Abstract: We examine investor order choices using evidence from a recent period when the NYSE trades in decimals and allows automatic executions. We analyze the decision to submit or cancel an order or to take no action. For submitted orders, we distinguish order type (market vs. limit), order...

Do fast, competitive markets yield liquidity measurement problems when using the popular Monthly Trade and Quote (MTAQ) database? Yes. MTAQ yields distorted measures of spreads, trade location, and price impact compared with the expensive Daily Trade and Quote (DTAQ) database. These problems are...

This paper provides evidence that stock traders focus on round numbers as cognitive reference points for value. Using a random sample of more than 100 million stock transactions, we find excess buying (selling) by liquidity demanders at all price points one penny below (above) round numbers....

I develop new spread proxies that pick up on three attributes of the low-frequency (daily) data: (1) price clustering, (2) serial price covariance accounting for midpoint prices on no-trade days, and (3) the quoted spread which is available on no-trade days. I develop and empirically test two...

I examine the acceptance time (i.e., the time that eventually-published articles take from first-round submission to final-round acceptance) and the online/print publication times (i.e., the time that eventually-published articles take from first-round submission to online/print publication) of...

Performance share plans are an increasingly important component of executive compensation. They are equity-based, long-term incentive plans where the number of shares to be awarded is a quasi-linear function of a performance result over a fixed time period. We derive closed-form formulas for the...

Chinese Interbank Foreign Exchange trading was originally conducted through a centralized, anonymous limit order book (LOB). We determine the impact of the introduction of a parallel decentralized over-the-counter (OTC) market. We find that: (1) most trading migrated to the OTC, (2) the LOB...

Liquidity plays an increasingly important role in empirical asset pricing, market efficiency, and corporate finance. Identifying high quality proxies for liquidity based on daily data only (not intraday data) would permit liquidity to be studied over relatively long timeframes and across many...

Liquidity plays an important role in global research. We identify high quality liquidity proxies based on low-frequency (daily) data, which provide 1,000X to 10,000X computational savings compared to computing high-frequency (intraday) liquidity measures. We find that: (1) Closing Percent Quoted...