Asset Returns and the Listing Choice of Firms

We propose a mechanism that relates asset returns to the firm s optimal listing choice. The crucial element in our framework is not a difference in the structure or rules of the alternative markets, but a difference in the return patterns of the securities that are traded on these markets. We use a simple trading model with asymmetric information to show that a stock would be more liquid when it is listed on a market with similar securities, or securities with correlated payoff patterns. We empirically examine the implications of our model using NYSE and Nasdaq securities, and document that the return patterns of stocks listed on the NYSE indeed look different from the return patterns of Nasdaq stocks. Stocks that are eligible to list on another market but do not switch have return patterns that are similar to other securities on their own market and different from securities listed on the other market. We show that the return patterns of stocks that switch markets change in the two years prior to the move in the direction of being more similar to the stocks on the new market. Our results are consistent with the notion that managers choose the market on which to list to maximize the liquidity of their stocks

Asset Returns and the Listing Choice of Firms

We propose a mechanism that relates asset returns to the firm s optimal listing choice. The crucial element in our framework is not a difference in the structure or rules of the alternative markets, but a difference in the return patterns of the securities that are traded on these markets. We use a simple trading model with asymmetric information to show that a stock would be more liquid when it is listed on a market with similar securities, or securities with correlated payoff patterns. We empirically examine the implications of our model using NYSE and Nasdaq securities, and document that the return patterns of stocks listed on the NYSE indeed look different from the return patterns of Nasdaq stocks. Stocks that are eligible to list on another market but do not switch have return patterns that are similar to other securities on their own market and different from securities listed on the other market. We show that the return patterns of stocks that switch markets change in the two years prior to the move in the direction of being more similar to the stocks on the new market. Our results are consistent with the notion that managers choose the market on which to list to maximize the liquidity of their stocks

Tic disorders and the premonitory urge

The aims of this study were to examine a non-English (Hebrew) version of a scale that measures the premonitory urge in children suffering from tic disorder, as well as examine the correlations of the urge with demographic and clinical aspects of Tourette Syndrome. Forty children and adolescents, suffering from tics participated in this study. They were assessed with the Premonitory Urge for Tics Scale (PUTS); the Yale Global Tic Severity Scale (YGTSS); the Childhood Version of the Yale Brown Obsessive Compulsive Scale (CYBOCS); the ADHD Rating Scale IV (Conners) Scale; the Screen for Child Anxiety Related Emotional Disorders (SCARED); and the Child Depression Inventory (CDI). The mean PUTS score was 20.15 (SD = 5.89). For the entire sample the PUTS was found to be internally consistent at a = 0.79. Youths older than 10 years had higher consistency (a = 0.83) than youths younger than 10 (a = 0.69). Premonitory urge was not correlated with tic severity in the entire sample. In youths older than 10, as opposed to youths younger than 10, premonitory urge did correlate with obsessions, compulsions and depression, but not with anxiety or with ADHD. The premonitory urge can be measured reliably and the PUTS is a useful instrument for measuring this important phenomena. Premonitory urges seems to be related to obsessions, compulsions, and depression in older children and this may have implications for the developmental psychopatholgy of these symptoms

Who benefits from an open limit-order book?

The NYSE opened the limit-order book to off-exchange traders during trading hours. We address the welfare implications of this change in market structure. We model a market similar to the auction that the exchange uses to open the trading day. We consider two different environments. In the first, only the specialist sees the limit-order book, while in the second the information in the book is available to all traders. We compare equilibria and find that traders who demand liquidity are better off when the book is open while liquidity suppliers are better off when the book is closed

Who Benefits from an Open Limit-Order Book?

The NYSE opened the limit-order book to off-exchange traders during trading hours. We address the welfare implications of this change in market structure. We model a market similar to the auction that the exchange uses to open the trading day. We consider two different environments. In the first, only the specialist sees the limit-order book, while in the second the information in the book is available to all traders. We compare equilibria and find that traders who demand liquidity are better off when the book is open while liquidity suppliers are better off when the book is closed.

Insider trading and risk aversion

This paper is a continuous time version of Holden and Subrahmanyam (Economics Letters 44 ð1994Þ 181). The paper extends Kyle (Econometrica 53 ð1985Þ 1315) by introducing risk aversion on the side of the monopolist informed trader and allows for the liquidity traders instantaneous demand to depend on cost of trading, as well as on the risk of the stock. The main result of the paper is that, in equilibrium, the price pressure decreases with time regardless of the elasticity of the liquidity demand function. r 2002 Elsevier Science B.V. All rights reserved