Recent theoretical work on the bid‐ask spread asserts that the dealer should widen the bid‐ask
spread when he or she suspects that the information advantage possessed by informed …

RESEARCHERS HAVE FOUND THAT trades by corporate insiders yield excess profits (for
example, Finnerty [9] and Jaffe [11]). In an efficient capital market, we should expect other …

This article provides some evidence on the empirical consequences of initiating dividends.
First, it documents that the information content of quarterly earnings announcements …

Financial market transaction costs are of general interest to academic researchers, as well
as being of particular interest with regard to the optimal design and regulation of market …

This paper investigates the relation between security performance and the propensity for
trading by "manager" insiders. The primary empirical model focuses on whether individual firms…

… consistent with previous research (Venkatesh and Morris 2000) and age was coded as a
continuous variable, consistent with prior research (Morris and Venkatesh 2000). Experience …

This paper employs a “transaction” data‐base to study whether observed quote‐revisions are
consistent with those predicted by the adverse selection and inventory cost theories of the …

It is widely recognized that Center for Research in Security Prices (CRSP) returns may differ
from “true” returns because of the bid‐ask effect. Using a large sample of New York Stock …

The ex-dividend day behavior of 26 stocks and their derivative, dividend-oriented securities,
the Americus Trust Primes is examined. From the standpoint of cum-ex traders, the prime …

Risk measurement systems (particularly daily value at risk (VaR) systems) typically reflect a
compromise between the competing objectives of delivering cost-effective and timely but …