This paper investigates the market reaction to short sales on an intraday basis in a market
setting where short sales are transparent immediately following execution. We find a mean …

This paper investigates the use of undisclosed limit orders on the Australian Stock Exchange
(ASX). Our findings suggest that undisclosed limit orders are used to reduce the option …

Both fairness and efficiency are important considerations in market design and regulation,
yet many regulators have neither defined nor measured these concepts. We develop an …

During 1999 and 2000, three major futures exchanges transferred trading in stock index
futures from open outcry to electronic markets: the London International Financial Futures and …

We develop a testable hypothesis that trade-based manipulation as proxied by the daily
incidence of ramping alerts raises execution costs for completing larger trades on 34 security …

In adverse-selection models of security market microstructure, a market maker could enhance
efficiency if he or she were willing to sustain short-term trading losses. We show that this …

We develop a framework for assessing security market quality (MQ), relating five elements
of market design to three metrics of market integrity and two metrics of market efficiency. We …

The objective of this research is to explain accounting policy choice in the Australian property
industry by reference to costly contracting theory. This paper makes three departures from …

This paper investigates whether the voluntary decomposition of consolidated earnings
disclosures into industry segments has information content in the sense that such disclosures …

We propose an outcomes-based regulatory framework for assessing security market quality
that includes measurement proxies for market integrity or fairness as well as market …