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...

We infer motives for trade initiation from market sidedness. We define trading as more two-sided (one-sided) if the correlation between the numbers of buyer- and seller-initiated trades increases (decreases), and assess changes in sidedness (relative to a control sample) around events that...

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 summarizes the responses to a questionnaire sent to equity traders through TraderForum of the Institutional Investor. The respondents manage in total a very significant percentage of equity assets under management in the United States. The focus of the questions was the extent of the...

We demonstrate that the process of discovering efficient values in equity trading introduces noise in prices. Noise plays an important role in theoretical microstructure literature, and empirical studies have documented high, U-shaped intra-day volatility that is a manifestation of noise. While...