A front page Sunday New York Times article on a potential development of new drugs to cure cancer caused the price of EntreMed (ENMD) stock to rise from 12.063 at the Friday close, to open at 85 and close near 52 on Monday. Trading volume was more than 400 times the normal trading volume, and...

In June 1997, the Nasdaq stock market and the New York Stock Exchange (NYSE) each lowered its minimum price increment on most stocks from eighths to sixteenths. Like other researchers investigating similar events, we find that quoted spreads and effective spreads decline on both markets with the...

We present an equilibrium framework in which asset prices, default-free term structure and default premia are determined simultaneously.

We compare the price impact of trades across market structures by examining firms that switch exchanges. When firms are listed on Nasdaq, quoted prices adjust quite slowly to the information contained in order flow. On average, it takes about 5 minutes (or about 6 transactions) for half of the...

The unprecedented growth of mutual funds has raised questions about the impact of mutual fund flows on stockand bond prices. Many believe that the equity bull market of the 1990's is atributable to the huge flows of funds into equity mutual funds during this period, and that a withdrawal of...