• Publications
  • Influence
Following the Pied Piper: Do Individual Returns Herd around the Market?
Do equity returns indicate the presence of herd behavior on the part of investors during periods of market stress? To test this proposition, the cross-sectional standard deviation of returns, orExpand
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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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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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Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities
This article examines the intraday pattern of bid-ask spreads among NASDAQ stocks. We find that spreads are relatively stable throughout the day but narrow significantly near the close. ThisExpand
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Dividend yield and expected returns *1: The zero-dividend puzzle
Abstract Previous research examining the relation between dividend yield and equity returns documents a U-shaped pattern arising from the positive CAPM-adjusted average excess return of zero-dividendExpand
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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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Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?
On May 26 and 27, 1994, several national newspapers reported the findings of W. Christie and P. Schultz (1994) who cannot reject the hypothesis that marketmakers of active NASDAQ stocks implicitlyExpand
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Market Structures and Liquidity: A Transactions Data Study of Exchange Listings
This paper examines the change in trading costs for firms that choose to move from a dealer market to a specialist system. Using transactions data, our empirical results reveal structurally inducedExpand
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The initiation and withdrawal of odd-eighth quotes among Nasdaq stocks: an empirical analysis ☆
Christie and Schultz (1994), (Journal of Finance, 49, 1813}1840) "nd that market makers in many active Nasdaq stocks avoid odd-eighth quotes. This paper studies 67 (58) Nasdaq stocks whose marketExpand
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Market Microstructure of the Pink Sheets
We study the microstructure of the Pink Sheets and assess the ability of existing theory to capture salient features of this relatively unstructured and unregulated market. Clustering patterns inExpand
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