Factors Influencing Dividend Policy Decisions of Nasdaq Firms

This study reports the results of a 1999 survey of Nasdaq‐listed firms. Respondents provided information about the importance of 22 different factors that influence their dividend policy. Our results suggest that many managers of Nasdaq firms make dividend decisions consistent with Lintner's (1956) survey results and model. The results also show significant differences between the manager responses of financial and non‐financial firms on nine of the 22 factors. This finding implies the presence of industry effects on dividend policy decisions. In general, the same factors that are important to Nasdaq firms are also important to NYSE firms.     

基于 CCK 模型的中美创业板市场羊群效应比较

羊群效应是近年来金融研究的热点,被认为是引起金融市场混乱的原因之一。本文运用CCK模型分别对我国创业板及美国纳斯达克市场的羊群效应进行了实证研究。通过研究发现,在所选数据期间内（2011年7月1日至2012年9月30日）,我国创业板存在较为明显的羊群效应,而美国纳斯达克市场则没有出现。本文分析了上述现象产生的原因,并提出相应的政策建议。     

The Impact of Market Maker Competition on Nasdaq Spreads

This study utilizes a comprehensive database containing monthly information on the number of market makers for about 5,288 Nasdaq securities over an eight-year period to investigate the impact of competition on spreads. A variety of models are estimated in order to demonstrate the robustness of the results that include four specific findings: (1) the number of market makers has a negative and highly significant impact on spreads; (2) the relation is nonlinear with a decreasing impact by the marginal market maker; (3) Nasdaq spreads have been declining over time; and (4) structural changes in Nasdaq are associated with significant changes in the relationship between spread and the number of market makers. One improvement over the literature includes allowing endogenous competition through the use of instrumental variables.     

Nasdaq ex‐day behavior: An out‐of‐sample test

We test various explanations of the ex‐dividend day price anomaly using Nasdaq‐listed firms. Similar to NYSE‐listed firms, on average the prices of Nasdaq‐listed firms drop by less than the dividend amount. However, the average Nasdaq price‐drop is substantially smaller than what existing theories would predict and translates to an imputed dividend tax rate that is double the maximum tax rate. We thus find little support for the tax hypothesis. We also find little support for the short‐term trading hypothesis and various other explanations. The significant disconnect we document between Nasdaq dividends and price changes seems to support the “free dividends fallacy.”     

Is the Adverse Selection Component Really Higher on the NYSE/Amex than on the Nasdaq?

Affleck–Graves, Hegde and Miller (1994) find that the adverse selection component of the bid–ask spread is higher for NYSE and Amex stocks than for Nasdaq stocks. Using the model of Huang and Stoll (1997), we revisit their study and find the opposite to be true – the adverse selection component is actually higher for Nasdaq stocks than for NYSE and Amex stocks. The economic magnitude of this additional adverse selection cost is very significant. Our results have important implications for the understanding of information production in dealer versus auction markets, and the costs of trading on such markets.     

Electronic Communication Networks and Liquidity on the Nasdaq

This paper examines the growth of electronic communication networks (ECNs) and their impact on the liquidity of Nasdaq stocks. I find that the recent growth of trading through ECNs has resulted in tighter bid-ask spreads, greater depths, and less concentrated markets. Overall, our results support the hypothesis that electronic communication networks have improved Nasdaq liquidity.     

Entry, exit and trading profits: A look at the trading strategies of a proprietary trading team

We examine the behavior of a 15 strong proprietary stock trading team and show how consistent intraday trading profits were generated. The team, who worked for a large US direct access trading firm, executed over 96 thousand trades in 3 months in 2000. Profitable intraday trading occurred in an anonymous dealer capacity, on both long and short positions, especially when volume and price volatility were higher. The traders rapidly entered long (short) positions when the number of dealers and size become greater on the bid (offer) side of the spread. Profits were taken early against the trend.     

Nasdaq Trading and Trading Costs: 1993–2002

Nasdaq spreads decline from 1993 to 2002, largely independently of tick‐size reductions. Trade size declines, consistent with greater retail investor activity. Using the method of Chordia, Roll, and Subrahmanyam (2001), we find that concurrent market returns strongly affect liquidity and trading activity. Liquidity exhibits distinct day‐of‐the‐week patterns. There is little evidence that macroeconomic announcements or changes in key interest rates affect Nasdaq stocks overall; but in the bear market, we find a relation between some of these variables and effective spreads, which we interpret as consistent with Nasdaq participants' paying greater attention to fundamentals after the market crash.     

Inferring Public and Private Information from Trades and Quotes

We propose a new model that uses nonsynchronous, ultra‐high frequency data to analyze the sequential impact of trades and quotes on the price process. Private information is related to the impact of trades and public information to the impact of quotes. The model is extended to include various other factors that affect public and private information. For 20 active Nasdaq stocks, private information causes, on average, 9.43% of daily stock price movements. Additionally, quotes are more informative when (1) many dealers set the best price and (2) traditional market makers rather than Electronic Communication Networks set the best price.     

Symposium on Market Microstructure: A Review of Empirical Research

This paper provides a review of empirical research in four topics within the area of market microstructure. Specifically, the paper provides an overview of issues related to (a) the estimation of the components of the bid-ask spread, (b) the effects of order flow characteristics and regulations on market liquidity, (c) the differences and similarities between the NYSE and the Nasdaq and (d) the interaction between the options and underlying stock markets.