This paper investigates the determinants of price quote revisions on the London Stock Exchange for a sample of highly liquid stocks over a two week settlement period in September 1990. In our theoretical model the level of optimal price quotes set by market makers are a function of the expected...

This paper proposes a panel-based mean group test for the null of stationarity against the alternative of unit roots in the presence of both heterogeneity across cross-section units and serial correlation across time periods. Using both sequential and joint asymptotic analyses the proposed test...

There has been a large anomaly literature where firm specific characteristics such as earnings-to-price ratio and book-to-market ratio as well as size help explain cross sectional returns. These anomalies that have been attributed to market inefficiency could be the result of a misspecification...

This paper proposes a nonlinear panel data model which can endogenously generate both ‘weak’ and ‘strong’ cross-sectional dependence. The model’s distinguishing characteristic is that a given agent’s behaviour is influenced by an aggregation of the views or actions of those around...