While the majority of market microstructure studies deals with the behavior of frequently traded stocks, the focus of this paper is on illiquid securities listed on the NYSE. Using high frequency data on ten infrequently traded stocks during the year 1999, we measure the information content of a...

This paper is the first to analyze the price effects of equity trading by a pension fund. We find that, on average, these effects are non-negligible: 20 basis points for buys and 26 basis points for sells. Furthermore, we show that (relative) trade size and market capitalization commonly found...

Contents: Part I. Measurement of financial-sector competition -- 1. Market power: competition among measures / Sherrill Shaffer and Laura Spierdijk -- 2. The Panzar-Rosse revenue test and market power in banking: an empirical illustration / Sherrill Shaffer and Laura Spierdijk -- 3. Adapting...