Previous studies find positive stock market reactions around announcements that hedge funds own large equity stakes in companies and use this evidence to support the hypothesis that hedge fund activism creates value. A concurrent explanation is that the price reaction reflects, at least in part,...

This paper examines the differences between MiFID and Reg NMS and provides, based on market microstructure principles, insights as to their likely impact on European and US securities markets. Although MiFID and Reg NMS share the common objective of enhancing competition in securities markets,...

The European Union's Markets in Financial Instruments Directive (MiFID), that will be implemented by October 2007, significantly modifies the regulation of the European securities industry. It will allow, among other things, investment firms to act as systematic internalizers. A systematic...

The European Union's Markets in Financial Instruments Directive (MiFID), that will be implemented by October 2007, significantly modifies the regulation of the European securities industry. It will allow, among other things, investment firms to act as systematic internalizers. A systematic...

In this paper we perform regression-based tests for mean-variance spanning in order to detect the effect of investing in euro area small capitalization stocks on the minimum variance frontier, and apply different measures to assess the extent of diversification gains. Empirical analysis shows...

This paper addresses the issue of the optimal trading system for less actively traded stocks. Several studies have examined the quality and performance of alternative market structures for actively traded stocks. However, very few empirical studies compare the performance of different market...

This paper develops and empirically tests a simple market microstructure model to capture the main determinants of option bid-ask spread. The model is based on option market making costs (initial hedging, rebalancing, and order processing costs), and incorporates a reservation bid-ask spread...

Although MiFID and Reg NMS share the common objective of enhancing competition in securities markets, they differently regulate the best execution duty, the consolidation of market data and the publication of execution quality information. These differences are particularly relevant since they...

The over-allotment option usually complements an IPO to meet any excess demand and provides underwriters with an incentive to stabilize stock prices in the aftermarket. This clause represents an additional source of compensation to the investment bank, in exchange of some uncertain positive...