Prior empirical evidence regarding the impact of dividend taxes, corporate taxes, and corporate governance on firm valuation is inconclusive. This study avoids some of the complications encountered in previous empirical work by exploiting institutional characteristics of REITs, such as their...

Using the introduction of Arrowhead low latency trading platform by Tokyo Stock Exchange as a natural experiment, I analyze the impact of high frequency trading on market quality of J-REITs, in terms of liquidity, volatility, and systemic risks. I also analyze the impact of the 2008 financial...

This study seeks to understand whether and to what extent High Frequency Trading (HFT) affects the probabilistic properties of the stock returns in five markets. More specifically, it focuses on the impact of HFT/machine trading on five major stock indices, DAX, Nikkei 225, S&P 500, Russell...

We estimate global return autocorrelation by using the quantile autocorrelation model and investigate its determinants across 43 stock markets from 1980 to 2013. Although our results document a decline in autocorrelation across the entire sample period for all countries, return autocorrelation...

This study analyzes the market quality differences, in terms of liquidity and volatility, between Real Estate Investment Trusts (REITs) and common stocks. The 2008 financial crisis has significantly influenced the market quality for REITs. Our findings reveal intraday patterns indicating a lower...

We compare the cross-sectional variation in the dividend payout policies of companies across 32 countries. Beyond the impact of firm-specific accounting and financial variables, this study investigates how the country level variations: shareholder demand due to demographic variations and...

This paper provides several statistics concerning cancellation latency that would be helpful to regulators as they consider policies to establish a minimal quote life. We find that cancellation latency is related to market quality and is not constant. Rather, it varies depending upon the time of...

In this article, we examine whether internal governance, the process through which subordinate managers effectively monitor the chief executive officer (CEO), can improve a firm's liquidity. Using the difference in horizons between a CEO and his immediate subordinates to measure internal...

We develop freedom of choice indices for 46 countries and test its influence on systematic liquidity co-movements. Country-specific indices reflect the impacts of three aspects of freedom of choice: (i) opportunity, (ii) decisional autonomy and (iii) immunity from interference. We find that...