Using a carefully constructed matched sample of control (nondecimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that the quoted depth as well as the quoted and effective bid-ask spreads declined significantly following...

Using high-frequency data and a carefully constructed 1-1 matched sample of control (non-decimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that both quoted and effective bid-ask spreads and depths have declined...

Using audit trail data for a sample of NYSE firms, we show that medium size trades are associated with a disproportionately large cumulative stock price change relative to their proportion of all trades and volume. This result is consistent with the predictions of the stealth- trading hypothesis...

Using synchronous transactions data for IBM from the New York, Pacific, and Midwest Stock Exchanges, we estimate an error correction model to investigate whether each of the exchanges is contributing to price discovery. Johansen's test yields two cointegrating vectors, which together verify the...

In deciding pricing responses to the entry of Low-Cost Competitors (LCCs), revenue managers at incumbent airlines find it crucial to estimate accurately the market demand stimulation available at reduced price points. Traffic apparently stimulated by the entry of an LCC is often diverted from...

In both entry deterrence theory and practice, customer sorting in response to stockouts determines the best reply responses of incumbents threatened by entry. People Express (PE) chose the right strategy but for the wrong entry game and ended up being deterred in the Southeast region by the...