We explore whether silent information (electronic information flows) affects future price, spread and quoted depth levels in the Nasdaq Stock Market. Controlling for the time-series properties of silent information, past price, volume, electronic communications network (ECN) volume, time-of-day...

We extend the evidence on whether investors impound efficiently into stock prices new disclosures about corporate Ramp;D programs. We find firms that disclose the discontinuation of some of their Ramp;D programs experience a significant negative announcement-period stock price response which is...

For NYSE-listed IPOs, limit order submissions and depth relative to volume are unusually low on the first trading day. Initial buy-side liquidity is higher for IPOs with high quality underwriters, large syndicates, low insider sales, and high pre-market demand, while sell-side liquidity is...

We examine 1,098 Nasdaq firms delisted in 1999-2002 that subsequently traded in the OTC Bulletin Board and/or the Pink Sheets. Market quality deteriorates significantly after delisting: share volume declines by two-thirds; quoted spreads almost triple from 12.1 to 33.9 percent; and effective...

SOES bandits are individual investors who day-trade primarily through Nasdaq's Small Order Execution System (SOES). They attempt to predict short-term price movements of Nasdaq stocks by observing trades and changes in market maker quotes. We find that they usually hold positions for only a few...

We study the effects of alternative halt and reopening procedures on prices, transaction costs, and trading activity for a sample of news-related trading halts on Nasdaq. For intraday halts that reopen after only a five-minute quotation period, inside quoted spreads more than double following...

We test the prevalence, sources and effects of herding among large speculative traders in thirty U.S. futures markets over 2004-2009. Using unique U.S. Commodity Futures Trading Commission (CFTC) data identifying daily trader positions we compare herding among hedge funds and floor market...

We study the effects of alternative halt and reopening procedures on prices, transaction costs, and trading activity for a sample of news-related trading halts on Nasdaq. For intraday halts that reopen after only a five-minute quotation period, inside quoted spreads more than double following...

On May 26 and 27, 1994, several national newspapers reported the findings of Christie and Schultz (1994) who cannot reject the hypothesis that market makers of active NASDAQ stocks implicitly colluded to maintain spreads of at least $.25 by avoiding odd-eighth quotes. On May 27, dealers in...

In Nasdaq IPOs between 1997 and 2002, clients of the lead underwriter bought shares worth $35.36 billion on the first day of public trading but sold shares worth only $21.45 billion, leading to a net buy imbalance of $13.91 billion, or 8.79 percent of the shares issued. The strong net buying...