Using audit trail data for a sample of NYSE firms we show that medium-size trades are
associated with a disproportionately large cumulative stock price change relative to their …

We investigate the contribution of option markets to price discovery, using a modification of
Hasbrouck's (1995) “information share” approach. Based on five years of stock and options …

In contrast to most other countries, Chinese foreign class B shares trade at an average discount
of about 60% to the prices at which domestic A shares trade. We argue that one reason …

We develop an integrated model in which a risk-neutral informed trader optimally chooses
any combination of a market buy, a market sell, a limit buy including the limit buy price, and a …

We empirically investigate the evolution of liquidity, as well as the changing strategies of
informed traders, over the course of the trading day. In particular, we empirically examine the …

We examine the determinants of the realized bid-ask spread in the US corporate, municipal
and government bond markets for the years 1995 to 1997, based on newly available …

Prior studies have reported a positive correlation between insider trading and stock price
changes implying that insider (ie, informed) trades affect price discovery differently than non-…

We examine the role of relationships between individuals and their banks in determining
bank switching behavior. Using data from a survey questionnaire from a random sample of …

Newly available transaction data are available for comparison of trading costs in the US
Treasury bond market with US corporate and municipal bond markets. The mean bid-ask spread …

We investigate how price discovery occurs in the options markets through traders' trade size
choice. By employing transactions data on all options traded on a sample of 100 firms, we …