Refined economic value added (REVA) provides an analytical framework for evaluating
operating performance measures in the context of shareholder value creation. Economic value …

The opening auction can provide appealing price and liquidity opportunities. However, the
auction mechanics can be vague and complex. This article provides a consolidated and …

We examine how the intrinsic differences between US and non-US stocks affect market
participants and the market quality of non-US stocks relative to US stocks. Using proprietary data …

I address the “decimalization” debate, ie, whether trading on cent ticks rather than fractions
of a dollar reduces trading costs without diminishing liquidity. I use Toronto Stock Exchange …

In this paper, we discuss the issues a trader should consider when trading in and around the
closing auction. Specifically, we describe the auction mechanisms used by the exchanges, …

We use NYSE system order data to conduct a controlled experiment examining changes in
trader behavior, displayed liquidity supply, and execution quality around the reduction in the …

We study the effects of opening and closing procedures on the NYSE and Nasdaq by examining
firms that moved from the Nasdaq to the NYSE and a sample of size-matched firms. We …

This paper examines the apparent effects of trading in penny price increments on traders’
order-placement strategies, the display of trading interests, and the execution quality of market …

Traditional price improvement improperly assesses large orders’ execution quality by ignoring
additional liquidity depth-exceeding orders receive at the quoted price and viewing orders …

I address the issue of how decimalization impacts the information acquisition decision of
traders. I show that traders have less of an incentive to improve the quality of their information …