unionization and input flexibility in u s manufacturing 1973 1996 input flexibility as measured by the ability of firms to vary input demand in the face of changes in input prices is an important dimension of labor market flexibility using a new dataset the authors analyze the impact of unionization on input flexibility in u s manufacturing from 1973 to 1996 a period in which production was arguably becoming more flexible due to deep changes in the u s industrial relations system and in the broad macroeconomic environment the authors quantify the effects of unionization on input flexibility by estimating elasticities of substitution between a broad range of labor and non labor inputs controlling for unionization the pattern that emerges is more complex than that suggested by other research in particular low unionization apparently is associated with greater flexibility in the use of labor inputs but less flexibility in the use of non labor inputs

limit order submission strategies under asymmetric information abstract this paper provides evidence that informed traders dominate the response of limit order submissions to shocks in a pure limit order market in the market we study informed traders are highly sensitive to spreads volatility momentum and depth by contrast uninformed traders are relatively insensitive to all these market conditions the dominance of the informed over limit order submissions is magnified by contrasts between them and the uninformed in the use of aggressively priced limit orders

where does price discovery occur for stocks traded in multiple markets evidence from hong kong and london using a sample of hong kong listed stocks that are also traded on the london stock exchange we document the following results first london market makers use hong kong s closing prices as the benchmark for setting the opening prices in london second trading in the london market plays only a limited role in price discovery in the hong kong market third the stock returns from london trading are closely correlated with those of the hong kong market the above findings are consistent with the explanation that london trading is predominantly liquidity driven but not information driven

trader see trader do how do small fx traders react to large counterparties trades abstract we show that information about the counterparty of a trade affects the future trading decisions of individual traders the effect is such that traders tend to reverse their order flow in line with the better informed counterparties informed traders primarily incorporate their own private as well as publicly available information into prices whereas uninformed traders mainly magnify the effect of the informed this pattern of interaction among traders extends to different order types traders treat their own and others market orders as more informative than limit orders

does the bund dominate price discovery in euro bond futures examining information shares abstract this paper examines the relative information shares of the bund i e the 10 year euro bond future contract on german sovereign debt versus two futures with shorter maturity we find that the bund is most important but does not dominate price discovery the other contracts also have relevant and at many days even higher information shares in examining determinants of information shares we add order flow measures to market state variables and macroeconomic news more order flow in a contract consistently increases this contract s information share

interbank market liquidity and central bank intervention we develop a simple model of the interbank market where banks trade a long term safe asset when there is a lack of opportunities for banks to hedge idiosyncratic and aggregate liquidity shocks the interbank market is characterized by excessive price volatility in such a situation a central bank can implement the constrained efficient allocation by using open market operations to fix the short term interest rate it can be constrained efficient for banks to hoard liquidity and stop trading with each other if there is sufficient uncertainty about aggregate liquidity demand compared to idiosyncratic liquidity demand

the effect of advance notification of plant closings on unemployment using data from the 1984 displaced worker survey the authors model the determinants of time without work following job displacement for a large sample of workers laid off because of plant shutdowns between 1979 and 1984 the major focus of the paper is on the role of advance notification in mitigating unemployment the estimating procedure accommodates right censored observations stemming from continuing or open ended spells of unemployment advance notification is found to have significantly reduced the duration of unemployment of those notified workers who did not draw unemployment insurance benefits and in particular of those who left the plant prior to termination advance notice had much less effect on the time without work of notified workers whose spell length of unemployment was long enough for them to collect unemployment insurance benefits

informativeness of trade size in foreign exchange markets this article investigates a trading strategy that relies on private information in an electronic spot foreign exchange market in a structural microstructure model extended for high frequency data our analysis links the informational content of trading activity to order size we find that large currency orders are likely to be placed by informed traders during increased price volatility episodes in addition the data suggest that excess kurtosis in exchange rate returns corresponding to large price contingent trades is significantly lower than that in small trades

