This paper provides evidence that floor brokers add value that helps offset the higher cost of accessing the trading floor, making it a desirable venue for orders requiring more careful handling. We compare execution costs of non-block trades handled by Amex floor brokers with trades entered...

The paper models the process of quote setting and price formation in a non-intermediated order driven market where trading is driven by (1) differences in valuation among investors and (2) the arrival of new information. We show that a positive spread exists in an order driven market even in the...

This paper assesses the value of order timing in equity trading, with particular focus on the working of quot;not heldquot; orders by floor brokers. To this end, we examine trades on the American Stock Exchange (Amex) using October 1996 proprietary trade and quote data for 838 stocks....

This paper provides evidence on the economic significance of U.S. stock return predictability within an asset allocation framework in a real-time context. We examine the performance of a Bayesian, risk averse investor (the mutual fund investor) who relies on conditioning information (e.g.,...

The paper analyzes the rationale for and profitably of limit order trading. Although limit orders are essential to the functioning of order driven markets, their use has received relatively little attention in the literature. Trading via limit order is, in fact, sub-optimal when transaction...

We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...

We present resiliency as a measure of liquidity, and assess its relationship to expected returns. We establish a covariance-based measure, RES, that captures opening period resiliency and, using it, find a significant non-resiliency premium that ranges from 33 to 57 basis points per month. The...

We show that equity markets are typically two-sided and that trades cluster in certain trading intervals for both NYSE and Nasdaq stocks under a broad range of conditions - news and non-news days, different times of the day, and a spectrum of trade sizes. By quot;two-sidedquot; we mean that the...