We analyze the choice between public and private equity financing of a unique, hand-collected sample of privately held firms that have indicated their willingness to raise outside equity. We document that these firms are remarkably similar at the time of the announcement, yet 71% complete an...

This paper investigates an important feature of market design: pre-trade transparency, defined as the availability of information about pending trading interest in the market. We look at how the NYSE s introduction of OpenBook, which enables traders off the exchange floor to observe depth in the...

Using a broad panel of NYSE-listed stocks between 1983 and 2004, we study the relation between institutional shareholdings and the relative informational efficiency of prices, measured as deviations from a random walk. Stocks with greater institutional ownership are priced more efficiently and...

Easley et al. (1996) have proposed an empirical methodology to estimate the probability of informed trading (PIN). This approach has been employed in a wide range of applications in market microstructure, corporate finance, and asset pricing. To estimate the model, a researcher only needs the...

We analyze allocations to institutional and retail investors in 441 initial public offerings (IPOs). In addition to the well known favorable first-day returns, we show that institutions also obtain more allocations in IPOs with better long-term performance. We find that initial institutional...

I analyze market order execution quality using order-based data reported in accordance with SEC Rule 11Ac1-5. These data facilitate a comprehensive investigation of multiple dimensions of execution quality, including measures of costs and speed, for large samples of common stocks on Nasdaq and...

We study pre-trade transparency by looking at the introduction of NYSE's OpenBook service that provides limit order book information to traders off the exchange floor. We find that traders attempt to manage limit order exposure: They submit smaller orders and cancel orders faster. Specialists'...

On July 31, 2001, for the first time in its history, the New York Stock Exchange began trading three unlisted securities. The DIA, SPY, and QQQ are the most actively traded Exchange Traded Funds (ETFs) and are listed on the American Stock Exchange. On April 15, 2002 another 27 ETFs followed....

In this paper, we present a case study of underwriter trading in the aftermarket of a recent initial public offering (IPO). The lead underwriter for this issue actively repurchased approximately 15 percent of the issue size to cover its initial short position. Detailed audit-trail and...