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How Well Do Adverse Selection Components Measure Adverse Selection
The performance of five adverse selection models are examined by comparing their component estimates to other measures of information asymmetry and informed trading. The models produce mixed results.Expand
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The structure of ownership and corporate acquisition strategies
In this study, we examine in an agency-theoretic context the influence of executive equity stakes upon corporate strategy and firm value. We argue that beneficial, risk-increasing corporateExpand
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Reassessing the Impact of Option Introductions on Market Quality: A Less Restrictive Test for Event-Date Effects
Prior research concludes that option introductions improve the average liquidity of the underlying stocks. We develop an improved, generalizable test to assess whether market quality changes occur onExpand
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What Drives the S&P 500 Inclusion Effect? An Analytical Survey
We present an analytical survey of the explanations—price pressure, downward-sloping demand curves, improved liquidity, improved operating performance, and increased investor awareness—for theExpand
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Competition in the Market for Nasdaq Securities
The study investigates competition in the market for NASDAQ stocks during a recent period in US equity markets history when three major Electronic Communication Networks (ECNs)--Archipelago, Island,Expand
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Trading Costs and Quote Clustering on the NYSE and NASDAQ after Decimalization
We examine execution costs and quote clustering on the New York Stock Exchange (NYSE) and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the mean spread of NASDAQ stocksExpand
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Clustering in the futures market: Evidence from S&P 500 futures contracts
We document trade price clustering in the futures markets. We find clustering at prices of x.00 and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout time toExpand
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Short Selling and Intraday Price Pressures
We study episodes of significant intraday downward price pressures in individual stocks and find that price declines during such episodes are driven mainly by liquidity demanding nonshort volume.Expand
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Is the Adverse Selection Component Really Higher on the NYSE/Amex than on the Nasdaq?
Affleck-Graves, Hegde and Miller (1994) find that the adverse selection component of the bid-ask spread is higher for NYSE and Amex stocks than for Nasdaq stocks. Using the model of Huang and StollExpand
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