Abstract: We examine investor order choices using evidence from a recent period when the NYSE trades in decimals and allows automatic executions. We analyze the decision to submit or cancel an order or to take no action. For submitted orders, we distinguish order type (market vs. limit), order...

Liquidity plays an increasingly important role in empirical asset pricing, market efficiency, and corporate finance. Identifying high quality proxies for liquidity based on daily data only (not intraday data) would permit liquidity to be studied over relatively long timeframes and across many...

We develop a model that accounts for medium-term continuation (momentum) in asset returns by analyzing information acquisition about news events (such as earnings announcements) in a multiperiod setting. As more and more agents become informed about news events, temporal uncertainty is resolved...

We develop an integrated model in which a risk neutral informed trader optimally chooses any combination of: a market buy, a market sell, a limit buy including the optimal limit buy price, and a limit sell including the optimal limit sell price. We allow orders to cross with one another without...

We develop an integrated model in which a risk neutral informed trader optimally chooses any combination of: a market buy (MB), a market sell (MS), a limit but (LB) including the optimal limit buy price, and limit sell (LS) including the optimal limit sell price. With minimal distributional...

Unlike previous studies that examine how emerging market return volatility changes subsequent to stock market liberalization, this paper investigates the impact of investibility, or the degree to which a stock can be foreign-owned, on emerging market volatility. We find a positive relation...

This study celebrates the tenth anniversary of the Pacific-Basin Finance Journal with a retrospective evaluation. We review the mission of the Journal and survey the editorial and review policies of the Journal, including special issues as well as those associated with the annual conference of...

We examine the effect of information asymmetry on equity prices in the local A- and foreign B-share market in China. We construct measures of information asymmetry based on market microstructure models, and find that they explain a significant portion of cross-sectional variation in B-share...

This study analyzes the detailed equity holdings of over 20,000 mutual funds from 26 developed and developing countries. Of particular interest is that we examine how this huge number of funds allocates their money between domestic and foreign equity markets and what factors determine the...

We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern--one that declines sharply after...