This paper examines the impact of institutional trades on volatility in international stocks across 43 countries. There is a temporary volatility spike during the trade execution period, merely reflecting the price impact costs faced by the institutions. Cross sectional regressions suggest that...

This study characterizes institutional trading in international stocks from 37 countries during 1997 to 1998 and 2001. We find that the underlying market condition is a major determinant of the price impact and, more importantly, of the asymmetry between price impacts of institutional buy and...

Using high-frequency data and a carefully constructed 1-1 matched sample of control (non decimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that decimalization has resulted in significantly lower quoted and effective...

During the Flash Crash on May 6, 2010, a short period of high stock market volatility, some stock prices declined to $0.01, while others increased to $100,000. Examining Intermarket Sweep Orders (ISO) before, on, and after May 6, we find that ISO use is substantially higher on May 6. For those...

We examine the time-series relation between aggregate bid-ask spreads and conditional equity premium. We document that average market-wide relative effective bid-ask spreads forecast aggregate market returns only when controlling for average idiosyncratic variance. This control allows us to...

Two hypotheses have been advanced to explain why spreads on Nasdaq were substantially higher than those on the NYSE in the 1990s - quot;collusionquot; and quot;preferencing and payment for order flow.quot; We present data on all actively traded stocks of relative effective spreads (RES) on these...

Two hypotheses have been advanced to explain why spreads on NASDAQ were substantially higher than those on the NYSE in the 1990s: quot;collusionquot; and quot;preferencing and payment for order flowquot;. We present data on all actively traded stocks in these markets of relative effective...

This study examines the impact of Regulation Fair Disclosure (FD) on liquidity, information asymmetry, and institutional and retail investors trading behavior. Our main findings suggest three conclusions. First, Regulation FD has been effective in improving liquidity and in decreasing the level...

In a single market, liquidity supply has two dimensions--price measured by the quoted spread, and quantity measured by the quoted depth. A third liquidity dimension, market breath, should be added when multiple markets quote the same security and there are enforceable regulatory penalties for a...