Prior studies that examine the relation between market depth and bid-ask spread are often limited to the first level of the limit order book. However, the full limit order book provides important information beyond the first level about the depth and spread, which affects the trading decisions...

Prior studies that examine the relation between market depth and bid-ask spread are often limited to the first level of the limit order book. However, the full limit order book provides important information beyond the first level about the depth and spread, which affects the trading decisions...

Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and foreign exchange futures markets during a turbulent time...

Purpose: The purpose of this study is to explain the poor informativeness of earnings in dual-class firms by examining the quality of earnings and the information environment. Design/methodology/approach: The earnings informativeness, earnings quality and information environment of dual-class...

On September 19, 2008 the Securities and Exchange Commission put a temporary ban on the short sales of 797 financial stocks. This unprecedented measure allows us to explore the impact of short-sale restrictions on the U.S. stocks. In this study we investigate the effect of short-sale constraints...