Attempts to identify price pressures caused by large transactions may be inconclusive if the
transactions convey new information to the market. This problem is addressed in an …

This paper develops and implements a technique for estimating a model of the bid/ask spread.
The spread is decomposed into two components, one due to asymmetric information and …

Weekly and intradaily patterns in common stock prices are examined using transaction data.
For large firms, negative Monday close-to-close returns accrue between the Friday close …

Exact small sample population moments of the standard serial covariance and variance
estimators are derived under the assumptions of the Roll bid/ask spread model. Noise explains …

Using a complete record of US over‐the‐counter (OTC) secondary trades in corporate bonds,
we estimate average transaction costs as a function of trade size for each bond that traded …

Exchange minimum price variation regulations create discrete bid–ask spreads. If the minimum
quotable spread exceeds the spread that otherwise would be quoted, spreads will be …

Stock prices cluster on round fractions. Clustering increases with price level and volatility.
and decreases with capitalization and transaction frequency. Clustering is pervasive. Price …

This paper presents new tests of the mixture of distributions hypothesis. Previous tests
examined security prices and volume measured only at daily intervals. Here, differential …

This paper discusses performance measures for market and limit orders. We suggest two
measures: one for precommitted traders (who must trade) and another for passive traders (who …

New cross-sectional tests of the Mixture of Distributions Hypothesis are presented. The tests
assume that the distribution of the mixing variable (often interpreted as the daily rate of flow …