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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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The Determinants of Underpricing for Seasoned Equity Offers
Seasoned offers were underpriced by an average of 2.2 percent during the 1980s and 1990s, with the discount increasing substantially over time. The increase appears to be related to Rule 10b-21 andExpand
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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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Measuring Investors ’ Opinion Divergence
Numerous proxies for divergence of investors’ opinions have been suggested in the empirical accounting and finance literatures. I offer a new proxy constructed from proprietary limit order and marketExpand
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Limited Attention and the Allocation of Effort in Securities Trading
While limited attention has been analyzed in a variety of economic and psychological settings, its impact on financial markets is not well understood. In this paper, we examine individual NYSEExpand
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Order Flow and Liquidity around NYSE Trading Halts
We study order flow and liquidity around NYSE trading halts. We find that market and limit order submissions and cancellations increase significantly during trading halts, that a large proportion ofExpand
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NASDAQ Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs
We study the effects of alternative halt and reopening procedures on prices, transaction costs, and trading activity for a sample of news-related trading halts on Nasdaq. For intraday halts thatExpand
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The Initial Listing Decisions of Firms that Go Public
We analyze the initial listing decisions of IPOs that qualify for New York Stock Exchange listing. We find that IPOs are more likely to list on the exchange where their industry peers are listed.Expand
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Differences in Trading Behavior Across NYSE Specialist Firms
Using a sample of NYSE-listed equities from 1992, this study examines whether market maker performance differs across specialist firms. We find that spreads and depth differ across specialist firms,Expand
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Order Characteristics and the Sources of Commonality in Prices and Liquidity
Using electronic order flow data for a sample of NYSE-listed stocks, we examine the relative importance of program traders, institutional traders, retail traders, and exchange members in drivingExpand
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