While the majority of market microstructure studies deals with the behavior of frequently traded stocks, the focus of this paper is on illiquid securities listed on the NYSE. Using high frequency data on ten infrequently traded stocks during the year 1999, we measure the information content of a...

While the majority of market microstructure studies deals with the behavior of frequently traded stocks, the focus of this paper is on illiquid securities listed on the NYSE. Using high frequency data on ten infrequently traded stocks during the year 1999, we measure the information content of a...

This study investigates the effects of banking deregulation on county-level economic growth in the U.S. during the 1970–2000 period. Our main contribution to the literature is that we analyze both the direct and external effects of banking deregulation on local economic growth. For the regions...

We propose a new identification strategy for the quadratic regression model with classical measurement error, based on higher-order moment conditions. Our novel approach contributes to the literature in two ways: by not requiring any side information (such as a known measurement-error variance,...

This paper is the first to analyze the price effects of equity trading by a pension fund. We find that, on average, these effects are non-negligible: 20 basis points for buys and 26 basis points for sells. Furthermore, we show that (relative) trade size and market capitalization commonly found...

Contents: Part I. Measurement of financial-sector competition -- 1. Market power: competition among measures / Sherrill Shaffer and Laura Spierdijk -- 2. The Panzar-Rosse revenue test and market power in banking: an empirical illustration / Sherrill Shaffer and Laura Spierdijk -- 3. Adapting...