We empirically demonstrate that the opportunities the Boston Stock Exchange and the Cincinnati Stock Exchange offer members to take the other side of their customers' orders through affiliated market makers (to internalize orders) have little short-run effect on posted or effective bid-ask...

We examine the impact deciding to route limit orders away from the New York Stock Exchange (NYSE) has on three dimensions of execution quality with methodologies controlling for market conditions and order submission strategies. Overall differences in limit order execution quality between...

How does increased noise trading affect market liquidity and trading costs? We use "The Wall Street Journal"'s "Investment Dartboard" column, which stimulates noise trading, as a natural experiment to evaluate models of the bid-ask spread. We find that substantial increases in trading volume and...

Capacity constraints limit the profits of some investment strategies, while other strategies are more scalable. We develop a dollar-weighted return measure that parses the factor timing by investors and a strategy's capacity constraints. We find that actively managed funds exhibit significant...

We examine the market response to quarterly earnings announcements made during trading and non-trading hours on the NYSE and the NASDAQ. For non-trading-hours announcements, the opening trade on the NYSE impounds most of the price response, whereas for trading-hours announcement trades. In...

We investigate how market competition and corporate governance affect a firm's cost of equity and debt. We find firms with better corporate governance have a lower cost of equity and cost of debt. However, we find that the negative relation between cost of capital and governance primarily holds...

We examine financial analysts' earnings revisions after self-tender offers. Consistent with the assertions of earlier studies that self-tender offers signal future performance, financial analysts significantly increase their forecasts of earnings for firms that announce self-tender offers....