We examine the impact of market maker concentration on adverse-selection costs for NASDAQ stocks and find that more market makers results in lower costs. Furthermore, this reduction in adverse selection exceeds the overall reduction in spreads that is attributable to market maker competition. We...

We examine clustering of transaction prices in a sample that contains high-frequency trading firms’ transactions. We separate our sample into four categories: transactions with a high-frequency trading firm on both sides of the transaction, on only one side of the transaction (either liquidity...

We document trade price clustering in the futures markets. We find clustering at prices of x.00 and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout time to maturity of these contracts, there is a dramatic change when the S&P 500 futures contract is...

We present an analysis of clientele trading effects in response to the widespread dissemination of public information. Employing analyst recommendations published in the Wall Street Journal's Dartboard column as the informational stimulus and the NYSE's trades and quotes (TAQ) transactions...