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...

In this paper, we investigate the impact of the changes in European percentage sales before and after the Euro crisis for both US‐based and European‐based companies, both overall and across industries. We find that larger firms are associated with a decrease in return on assets (ROAs) in the...

“Issues in Benchmarking Commodity Performance” is a chapter for the book Commodities: Markets, Performance, and Strategies edited by H. Kent Baker, Greg Filbeck, and Jeffrey H. Harris. The book provides a detailed look at physical commodity markets and the investment vehicles available to...

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...

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...