Recent contributions to microstructure theory hint at commonalities in the price-depth pairs which constitute the open limit order book. In this paper we provide empirical evidence that indeed a small number of latent factors, two for each side of the book, capture most of the variation in the...

Liquidity co-movements are studied within three different market capitalization indices, each made up of 100 NYSE stocks. Long-run liquidity co-movements are quantified in each class and compared to short-run liquidity co-movements. To condition the analysis of systematic liquidity upon index...

Using a detailed sample made up of more than 20,000 investment rounds, we analyze the time to 'IPO', 'trade sale' and 'liquidation' for about 6,000 venture backed firms. We model these exit times using competing risks models. Biotech and internet firms have the fastest IPO exits. Internet firms...

The predictability of stock returns in ten countries is assessed taking into account recently developed out-of-sample statistical tests and risk-adjusted metrics. Predictive variables include both valuation ratios and interest rate variables. Out-of-sample predictive power is found to be...

This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of...