… Bacidore is a doctoral candidate in finance at Indiana University. John A. Boquist is the
Edward E. … Over any period of time, t, the shareholder return for firm j can be specified as …

We examine how the intrinsic differences between US and non-US stocks affect market
participants and the market quality of non-US stocks relative to US stocks. Using proprietary data …

I address the “decimalization” debate, ie, whether trading on cent ticks rather than fractions
of a dollar reduces trading costs without diminishing liquidity. I use Toronto Stock Exchange …

We use NYSE system order data to conduct a controlled experiment examining changes in
trader behavior, displayed liquidity supply, and execution quality around the reduction in the …

Traditional price improvement improperly assesses large orders’ execution quality by ignoring
additional liquidity depth-exceeding orders receive at the quoted price and viewing orders …

… The third Measure j takes a value of one if the non-US stock in stock-pair j receives a LLSV …
For the final Measure j , we assign a value of one if the non-US stock in stock-pair j trades in a …

We study the effects of opening and closing procedures on the NYSE and Nasdaq by examining
firms that moved from the Nasdaq to the NYSE and a sample of size-matched firms. We …

This paper examines the apparent effects of trading in penny price increments on traders’
order-placement strategies, the display of trading interests, and the execution quality of market …

This paper provides a detailed description of how to quantify best execution on market orders.
We address two important issues: how to measure best execution on market orders and …

I address the issue of how decimalization impacts the information acquisition decision of
traders. I show that traders have less of an incentive to improve the quality of their information …