excess liquidity and the foreign currency constraint the case of monetary management in guyana this article examines why commercial banks in guyana demand nonremunerated excess reserves a phenomenon that became even more widespread after financial liberalization despite the removal of capital controls banks do not invest all excess reserves in a safe foreign asset because the central bank maintains an unofficial foreign currency constraint by accumulating international reserves the findings suggest that commercial banks do not demand excess reserves for precautionary purpose which is the conclusion of several other studies but rather because of the maintained constraint the estimated sterilization coefficient is consistent with the hypothesis of an enforced constraint the results moreover suggest an alternative way of looking at the monetary transmission mechanism in developing countries the central bank maintains price and exchange rate stability through the accumulation of foreign reserves

trading on inside information evidence from the share structure reform in china abstract we examine stock trading activities in days before chinese listed firms made public announcement to start share structure reform there is significant evidence that relative to a benchmark period institutional investors bought more event firms shares in the last two trading days prior to announcement randomization tests show significant differences in institutional trading activities between event firms and matched control firms which suggests that some institutions had inside information moreover large trades account for a significant proportion of daily stock price changes in the last 2 days the evidence is consistent with the prediction by holden and subrahmanyam 1992 that when multiple informed investors acquire the same piece of information they will trade aggressively we also find that over the reform period the median share value change of event firms is 6 higher than that of control firms our findings have important implications for enforcement of insider trading regulations in china

return autocorrelation and institutional investors abstract we propose and test the hypothesis that trading by institutional investors contributes to serial correlation in daily returns our results demonstrate that nyse particles and individual security daily return autocorrelationsare an increasing function of the level of institutional ownership moreover the results are consistent with the hypothesis that institutional trading reflects information and increases the speed of price adjustment the relation between autocorrelation and institutional holdings does not however apparent to be driven by market frictions or rational time varying required rates of return we conclude that institutional investors correlated trading patterns contribute to axial correlation in daily returns

market overreaction and investment strategies we investigated the overreaction of the korean market in response to shocks in the us stock market and analysed the dynamic relationship between these two markets since 1996 we found that the kospi 200 index futures overreacted to the s p 500 index returns during the period from 2000 to 2009 when the korean market was in its growth stage as the korean market matured and the kospi 200 overnight futures were introduced in 2009 the overreaction disappeared when investors employed the kelly model or value at risk to exploit the overreaction their trading strategies produced significant profits during the growth stage even after considering transaction costs and risk but the profits attenuated once the overnight futures market was launched in 2009

institutional herding in international markets abstract this paper studies herding behavior of institutional investors in international markets first we document the existence of wide spread herding in 41 countries referred to as target countries hereafter in the sample we then examine the relation between contemporaneous institutional demand and future returns and find that institutional herding stabilizes prices next we examine the relation between institutional investors herding behavior and the level of information asymmetry in the target countries we measure the degree of information asymmetry in each target country along five dimensions 1 stock market development 2 ease of access to information 3 corporate transparency 4 investor rights and 5 macroeconomic factors that relate to the information environment we find evidence that institutional investors herd more in markets characterized by low levels of information asymmetry high level of information transparency this result suggests that institutional investors herding behavior is likely driven by correlated signals from fundamental information lastly we show that price adjustment is faster in informationally transparent markets

forecasting volatility of the u s oil market abstract we examine the information content of the cboe crude oil volatility index ovx when forecasting realized volatility in the wti futures market additionally we study whether other market variables such as volume open interest daily returns bid ask spread and the slope of the futures curve contain predictive power beyond what is embedded in the implied volatility in out of sample forecasting we find that econometric models based on realized volatility can be improved by including implied volatility and other variables our results show that including implied volatility significantly improves daily and weekly volatility forecasts however including other market variables significantly improves daily weekly and monthly volatility forecasts

fiscal deficits and inflation abstract macroeconomic theory postulates that persistent fiscal deficits are inflationary yet empirical research has had limited success in uncovering this relationship this paper reexamines the issue in light of broader data and a new modeling approach that incorporates two key features of the theory unlike previous studies we model inflation as non linearly related to fiscal deficits through the inflation tax base and estimate this relationship as intrinsically dynamic using panel techniques that explicitly distinguish between short and long run effects of fiscal deficits results spanning 107 countries over 1960 2001 show a strong positive association between deficits and inflation among high inflation and developing country groups but not among low inflation advanced economies

