In this study we analyze the effect of the security analysis activities on stock market liquidity and execution quality. We show that stocks followed by financial analysts have better market liquidity and execution quality than stocks with no analyst following, and stocks followed by affiliated...

The Securities and Exchange Commission (SEC) adopted Rule 605 (formerly Rule 11Ac1-5) on November 15, 2000. The Rule requires market centers to make monthly public disclosure of execution quality. The Rule is intended to achieve a more competitive and efficient national market system by...

In this study we analyze the effect of tick size on information-based trading. Although prior studies provide extensive evidence on the effect of tick size on market quality measures such as spreads, depths, and return volatility, there is little evidence as to the effect of tick size on the...

In this article we analyze the quotation behavior of NASDAQ market makers using individual dealer quote and trade data. We find that the majority (58.2%) of quotes posted by NASDAQ dealers are noncompetitive (i.e., both the bid and ask quotes are not at the inside market) and only 19.5% (18.4%)...

We show that the majority of quotes posted by NASDAQ dealers are noncompetitive and only 19.5% (18.4%) of bid (ask) quotes are at the inside. The percentage of dealer quotes that are at the inside is higher for stocks with wider spreads, fewer market makers, and more frequent trading, and lower...

In this article we show that intraday variation in spreads for Nasdaq-listed stocks has converged to intraday variation in spreads for NYSE-listed stocks after the implementation of the new order handling rules. We attribute this convergence to the Limit Order Display Rule, which requires that...

In this paper we study the quote revision behavior of NASDAQ market makers by analyzing inter-temporal changes in their spread and depth quotes. Using individual dealer quote and trade data for a sample of 2,319 stocks, we find that NASDAQ dealers make more frequent revisions in depths than in...

In this article we show that intraday variation in spreads for Nasdaq-listed stocks has converged to intraday variation in spreads for NYSE-listed stocks after the implementation of the new order handling rules. We attribute this convergence to the Limit Order Display Rule, which requires that...