In theoretical models of limit order books populated with liquidity traders there is a link between order aggressiveness, spreads, and the cost of waiting for execution. We directly test these models using an experimental setting where waiting time is important for traders, namely the...

This study proposes and validates ldquo;other informationrdquo; in analysts' forecasts as a legitimate proxy for future cash flows, and examines its incremental role in explaining stock return volatility. We suggest that ldquo;other informationrdquo; contains information about fundamentals...

Trading is the mechanism of the economist's 'invisible hand;' the means by which price discovery occurs. We use daily shareholdings data from the Australian equities clearinghouse to investigate the impact of the trading imbalances of investor categories on stock returns. Our evidence does not...

We examine the pricing and performance of advisers in Mamp;A transactions. We determine adviser quality on the basis of a contemporaneous market share measure and show that high quality advisers receive higher Mamp;A advisory fees. High quality advisers also complete deals faster, but their...

This paper examines the magnitude and determinants of trading costs for small-cap funds in Australia. The total price impact for these funds is 0.67 (-0.62) percent for purchases (sales). This is significantly larger than costs reported in prior research. No significant asymmetries in the...

Using a representative sample of monthly portfolio holdings and daily trades, this study presents unique evidence of significant stock selection skill amongst institutional small-cap equity managers on a risk-adjusted basis. Of particular importance is the magnitude of the performance generated...

We examine detailed daily Australian Stock Exchange share registry data for investors in IPO and index stocks between 1995 and 2000 and find that the quot;disposition effectquot;, investors' reluctance to crystallise losses and relative eagerness to realise gains, is pervasive across investor...

This paper draws on exploratory research examining the sexual and ageing identities of gay men in England and the way in which these affect welfare needs and service use experiences. In this case, the focus is not upon the research findings per se, but on the research methods used to elucidate...