The authors explore strategic trade in short‐lived securities by agents who have private information that is potentially long‐term, but do not know how long their information will remain private. Trading short‐lived securities is profitable only if enough of the private information becomes...

sing 1998 trade and quote data for securities listed on the Toronto Stock Exchange, this paper employs nonparametric estimation to measure the effect of being interlisted on a US exchange on: (i) the daily number of trades, trading volume, and dollar trading volume; (ii) the number of inside...

This study evaluates the efficiency of cross hedging with the new single stock futures (SSF) contracts recently introduced in the United States. We use matched sample estimation techniques to select SSF contracts that will reduce the basis risk of crossing hedging and will yield the most...

We explore strategic trade in short-lived securities by agents who possess long-term information. Trading short-lived securities is profitable only if enough of the private information becomes public prior to contract expiration; otherwise the security will worthlessly expire. We highlight how...

We examine current areas of concern in the regulation of secondary trading markets, including questions concerning market fragmentation, protected orders, minimum tick size, maker-taker pricing models, transparency and dark liquidity, algorithmic and high-frequency trading, the duties and...

We examine a fund manager's alleged manipulation of platinum and palladium futures settlement prices. Using benchmarks from parallel electronic markets, we find that the manager's market-on-close trading causes significant settlement price artificiality. Defying predictions that competition...

Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies of trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our measures (i) better capture institutional trading costs; and...

I examine three research themes related to the potential manipulation of closing prices. First, I examine the incentives for mutual fund and hedge fund managers to inflate the closing prices of their existing holdings by trading near the close on the last trading day of key performance...

We develop measures of stock-specific trading activity based on durations of sequences of consecutive trades with fixed cumulative values. Trade sizes and signed-trade imbalances rise with activity, while price impacts generally fall, but not always, due to endogenous variation in liquidity...

This study evaluates the efficiency of cross hedging with single stock futures (SSF) contracts. We propose a new technique for hedging exposure to an individual stock that does not have options or exchange-traded SSF contracts written on it. Our method selects as a hedging instrument a portfolio...