Using high-frequency data and a carefully constructed 1-1 matched sample of control (non decimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that both quoted and effective bid-ask spreads and depths have declined significantly following decimalization. Both trades and trading volume have declined significantly in all t...

What determines success on Wall Street? This study examined if genes affecting dopamine levels of professional traders were associated with their career tenure. Sixty professional Wall Street traders were genotyped and compared to a control group who did not trade stocks. We found that distinct alleles of the dopamine receptor 4 promoter (DRD4P) and catecholamine-O-methyltransferase (COMT) that...

This paper hypothesizes that more active informed trading and intense information production help investors detect the low persistence of accruals, and consequently reduce the magnitude of accruals mis-pricing. Applying both the Mishkin (1983) and the hedge-portfolio tests to subsamples sorted on the basis of a two-way classification – accruals and one of the information production measures, we...

We study the lead±lag relationships among the spot, futures, and options markets on Hong KongÕs Hang Seng Index (HSI). The young options market experiences thin trading, and the option returns lag the cash index returns. The more mature futures market experiences active trading. Yet its lead over the cash index appears to be less than the counterparts in other countries. A possible reason is th...

This study investigates the trading activity in options and stock markets around informed events with extreme daily stock price movements. We find that informed agents are more likely to trade options prior to negative news and stocks ahead of positive news. We also show that optioned stocks overreact to the arrival of negative news, but react efficiently to positive news. However, the overreac...

This paper provides a novel method for identifying informed institutional trading. I argue that, given an information signal about a stock, an investor’s tastes for certain characteristics of that stock can influence his decision to trade on the information. Thus, trades which deviate from an investor’s tastes are more likely to reflect information. I test this hypothesis with respect to invest...

For stocks traded on the Hong Kong Exchange, the median of five prices taken over the last minute of trading is currently chosen as the closing price. We introduce a stochastic control formulation to target such a median benchmark in an empirically justified model which takes the key microstructural features into account. We solve this problem by providing an explicit and efficient algorithm wh...

This study aims to explore the relationship between the disposition effect and herding behavior of investors trading Taiwanese information technology stocks. This study differs from previous literature in two aspects. First, in contrast with the earlier studies that focused on investigating investors’ herding behavior, this study explores the possibility that the disposition effect drives inves...

a r t i c l e i n f o Keywords: Trading volume Buy–sell imbalance Financial crisis We confirm that investors in different categories have different trading patterns caused by attention-grabbing factors. Stocks with extreme one-day returns catch the attention of both individual and institutional investors. Individual investors are net buyers of losers whereas institutional investors are net buye...