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- Publications
- Influence
A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices
- Shane A. Corwin, P. Schultz
- Economics
- 1 April 2012
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 its… Expand
Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes?
- W. Christie, P. Schultz
- Business
- 1 December 1994
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 are… Expand
The Role of IPO Underwriting Syndicates: Pricing, Information Production, and Underwriter Competition
- Shane A. Corwin, P. Schultz
- Business
- 2003
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 in… Expand
Corporate Bond Trading Costs: A Peek Behind the Curtain
- P. Schultz
- Economics
- 1 April 2001
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 of… Expand
Unit initial public offerings *1: A form of staged financing
- P. Schultz
- Business, Economics
- 1 October 1993
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
Options and the Bubble
- Robert H. Battalio, P. Schultz
- Economics
- 1 October 2006
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 reasonable… Expand
Liquidity: Urban Versus Rural Firms
- T. Loughran, P. Schultz
- Economics
- 1 November 2005
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 covered… Expand
Regulatory Uncertainty and Market Liquidity: The 2008 Short Sale Ban's Impact on Equity Option Markets
- Robert H. Battalio, P. Schultz
- Economics
- 1 December 2011
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
Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks
- M. Barclay, W. Christie, J. Harris, E. Kandel, P. Schultz
- Economics
- 1 February 1999
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 began… Expand
Pseudo Market Timing and the Long-Run Underperformance of IPOs
- P. Schultz
- Economics
- 1 April 2003
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. The… Expand