the effects of trade size and market depth on immediate price impact in a limit order book market abstract we compare trade size to the prevailing market depth at the best level in the limit order book to detect and account for zero impact trades in an immediate price impact model our model also incorporates standard trade attributes trade size market capitalization and volatility in a dynamic setting the incorporation of market depth information reduces the mean absolute squared forecast error of an immediate price impact prediction by about 60 after controlling for trade attributes market depth price impact dynamics and intra and inter day periodicities in order of relative importance all improve the prediction of a trade s price impact we demonstrate the value of our model by showing that splitting a big order into a series of smaller trades results in a reduction of between 60 and 82 of the immediate price impact cost of the big order we also find that our depth indicator helps with the prediction of order flow and permanent price impact

the effect of block transactions on share prices australian evidence abstract the sydney stock exchange provides an unusually clean test of whether large transactions affect share prices it is small and trading is thin so our sample of block trades ranges in size from one to sixty days of normal trading volume sydney is a non dealer auction market and we can identify and eliminate all purchases and sales by brokers thus focusing on substitution effects the data are consistent with the perfect substitution hypothesis without price pressure block size distributions conform closely to the log normal distribution and kraus stoll regressions of security returns on untransformed block size are misspecified

plant closings and their regulation in maine 1971 1982 this paper describes the plant closing regulations adopted in maine during the 1971 81 period and documents a pattern of relatively poor compliance with the advance notice and severance pay requirements of the law data on the number of workers laid off in major plant closings on prenotification of workers and on state and local unemployment rates provide the basis for an econometric estimate of the effects of closings with and without early notification on local unemployment rates and the size of the local labor force the results suggest that advance notification significantly lowers the unemployment resulting from a closing

systematic share price fluctuations after bankruptcy filings and the investors who drive them beginning in the 1990s firms often continue to trade on the major national exchanges after chapter 11 bankruptcy filings for bankruptcies filed from 1993 2003 we find that the more negative the filing period price reaction the more favorable the immediate post filing returns on average this reversal is not attributable to bid ask bounce it holds after controlling for other factors associated with post filing returns and it appears more attributable to the activities of large traders than to small traders supplementary tests reveal that the pattern of post filing returns differs significantly for bankruptcies filed in bull versus bear markets bankruptcies filed during the 1993 to 1999 bull market enjoy substantial but short lived reversals averaging one third of the filing period price plunge these reversals are inconsistent with efficient assimilation of the bankruptcy information in contrast we find no evidence of post filing reversals for bankruptcies filed from 2000 to 2003

order characteristics and stock price evolution an application to program trading abstract this paper is an econometric analysis of the information content of automated orders arriving at the nyse the model captures the joint behavior of automated orders and also the return on the stock index future and the futures spot basis the results indicate that orders contain information useful in predicting stock returns beyond the information contained in the reported trades furthermore program and index arbitrage orders contain information beyond that available from the futures return and basis suggesting that these orders are not merely passive conveyors of common factor information nonprogram program and index arbitrage orders have roughly similar price impacts

examining managerial displacement the research reported used a longitudinal analysis to compare the displacement experience of managers with that of other employees and to examine the factors associated with managerial job loss jo

insider trades and demand by institutional and individual investors there is a strong inverse relation between insider trading and institutional demand the same quarter and over the previous year our analysis suggests a combination of factors contribute to this relation first institutional investors are more likely to provide the liquidity necessary for insiders to trade second insiders are more likely to buy low valuation and low lag return stocks while institutions are attracted to the opposite security characteristics last the results are consistent with the hypothesis that insiders are more likely to view their securities as overvalued undervalued following a period when institutions were net buyers sellers the author 2010 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oxfordjournals org oxford university press

