We analyze the rationale for limit order trading. Use of limit orders involves two risks: 1) an
adverse information event can trigger an undesirable execution, and 2) favorable news can …

The size effect is sensitive to the length of the return interval used in estimating betas. Beta
changes with the return interval because an asset's covariance with the market and the …

This paper models quote setting and price formation in a non-intermediated, order driven
market where trading occurs because investors differ in their share valuations and the advent …

This paper considers the Arbitrage Pricing Theory when investors have incomplete information
on the parameters generating asset returns. Each asset in the economy may have a …

Recent developments in computer technology and the emergence of new trading systems
raise the possibility that liquidity can be efficiently obtained in securities trading without dealer …

The capital asset‐pricing model's (CAPM) primary empirical implication is a positively
sloped linear relation between a security's expected rate of return and its relative risk (beta). …

A securities market is order-driven if the limit orders of some public participants establish the
prices at which others can trade by market order at any time when the market is open. A …

This paper provides evidence on the economic significance of the predictability in US stock
returns using a real‐time asset allocation framework. We examine the performance of a …

We study 42 leveraged recapitalizations by takeover targets and find that the announcement
is accompanied by a two-day abnormal return of 5.52% to shareholders. Bondholder wealth …

… Puneet Handa, University of Iowa … "^^ Reprinted with permission from 'The Economic
Value of a Trading Floor: Evidence form the American Stock Exchange,' Handa, P., Schwartz …