Given the key role of liquidity in finance research, identifying high quality proxies based on
daily (as opposed to intraday) data would permit liquidity to be studied over relatively long …

Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we
study how measures of adverse selection respond to informed trading. We find that on days …

This study examines whether managers strategically alter disclosure “quality” in response to
personal incentives, specifically those derived from trading on their own account. Using …

We examine the impact of block ownership on the firm's trading activity and secondary-
market liquidity. Our empirical results show that block ownership takes potential trading …

Theory predicts that since a firm with market power has more stable cash flows because of
its ability to set prices in the product market, its stock price is less sensitive to order flow …

I develop new spread proxies that pick up on three attributes of the low-frequency (daily)
data:(1) price clustering,(2) serial price covariance accounting for midpoint prices on no …

We document the frequent use of lockup agreements in seasoned equity offerings (SEOs)
and examine the determinants of their use, duration, and early release. We find that the …

Recent papers have proposed a link between underpricing of an initial public offering (IPO)
and the resulting ownership structure of the firm. Brennan and Franks [J. Financ. Econ. 45 …

Islamic ethical investors apply both Shari [ah and financial criteria when evaluating
investments in order to ensure that the securities selected are consistent with their value …

Initial public offering (IPO) lock-up is a bonding mechanism that restricts pre-IPO
shareholders and insiders from selling a specific percentage of the shares over a stipulated …