Purpose – The purpose of this paper is to study the relation between financial analysts’ ratings of firms’ disclosure policies and the intraday pattern in spreads between specialists’ bid and ask price quotes. Design/methodology/approach – Measure of the disclosure policy is based on...

We find adverse-selection spread components increase sharply in the ratio of trade size to quoted depth, and spike when trade size equals quoted depth. We find that two previously documented and prominent indicators of informed trading, raw trade size and high-trading volume half-hours, offer...

This paper examines the association between block ownership and market liquidity. Blockholders are believed to have access to private, value-relevant information via their roles as monitors of firms' operations. consistent with this, we find that firms with greater blockholder ownership, either...