Using transactions data, the behavior of returns and characteristics of trades at the micro
level is examined. A minute‐by‐minute market return series is formed and tested for normality …

The behavior of time‐weighted bid–ask spreads over the trading day are examined. The
plot of minute‐by‐minute spreads versus time of day has a crude reverse J‐shaped pattern. …

Using synchronous transactions data for IBM from the New York, Pacific, and Midwest Stock
Exchanges, we estimate an error correction model to investigate whether each of the …

A question invariably recurs in discussions about corporate reputation: are they cause,
consequence, or epiphenomenon? That is: do they have an independent causal effect on …

VECMs can detect trades that permanently move the markets in cross-listed stocks. We
employ Gonzalo and Granger's (J. Business Econom. Stat. 13 (1995) 1) reduced-rank …

… While Filer, Maital and Simon, and McInish found a negative relationship between Rotter
score and beta, other studies have concluded that the middle range of Rotter scores are not …

In this paper we suggest that market makers deduce the extent of the adverse selection
problem associated with a stock (and set up the bid-ask spread accordingly) by observing how …

Using data from Singapore and Malaysia for the period 1988–1996, this paper examines the
relationship between stock returns and beta, size, the earnings-to-price ratio, the cash flow-…

We investigate competition between traditional stock exchanges and new dark trading
venues using an important difference in regulatory treatment. Securities and Exchange …

Using transactions data for all stocks traded on the Toronto Stock Exchange, this study shows
that returns and number of shares traded have a U-shaped pattern when plotted against …