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Using data for actual insider trading cases prosecuted by the Securities and Exchange Commission, the paper aims to investigate whether insiders trade strategically to avoid detection.

The paper analyzes actual insider trades prior to price sensitive announcements.

It is found that insiders are more likely to trade on high volume days, which indicates an effort to hide their trades. Further, insider trading raises the number of days with abnormally high trading volume only slightly, again indicating that insiders are avoiding attracting attention. No evidence is found that insider trading intensity increases on the insider trading day closest to the announcement day. The hypothesis that index returns for insider trading days and non‐trading days are the same cannot be rejected, which is consistent with insiders avoiding detection. For stocks sold by insiders, returns are higher for insider trading days than for non‐insider trading days. Hence, insiders are selling on days when the market is up, which tends to hide their trading. But for stocks bought by insiders, returns are significantly higher on insider trading days than on non‐insider‐trading days, indicating that in this case insiders may attract unwanted attention.

The research may be useful to those attempting to detect insider trades.

The purpose of this paper is to investigate the cross‐sectional determinants of the role of the underwriter in aftermarket price discovery.

The paper estimates Gonzalo‐Granger common factor weights across underwriter and non‐underwriter execution channels in the IPO aftermarket and investigates the cross‐sectional determinants of these CFWs.

The first novel result is that verifiable facts are not a substitute for, but a complement to, underwriter certification and advice. Specifically, the underwriter's contribution to price discovery increases with the number of supplier and customer contracts reported in the prospectus. Second, the underwriter's role in price discovery declines when the IPO is first in a new technology or product space. These findings indicate that the verification process, not de novo information production, is the key function of the underwriter.

Research design is applicable to IPOs in the USA and elsewhere.

Previous research examining IPO aftermarket trading has been largely limited to the first day of trading. The paper contributes to the small but growing literature that examines the role of the underwriter beyond this period.

We examine tick sizes, stock prices, and share turnover in eighteen stock markets in developed countries and find that differences in mandatory tick sizes explain a significant proportion of the variation in stock prices among markets, and that lower percentage tick sizes are not associated with higher turnover. We consider the implications of these findings for the recent decimalization of stock trading in the United States, and conclude that decimal trading is likely to result in lower stock prices (due to stock splits) with no substantial change in dollar trading volume.

This paper examines market structure and efficiency of price transmittals in the two national stock exchanges of India: The Bombay Stock Exchange and the National Stock Exchange. Price movements in a large number of important stocks in both markets are considered. The framework used is the Johansen‐Juselius multivariate cointegration technique. It is discovered that price movements within each market are cointegrated. Short‐run ECM analysis shows that no stock in any market is exogenous, thus indicating that there is considerable feedback in short‐run price movements from each stock. Some short‐run price movements are stabilizing. The Bombay Stock Exchange and National Stock Exchange appear to be reasonably efficient markets.

The study investigates the interdependence of the stock markets between the following countries Hong Kong, Japan, Korea, Taiwan, Indonesia, Malaysia, Philippines, Singapore, Thailand and the advanced stock markets of Australia, Germany, United Kingdom and the United States. Using data from 1994 to 2003 the paper employs both correlation, causality and cointegration analysis to describe the behaviour of the above stock market indices over the period pre and post the 1997 Asian Financial Crises. The paper investigates both the short- and long-run relationships between the Asian markets and the markets of selected advanced industrial countries.

This paper aims to investigate the performance of estimators of the bid-ask spread in a wide range of circumstances and sampling frequencies. The bid-ask spread is important for many reasons. Because spread data are not always available, many methods have been suggested for estimating the spread. Existing papers focus on the performance of the estimators either under ideal conditions or in real data. The gap between ideal conditions and the properties of real data are usually ignored. The consistency of the estimates across various sampling frequencies is also ignored.

The estimators and the possible errors are analysed theoretically. Then we perform simulation experiments, reporting the bias, standard deviation and root mean square estimation error of each estimator. More specifically, we assess the effects of the following factors on the performance of the estimators: the magnitude of the spread relative to returns volatility, randomly varying of spreads, the autocorrelation of mid-price returns and mid-price changes caused by trade directions and feedback trading.

The best estimates come from using the highest frequency of data available. The relative performance of estimators can vary quite markedly with the sampling frequency. In small samples, the standard deviation can be more important to the estimation error than bias; in large samples, the opposite tends to be true.

There is a conspicuous lack of simulation evidence on the comparative performance of different estimators of the spread under the less than ideal conditions that are typical of real-world data. This paper aims to fill this gap.

Following behavioral finance and monetary wisdom, the authors theorize: Decision-makers (investors) adopt deep-rooted personal values (the love-of-money attitudes/avaricious financial aspirations) as a lens to frame critical concerns (short-term and long-term investment decisions) in the immediate-proximal (current income) and distal-omnibus (future inheritance) contexts to maximize expected utility and ultimate serenity across context, people and time.

The authors collected data from 277 active equity traders (professional money managers and individual investors) in Pakistan’s two most robust investment hubs—Karachi and Lahore. The authors measured their love-of-money attitude (avaricious monetary aspirations), short-term and long-term investment decisions and demographic variables and collected data during Pakistan's bear markets (Pakistan Stock Exchange, PSX-100).

Investors’ love of money relates to short-term and long-term decisions. However, these relationships are significant for money managers but non-significant for individual investors. Further, investors’ current income moderates this relationship for short-term investment decisions but not long-term decisions. The intensity of the aspirations-to-short-term investment relationship is much higher for investors with low-income levels than those with average and high-income levels. Future inheritance moderates the relationships between aspirations and short-term and long-term decisions. Regardless of their love-of-money orientations, investors with future inheritance have higher magnitudes of short-term and long-term investments than those without future inheritance. The intensity of the aspirations-to-investments relationship is more potent for investors without future inheritance than those with inheritance. Investors with low avaricious monetary aspirations and without inheritance expectations show the lowest short-term and long-term investment decisions. Investors' current income and future inheritance moderate the relationships between their love of money attitude and short-term and long-term decisions differently in Pakistan's bear markets.

The authors help investors make financial decisions and help financial institutions, asset management companies, brokerage houses and investment banks identify marketing strategies and investor segmentation and provide individualized services.

Professional money managers have a stronger short-term orientation than individual investors. Lack of wealth (current income and future inheritance) motivates greedy investors to take more risks and become more vulnerable than non-greedy ones—investors’ financial resources and wealth matter. The Matthew Effect in investment decisions exists in Pakistan’s emerging economy.

This paper examines and updates an earlier study of the liquidity of an extensive array of common stocks traded on NYSE/ASE/NML‐NASDAQ. It reports apparent variances in liquidity due to trading location and other variables. The paper suggests causes for these differences.