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 show that estimates of adverse selection in the bid-ask spread obtained using methodologies based on Glosten (1987) can be expressed as a weighted average of adverse selection calculated using continuations (successive trades in the same direction) and reversals (successive trades in opposite...

This paper investigates the trading behavior of institutional investors immediately prior to the release of analysts' initial buy and strong buy recommendations. Using a proprietary database of institutional trading activity from the Plexus Group, we document abnormally high trading volume and...

We explore factors affecting liquidity by examining the relation between liquidity changes and changes in firm characteristics around mergers and acquisitions. We find that spreads decline as the number of analysts, number of shareholders, number of market makers, firm size, and volume increase...

We compare institutional execution costs across the major U.S. exchanges using a sample of institutional equity orders in firms that switch exchanges. Execution costs including commissions are essentially indistinguishable across these exchanges. We also find the fraction of trading volume from...

In June 1997, the New York Stock Exchange (NYSE) lowered its minimum price increment on most stocks from eighths to sixteenths. Like other researchers investigating similar events, we find that quoted spreads and effective spreads decline with the introduction of sixteenths. However, spreads do...

Recent papers have debated whether the negative correlation between measures of firm asset growth and subsequent returns is of little importance since it applies only to small firms, justified as compensation for risk, or evidence of mispricing. We show that the asset growth effect is pervasive...

We examine the relation between equity market liquidity and capital structure. We find that firms with more liquid equity have lower leverage and prefer equity financing when raising capital. For example, after sorting firms into size quintiles and then into liquidity quintiles, the average...

Using electronic order flow data from November 1997 through February 1998 for a random sample of 100 NYSE stocks, we examine the relative importance of program traders, institutional traders, retail traders, and exchange members in driving commonality in order flow, returns, and liquidity for...

We compare institutional execution costs across the major U.S. exchanges using a sample of institutional equity orders in firms that switch exchanges. Execution costs including commissions are essentially indistinguishable across these exchanges. We also find the fraction of trading volume from...