why does financial strength forecast stock returns evidence from subsequent demand by institutional investors using institutional investor demand as a proxy for revisions in sophisticated investors expectations we test whether financial strength information is gradually impounded over time consistent with the gradual incorporation of information financial strength predicts both future returns and future institutional investor demand further consistent with the gradual incorporation of information more sophisticated transient high turnover institutions respond to financial strength signals prior to less sophisticated nontransient institutions a number of additional tests suggest that financial strength forecasts stock returns at least in part because it forecasts institutional demand and institutional demand drives prices the author 2012 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oup com oxford university press

decomposing liquidity along the limit order book abstract in this paper we estimate the asymmetric information and order processing components of liquidity at extended depths along the limit order book using data from the inet ecn we find that the asymmetric information component decreases as depth increases inactive stocks have more information asymmetry at the inside quotes but it decreases more rapidly along the book than for active stocks the order processing component of liquidity has fixed and variable constituents consistent with a fixed cost per order as well as a variable portion based on the size of the order

earnings news and small traders an intraday analysis abstract this study separates trading volume into buyer and seller initiated activities and examines the directional volume reaction in small and large trades to different types of earnings news good bad news triggers brief but intense buying selling in the large trades however a persistent period of unusually high buying activity is observed in the small trades irrespective of the news this anomalous proclivity of small traders to buy is robust across firm size trading volume and different earnings expectation models several explanations are discussed although the behavior does not seem fully explained by existing theories

stealth trading in options markets we investigate how price discovery occurs in the options markets through traders trade size choice by employing transactions data on all options traded on a sample of 100 firms we show that informed traders fragment their orders into small medium trades for low high volume contracts we also find that almost 60 of the price discovery occurs in the exchange with the largest market share for a given option where informed traders favor medium size trades upon examining distinct option series for a given stock we find that at the money calls display the highest information share

the nonstationarity of aggregate output some additional international evidence in this paper the stationarity of aggregate output is examined using the scaled variogram for a sample of twelve countries it is argued that if the true data generating process of output is stationary around a deterministic trend with a change in mean and or growth rate the results of previous studies are biased once the authors allow for a one time exogenous shock the conclusions are indeed less clear cut and for some countries even reversed copyright 1994 by ohio state university press

did lower unionization in the united states result in more flexible industries do unions really impede manufacturers output flexibility if so in what ways the authors propose a methodology for quantifying george stigler s concept of output flexibility and for decomposing the effects of unionization on average cost differences between union and non union plants using a recently compiled data set on u s three digit manufacturing industries from 1973 to 1996 they adapt this methodology to simulate the effects of unionization on flexibility and average costs for average size plants simulation results indicate that higher unionization was associated with higher average costs and lower flexibility than low unionization higher average costs appear to have been primarily due to higher fixed costs such as higher benefits

the behavior of stock prices around institutional trades all trades executed by 37 large investment management firms from july 1986 to december 1988 are used to study the price impact and execution cost of the entire sequence package of trades that we interpret as an order we find that market impact and trading cost are related to firm capitalization relative package size and most importantly to the identity of the management firm behind the trade money managers with high demands for immediacy tend to be associated with larger market impact financial economists have long studied the equity trading process and its impact on stock prices much prior empirical research isolates individual trades and analyzes the behavior of the stock price around each trade see for example kraus and stoll 1972a holthausen leftwich and mayers 1987 1990 keim and madhavan 1991 petersen and umlauf 1991 hausman lo and mackinlay 1992 and chan and lakonishok 1993 evaluating the behavior of stock prices around trades provides a means of discriminating among various hypotheses as to the elasticity of the demand for stocks yields an estimate of the cost of executing trades and a measure of the liquidity of a market and permits tests of different models of the determination of quotes and transaction prices for many institutional investors however even a moderately sized position in a stock may represent a large fraction of the stock s trading volume accordingly an investment manager s order is often broken up into several trades it is often misleading therefore to consider an individual trade as the basic unit of analysis in the study of trading activity and its effects on prices this paper uses the record of trades executed by 37 large investment manage

