This article examines the relation between two factors affecting stock returns, the bid-ask spread and price discreteness, and the increase in return variance after ex-dates of stock splits and stock dividends. Controlling for these effects, the variance of daily returns still increases...

We investigate the effect of asymmetric information on prices and liquidity by analyzing trades, quotes, spreads, and depths. Information content should increase with trade size and the information asymmetry of the trading period. Results show that price and liquidity effects are significantly...

We use daily short-selling data to examine whether short selling around seasoned equity offerings (SEOs) reflects informed or manipulative trading. Around SEO announcements, we find no evidence of informed short selling. Around issue dates, higher levels of pre-issue short selling are...

We study a dynamic model where uncertainty about interim output adjustments causes producers to face price, cost and output uncertainty. Stochastically separable production decisions are independent of the producer's risk preferences and expectations and are based on the prevailing futures price...