquidity risk to investigate the widely held belief that financial intermediaries exist because they save on transaction costs. We find that if agents only use a pure exchange mechanism, they engage in...

We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a simple microstructure model to demonstrate that VCV is strictly increasing in the...

In this paper I claim that public-going owner-managers do not know the true value of their firms. The price that the stock-market sets for the firm's shares after the IPO is a better estimate for the true firm-value than the prior that management had before the offering. Because a higher...

In this paper we investigate under what conditions financial intermediaries can improve welfare through intergenerational risk sharing. We review the constraints suggested by the extant literature and propose a new limitation on intergenerational risk sharing: We argue that an intermediary's...

We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a microstructure model to demonstrate that VCV is strictly increasing in the...