We explain the probability of a trade at the asking price across time. The database contains intraday bidâ€ask quotes and transaction prices on the Australian Stock Exchange. We find systematic patterns in the probability of a trade at the asking price, corresponding to previously documented...

This paper seeks independent confirmation of the research conclusions reached by Sinclair and Whittred (1982) regarding a capital market reaction to the introduction of the Trading Stock Valuation Adjustment (TSVA). This analysis extends and modifies that research and uses the date of the...

This study represents the first empirical examination of the daily trading and portfolio configuration strategies of index and enhanced index equity funds. We document that passive funds benefit from employing less rigid rebalancing and investment strategies. During index revision periods,...

Prior research documents an elevation in bidâ€ask spreads at the open and close of trading in futures markets. These findings directly contradict prior literature examining option and equities markets organised as competitive dealer markets, which also document a widening in spreads at the...

This paper estimates the impact of the debt tax shield, cash dividends and imputation tax credits on the prices of Australian stock index futures. Relative to futures payoffs, the cost of financing the set of shares of the underlying index provides a mild tax shield, cash dividends are...