the determinants of price discovery evidence from us canadian cross listed shares abstract we examine the determinants of price discovery for canadian firms cross listed on the main us stock exchanges over the period 1996 2011 sampling at a one minute frequency we compute gonzalo and granger component shares cs and employ a system gmm approach to control for persistence in price discovery and endogeneity between cs and its determinants we find that price discovery is highly persistent and that there is strong evidence of simultaneity between cs and its determinants we conclude that lower relative spreads and higher relative trading activity increase an exchange s contribution to price discovery we also document that it is small trades that drive price discovery particularly since the introduction of decimalization

the importance of lifetime jobs differences between union and nonunion workers the authors use cps micro data to derive estimates of retention rates and eventual lifetime tenure probabilities for union and nonunion workers although both groups enjoy a considerable degree of

revenge of the managers labor cost cutting and the paradoxical resurgence of managerialism in the shareholder value era 1984 to 2001 institutional changes associated with the rise of shareholder value capitalism have had seemingly contradictory effects on managers and managerialism in the united states economy financial critiqu

excess liquidity bank pricing rules and monetary policy abstract this paper studies the implications of excess bank liquidity for the effectiveness of monetary policy in a simple model with credit market imperfections the demand for excess reserves is determined by precautionary factors and the opportunity cost of holding cash it is argued that excess liquidity may impart greater stickiness to the deposit rate in response to a monetary contraction and induce an easing of collateral requirements on borrowers which in turn may translate into a lower risk premium and lower lending rates as a result asymmetric bank pricing behavior under excess liquidity may hamper the ability of a contractionary monetary policy to lower inflation

the impact of government deficits on money growth in developing countries abstract this paper investigates the relationship between government budget deficits and money growth in the developing countries for which reliabile data exist it is sometimes suggested that it is more likely that money growth follows debt growth in developing countries due to the embryonic state of capital markets and because the central bank generally comes under direct control of the minister of finance our results provide only mixed support for this contention however in the majority of countries in our sample there is no evidence that government deficits affect money growth for high inflation years there seems to be more support for a relationship between deficits and money growth

subscribing to transparency abstract the paper empirically explores how more trade transparency affects market liquidity the analysis takes advantage of a unique setting in which the shanghai stock exchange offered more trade transparency to market participants subscribing to a new software package first the results show that the additional data disclosure increased trading activity but also increased transactions costs through wider bid ask spreads thus in contrast to popular policy belief the paper finds that more transparency need not improve market liquidity second the paper finds a particularly strong immediate liquidity impact accompanied by altered trading behavior which suggests a significant impact on institutional traders subscribing relatively early lastly since the effective level of market transparency is bound to depend on how many traders are subscribing to the data the study can empirically establish the functional form between market wide transparency and liquidity the relationship is non monotonic which can explain the lack of consensus in the existing literature where each empirical study is naturally confined to specific parts of the transparency domain

outside and inside liquidity we propose an origination and contingent distribution model of banking in which liquidity demand by short term investors can be met with cash reserves inside liquidity or sales of assets outside liquidity to long term investors outside liquidity is a more e cient source but asymmetric information about asset quality can introduce a friction in the form of excessively early asset trading in anticipation of a liquidity shock excessively high cash reserves and too little origination of assets by banks the model captures elements of the current flnancial crisis and yields policy prescriptions on public liquidity provision to overcome liquidity crises

stealth trading which traders trades move stock prices usingaudit trail data for a sample of nyse firms we show that medium size trades are associated with a disproportionately large cumulative stock price change relative to their proportion of all trades and volume this result is consistent with the predictions of barclay and warner s 1993 stealth tradinghypothesis we find that the source of this disproportionately large cumulative price impact of medium size trades is trades initiated by institutions this result is robust to various sensitivity checks our findings appear to confirm street lore that institutions are informed traders 2001 elsevier science s a all rights reserved

