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A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices
We develop a bid-ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the high-low ratio reflects both the stock’s variance and itsExpand
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Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes?
The NASDAQ multiple dealer market is designed to produce narrow bid-ask spreads through the competition for order flow among individual dealers. However, the authors find that odd-eighth quotes areExpand
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The Role of IPO Underwriting Syndicates: Pricing, Information Production, and Underwriter Competition
We examine syndicates for 1,638 IPOs from January 1997 through June 2002. We find strong evidence of information production by syndicate members. Offer prices are more likely to be revised inExpand
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Corporate Bond Trading Costs: A Peek Behind the Curtain
In this paper, I use institutional corporate bond trade data to estimate transactions costs in the over-the-counter bond market. I find average round-trip trading costs to be about $0.27 per $100 ofExpand
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Unit initial public offerings *1: A form of staged financing
Abstract Units are bundles of common stock and warrants. By selling initial public offerings (IPOs) of units, firms precommit to sell more stock in the future at the warrant's exercise price.Expand
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Options and the Bubble
Many believe that a bubble existed in Internet stocks in the 1999 to 2000 period, and that short-sale restrictions prevented rational investors from driving Internet stock prices to reasonableExpand
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Liquidity: Urban Versus Rural Firms
Our paper examines the impact of geographic location on liquidity for U.S. rural- and urban-based companies. Even after adjusting for size and other factors, rural firms trade much less, are coveredExpand
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Regulatory Uncertainty and Market Liquidity: The 2008 Short Sale Ban's Impact on Equity Option Markets
We examine how the confusion and regulatory uncertainty generated by the imposition of short sale restrictions in September 2008 impacted equity option markets. We uncover three primary findings.Expand
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Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks
The relative merits of dealer versus auction markets have been a subject of significant and sometimes contentious debate. On January 20, 1997, the Securities and Exchange Commission beganExpand
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Pseudo Market Timing and the Long-Run Underperformance of IPOs
Numerous studies document long-run underperformance by firms following equity offerings. This paper shows that underperformance is very likely to be observed "ex-post" in an efficient market. TheExpand
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