This paper investigates the short-run and long-run performance of Australian cross-listed firms relative to their industry rivals. The role of share trading liquidity and firm visibility in explaining abnormal returns is also investigated. In the short run, an abnormal return of 1.91% for...

We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...

The expected return of a strategy that consists of buying underpriced stocks and shorting overpriced ones is substantially larger for illiquid stocks than for liquid ones. This premium can be attributed to the short leg among illiquid stocks, driven by arbitrage asymmetry. The latter effect is...

The empirical literature suggests that the limit order book contains information that might be used by the specialist to his own advantage. I develop a model where there is a strategic specialist who competes against a limit order book and has information about supply. The presence of a...