We examine discrepancies between the Center for Research in Security Prices (CRSP) and Trade and Quote (TAQ) databases by examining the returns of momentum strategies using each database. Momentum portfolios constructed from CRSP prices earn significant profits whereas similar portfolios using...

I examine strategic behavior among dealers in the NASDAQ market and document that there is a lead quote-setting dealer in each security and that the quotes posted by this leader are informative. Other dealers free-ride this information by following the lead quote-setting dealer. The lead dealer...

<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>We evaluate a stock-specific circuit breaker implemented in several European stock exchanges, which consists of a short-lived call auction triggered by intraday stock-specific price limits. It differs from U.S. trading halts in that it is short-lived and nondiscretionary, and a trading...