In this paper, we investigate announcement effects and longer-term performance associated with the release of the Forbes’s Best Banks survey. Although the market reacts positively to the announcement, overall event window effects are negative. Raw and risk-adjusted returns are statistically...

The Securities and Exchange Commission (SEC) adopted Rule 605 (formerly Rule 11Ac1-5) on November 15, 2000. The Rule requires market centers to make monthly public disclosure of execution quality. The Rule is intended to achieve a more competitive and efficient national market system by...

In this study we analyze the effect of the security analysis activities on stock market liquidity and execution quality. We show that stocks followed by financial analysts have better market liquidity and execution quality than stocks with no analyst following, and stocks followed by affiliated...

In this study we analyze the effect of order imbalance on the quotation behavior of Nasdaq market makers. We find that Nasdaq market makers use both price and quantity quotes when dealing with order imbalances. However, order imbalance affects only price movement, not spreads. We also find that...

We investigate the role of sellers' commitment power in discouraging consumer search. Theoretically, lack of commitment power transforms sellers' search-deterring claims into cheap talk, eliminating sellers' ability to deter search in some market environments. However, our experiments show...