This paper provides an analysis of the equity-market effects of a substantial increase in individual shareholder participation in the market for a firm. The data are based on reductions in lot sizes or Minimum Trade Units (MTUs) on the Tokyo Stock Exchange (TSE). There is a shift in order flow...

The yen provided foreign exchange market participants with 'once-in-a-generation' volatility movements in 1998. For instance, after many months of uneven yen depreciation a remarkable period of yen appreciation was experienced where, in one two-day period, the U.S. dollar dropped in value by 20...

Distributionally robust optimization (DRO) has arose as an important paradigm to address the issue of distributional ambiguity in decision optimization. In its standard form, DRO seeks an optimal solution against the worst-possible expected value evaluated based on a set of candidate...

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets. We carry out a comprehensive analysis using tick data that cover 1183 stocks from 21 emerging markets, while also comparing various low-frequency liquidity proxies with...

Purpose: This paper focuses on execution costs as liquidity measure. Execution costs are related to volatility and are an important component of a firm’s cost of capital. The purpose of this paper is to examine whether emerging market firms have lower execution costs when they face less...

Purpose: For most companies, growth measures such as asset growth are positively correlated with accrual measures. Just like investment in fixed assets, current accrual represents one form of investment and is an integral part of a firm’s business growth. This makes it difficult to...