the upstairs market for large block transactions analysis and measurement of price effects this article develops a model of the upstairs market where order size beliefs and prices are determined endogenously we test the model s predictions using unique data for 5 625 equity trades during the period 1985 to 1992 that are known to be upstairs transactions and are identified as either buyer or seller initiated we find that price movements prior to the trade date are significantly positively related to trade size consistent with information leakage as the block is shopped upstairs further the temporary price impact or liquidity effect is a concave function of order size which may result from upstairs intermediation

modern hyper and high inflations since 1947 hyperinflations by cagan s definition in market economies have been rare much more common have been longer inflationary processes with inflation rates above 100 percent per annum based on a sample of 133 countries and using the 100 percent threshold as the basis for a definition of very high inflation episodes this paper examines the main characteristics of such inflations among other things we find that i close to 20 percent of countries have experienced inflation above 100 percent per annum ii higher inflation tends to be more unstable iii in high inflation countries the relationship between the fiscal balance and seigniorage is strong both in the short and long run iv inflation inertia decreases as average inflation rises v high inflation is associated with poor macroeconomic performance and vi stabilizations from high inflation that rely on the exchange rate as the nominal anchor are expansionary

how does trade openness influence budget deficits in developing countries abstract this paper analyses the effects of trade openness on budget balances by distinguishing the effects of natural openness from those of trade policy revealed indicators of natural openness and trade policy are computed using gmm system estimator the econometric analysis focuses on 66 developing countries over 1974 98 the results show that trade openness increases a country s exposure to external shocks this enforces the negative impact on budget balances of terms of trade instability additionally trade openness influences budget balances through several other channels corruption income inequalities etc then natural openness and trade policy have opposite effects the former deteriorates budget balances whereas the latter enhances them

how you downsize is who you downsize biased formalization accountability and managerial diversity scholars and pundits argue that women and minorities are more likely to lose their jobs in downsizing because of segregation or outright discrimination in contrast this article explores how the f

investor sophistication and market earnings expectations this paper investigates whether sophisticated investors rely more on analyst forecasts than on time series model forecasts in forming expected earnings although analyst forecasts are generally more accurate than time series model forecasts e g o brien 1988 analyst forecasts are not clearly superior to time series model forecasts as a proxy for expected earnings e g brown et al 1987b recent research has concluded that earnings expectations reflected in stock prices at least partially reflect a seasonal random walk srw model bernard and thomas 1990 and abarbanell and bernard 1992 in particular ball and bartov 1996 find that market earnings expectations incorporate the sign of the serial correlation in seasonally differenced earnings but underestimate the correlation magnitude see also maines and hand 1996 these findings suggest that at least some market participants ignore public information in forming expected earnings i examine whether information usage is correlated with investor sophistication and or the degree to which investors are informed

price movement and trade size on the national stock exchange of india using data for the national stock exchange of india we examine three hypotheses about which trades move prices the stealth trading hypothesis proposes that cumulative price changes cpcs are concentrated in particular trade sizes due to the strategic trading of informed traders we find that depending on market conditions from 60 to 80 of the cpc is concentrated in small trade sizes with almost all of the remaining price change concentrated in medium trade sizes these results support the stealth trading hypothesis

why do short sellers like qualitative news short sellers trade more on days with qualitative news that is news containing fewer numbers we show that this behavior is not informationally motivated but can be explained by short sellers exploiting higher liquidity on such days we document that liquidity and noise trading increase in the presence of qualitative news enabling short sellers to better disguise their informed trades natural experiments support our findings qualitative news has a bigger effect on short sellers trading after a decrease in liquidity following the stock s deletion from the standard poor s 500 index and a smaller effect when investor attention is distracted by the olympic games

an empirical analysis of excess interbank liquidity a case study of pakistan we investigate the drivers of excess interbank liquidity in pakistan using the autoregressive distributed lag approach on weekly data for december 2005 to july 2011 we find that the financing of the government budget deficit by the central bank and nonbanks leads to persistence in excess liquidity moreover we identify a structural shift in the interbank market in june 2008 before june 2008 low credit demand was driving the excess liquidity holdings by banks after june 2008 banks precautionary investments in risk free securities drive excess liquidity holdings monetary policy is less effective if banks hold excess liquidity for precautionary reasons

