This paper addresses the issue of the optimal trading system for less actively traded stocks. Several studies have examined the quality and performance of alternative market structures for actively traded stocks. However, very few empirical studies compare the performance of different market...

We assess the market microstructure properties of U.S. banking firms? equity, to determine whether they exhibit more or less evidence of asset opaqueness than similar-sized nonbanking firms. The evidence strongly indicates that large banks (traded on the NYSE) have very similar trading...

Underwriters using bookbuilding have discretionary power for allocating shares of initial public offerings (IPOs). Commissions paid to underwriters by investors are one of the determinants of IPO allocations. We test the hypothesis that investors trade liquid stocks in order to affect their IPO...

We present a methodology that uses the mixed jump-diffusion model for stock returns to estimate the separate effects of information surprises and strategic trading around corporate events. Using simulation techniques, we show that for events with multiple announcements spread over a long time,...

An important group of traders in the foreign exchange market are governments who often adhere to a foreign exchange rate policy of occasional interventions with otherwise floating rates. In this paper, we provide a theoretical model and empirical evidence that government foreign exchange...

This paper examines the degree of anonymity -- the extent to which a trader is recognized as informed or not -- on alternative market structures. We find evidence that is consistent with less anonymity on the NYSE specialist system compared to the NASDAQ dealer system. Specifically, when...

This paper examines the degree of anonymity - the extent to which a trader is recognized as informed or not - on alternative market structures. We find evidence that is consistent with less anonymity on the NYSE specialist system compared to the NASDAQ dealer system. Specifically, when corporate...

Funding risk measures the extent to which a fund can borrow money by posting collateral. Using a novel measure of funding risk based on futures margins, we are able to empirically identify the mechanism by which changes in funding risk affect the likelihood of contagion. An increase in margins...