Previous studies find positive stock market reactions around announcements that hedge funds own large equity stakes in companies and use this evidence to support the hypothesis that hedge fund activism creates value. A concurrent explanation is that the price reaction reflects, at least in part,...

The R-square of the market model is a very popular measure of stock price efficiency. However, its interpretation is far from being unambiguous. Some scholars argue that the R-square is a direct measure of efficiency, others argue that the R-square is an indirect measure of efficiency. This...

This study develops and empirically tests a simple market microstructure model to capture the main determinants of option bid‐ask spread. The model is based on option market making costs (initial hedging, rebalancing, and order processing costs), and incorporates a reservation bid‐ask spread...

This paper investigates the intraday effects on market quality of a unique trading suspension mechanism in place at the Italian stock market (Borsa Italiana) in case of price limit hit. Specifically, when prices hit the limit, Borsa Italiana halts trading for 5 minutes ('freeze phase') and...

MiFID regulation aims at protecting investors and promoting competition across securities markets in the European Union. The measurement of trade execution quality is crucial to achieve such goals. Traders will direct order flow towards more efficient venues only if compare trade execution...

"In this paper we perform regression-based tests for mean-variance spanning in order to detect the effect of investing in euro area small capitalisation stocks on the minimum variance frontier, and apply different measures to assess the extent of diversification gains. Empirical analysis shows...

Purpose – The purpose of this paper is to evaluate how markets in financial instruments directive (MiFID) and regulation national market system (Reg NMS) affect the competition for order flow among trading venues in, respectively, Europe and the USA. Design/methodology/approach – The paper...

In this paper we study the bid--ask spread of covered warrants, which are securitized derivatives also referred to as bank-issued options. We find that most of the factors affecting the size of the bid--ask spread for covered warrants are common to those affecting the bid--ask spread of regular...

We perform an empirical analysis to identify the main factors driving the liquidity of corporate and government bonds both in ordinary times and in times of market turmoil. Our findings highlight the importance of credit ratings, amount issued and bond duration as factors affecting bond...