Keech and Munger (2015) argue that the failures of markets are often preceded by the failures of governments to define the necessary institutions needed for the success of markets. In this paper, we attempt to test this hypothesis by examining whether institutional quality is associated with...

In this study, we examine the trading activity and volatility of stocks influenced by the US Securities and Exchange Commission's pilot program that increased tick sizes for various samples of stocks. The objective of the program is to examine possible improvements to the market quality of...

In this study, we examine the relationship between return skewness, short interest, and the efficiency of stock prices. Given that preferences for skewness have been shown to impact asset prices, we examine how skewness relates to market efficiency. We find that stocks with positive skewness...

The return premium associated with the illiquidity of stocks is well documented. In this study, we focus our attention on the uncertainty of liquidity. We test whether brief but significant liquidity droughts, as measured by the maximum daily bid-ask spread during a particular month, are...

Morgan (2002) argues that in the banking sector, the inherent opacity of the intermediation process increases the likelihood of bank runs and magnifies the effects of systemic risk. Motivated by this argument, we develop and test the hypothesis that comovement, or the tendency of stock prices to...

Despite assumptions of mean-variance efficiency that underlie most asset pricing models, investors have shown a penchant for positive skewness. This study documents that the ratio of call option volume relative to total option volume is greatest for stocks with return distributions that resemble...

In this study, we examine the distribution of market liquidity for a broad sample of Real Estate Investment Trusts (REITs). While prior research has focused on the average liquidity of REITs, we extend our analysis to include both the variability and skewness of liquidity, both of which have...

A broad stream of research shows that information flows into underlying stock prices through the options market. For instance, prior research shows that both the Put-Call Ratio (P/C) and the Option-to-Stock Volume Ratio (O/S) predict negative future stock returns. In this paper, we compare the...

The role of speculative trading in markets is often debated. The recent extremes in the real estate economic cycle has created an ideal setting to investigate the role of speculative trading in the marketplace. Specifically, we focus on speculative trading in REITs during the recent boom and...

This paper provides evidence that supports the original hypothesis of Chordia, Subrahmanyam, and Ashuman (2001) that greater variability in liquidity should lead to higher expected returns. While prior research has often found a negative relation between the volatility of liquidity and expected...