We construct a long daily panel of short sales using proprietary NYSE order data. From 2000 to 2004, shorting accounts for more than 12.9% of NYSE volume, suggesting that shorting constraints are not widespread. As a group, these short sellers are well informed. Heavily shorted stocks...

We show that market-maker balance sheet and income statement variables explain time variation in liquidity, suggesting liquidity-supplier financing constraints matter. Using 11 years of NYSE specialist inventory positions and trading revenues, we find that aggregate market-level and specialist...

This paper presents the authors' investigation of the factors that determine secondary market prices of developing country syndicated loans. Trading volume in this market has almost doubled yearly from 1985 to 1988, while average market prices declined from 73 percent to 41 percent of par value...

We study pre-trade transparency by looking at the introduction of NYSE's OpenBook service that provides limit-order book information to traders off the exchange floor. We find that traders attempt to manage limit-order exposure: They submit smaller orders and cancel orders faster. Specialists'...

We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic volatility relative to the <link rid="b29">Fama and...

We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the data covariance structure better than the popular <link rid="b36">Heston-Rouwenhorst (1994)</link> model. We then...