Using a rich dataset of orders and trades for a sample of stocks listed on the four European markets of NYSE Euronext, we apply principal component analysis and provide evidence on the existence and magnitude of commonality in returns, order flow and liquidity. We show that commonality in order...

Using a rich dataset of orders and trades for a sample of stocks listed on the four European markets of NYSE Euronext, we apply principal component analysis and provide evidence on the existence and magnitude of commonality in returns, order flow and liquidity. We show that commonality in order...

In our decade-long international study of controversial publicly-traded companies in tobacco, alcohol, and gambling industries, we find that their performance is distinctly influenced by the legal framework compared to their non-controversial peers. Not only controversial firms do not outperform...