firm characteristics and analyst following abstract this paper examines the major determinants of the number of analysts following a firm a simple model of analyst following is proposed and several firm characteristics are suggested that are likely to influence the extent of a firm s analyst following by either affecting the aggregate demand for or supply of analyst services or both for the firm almost all of these characteristics are found to be strongly significant in affecting the extent of analyst following of firms and the empirical results generally accord well with economic intuition

institutional herding business groups and economic regimes evidence from japan we study institutional herding in japan japanese firms are primarily owned by financial institutions and other corporations they may belong to a business group the keiretsu and they have experienced several distinct economic regimes in its recent past overall we find herding in japan occurs on a lower level than in the united states but with a large impact on price movements the price impact is even greater for keiretsu affiliated firms we also find the effects and behavior of institutional herding depends on the economic condition and the regulatory environment

competition signaling and non walking through the book effects on order choice abstract we investigate the effects of competition and signaling in a pure order driven market and examine the trading patterns of agents when walking through the book is not allowed our results suggest that the variables capturing the cost of a large market order are not informative for an impatient trader under this market mechanism we also document that the competition effect is not present only at the top of the book but persistent beyond the best quotes moreover it dominates the signaling effect for both a limit order and a market order trader finally we show that institutional investors order submission strategies are characterized by only a few pieces of the limit order book information this is consistent with informed traders placing orders based on their own private valuations rather than the state of the book

what s not there odd lots and market data we investigate odd lot trades in equity markets odd lots are increasingly used in algorithmic and high frequency trading but are not reported to the consolidated tape or in databases such as taq in our sample the median number of odd lot trades is 24 but in some stocks odd lots are 60 or more of trading odd lot trades contribute 35 of price discovery consistent with informed traders using odd lots to avoid detection omitting odd lot trades leads to inaccuracies in order imbalance measures and makes sentiment measures unreliable excluding odd lots from the consolidated tape raises important regulatory issues

institutional trades and intraday stock price behavior abstract this paper examines the price effect of institutional stock trading using a unique data set that reports the transactions large and small of 37 large institutional money management firms the direction of each trade and the identity of the management firm behind each trade are known although institutional trades are associated with some price pressure we find that the average effect is small there is also a marked asymmetry between the price impact of buys versus sells we relate our findings to various hypotheses on the elasticity of demand for stocks the cost of executing transactions and the determinants of market impact although market capitalization and relative trade size influence the market impact of a trade the dominant influence is the identity of the money manager behind the trade

an analysis of trade size clustering and its relation to stealth trading abstract nyse and nasdaq trades increasingly cluster on multiples of 500 1 000 and 5 000 shares such clustering varies over time and across stocks and tends to increase with the level of trading activity furthermore rounded trades tend to have more persistence both in occurrence and in trade initiation finally medium sized rounded trades tend to have greater relative price impact than large rounded trades from these observations we surmise that trade size clustering is consistent at least in part with the actions of stealth traders who tend to use medium sized rounded transactions in an attempt to disguise their trades

bank liquidity interbank markets and monetary policy a major lesson of the recent financial crisis is that the interbank lending market is crucial for banks facing large uncertainty regarding their liquidity needs this paper studies the efficiency of the interbank lending market in allocating funds we consider two different types of liquidity shocks leading to di erent implications for optimal policy by the central bank we show that when confronted with a distribu tional liquidity shock crisis that causes a large disparity in the liquidity held among banks the central bank should lower the interbank rate this view implies that the traditional tenet prescribing the separation between prudential regulation and mon etary policy should be abandoned in addition we show that during an aggregate liquidity crisis central banks should manage the aggregate volume of liquidity two di erent instruments interest rates and liquidity injection are therefore required to cope with the two di erent types of liquidity shocks finally we show that failure to cut interest rates during a crisis erodes financial stability by increasing the risk of bank runs