Daniel G. Weaver

International Cross-Listing and Visibility

This study shows that international firms listing their shares on the New York Stock Exchange (NYSE) or the London Stock Exchange (LSE) experience a significant increase in visibility, as proxied by analyst coverage and print media attention (The Wall Street Journal or Financial Times). The increase in analyst following is also associated with a decrease in the cost of equity capital after the listing event in a way consistent with Mertons (1987) investor recognition hypothesis. Our results are stronger for NYSE listing firms than for LSE listing firms. This may partially compensate firms for the higher costs associated with NYSE listing (compared to LSE listing).

Tick Size and Market Quality

All of the US stock markets have reduced their respective minimum tick sizes. Since the three major US markets, the American Stock Exchange (AMEX), New York Stock Exchange (NYSE), and Nasdaq, all have different order-priority systems, the impact of the tick-size reduction on spread width, as well as other aspects of market quality, can differ across the markets. Given that previous research has established a link between spread width and a firms cost of capital, this differing impact is important to firms in their exchange listing decision. This study examines changes in market quality across two different priority systems, price-time and price-sharing, following a reduction in the minimum tick size by the Toronto Stock Exchange (TSE) on April 15, 1996. We find that, following the reduction in minimum tick size on the TSE, spreads generally narrow and quoted depths decline for both priority systems. (Depth is defined as the total number of shares offered or sought at a price.) The effect is greatest on low-priced, high-volume stocks.

Market Maker Quotation Behavior and Pretrade Transparency

We examine the impact of differing levels of pretrade transparency on the quotation behavior of Nasdaq market makers. We find that market makers are more likely to quote on odd ticks, and to actively narrow the spread, when they can do so anonymously by posting limit orders on Electronic Communication Networks (ECNs). From a public policy perspective, our findings suggest that making the level of pretrade transparency on Nasdaq more opaque by allowing anonymous quotes could improve price competition and narrow spreads further.

Does NYSE Listing Affect Firm Visibility

Corporate managers often cite improved firm visibility as a motive for listing on the New York Stock Exchange (NYSE). We use three proxies to test this motive: the number of analysts following a firm, the number of institutional shareholders, and the number of shares held by institutions. We compare visibility changes over successive six-month periods for a sample of firms that listed on the NYSE and find that the changes in the post-listing period are less than the changes for the two pre-listing periods. Further tests suggest that increased visibility for a firm is primarily associated with changes in market capitalization, not with listing itself.

Post-trade transparency on Nasdaq's national market system

Abstract This article examines late trade reporting on the Nasdaq National Market System. A substantial number of trades are reported out-of-sequence on both absolute levels and relative to the combined centralized exchanges. We find minimal support for NASD permitted reasons for the late trade reporting. Evidence suggests that market makers could use late trade reporting to manage the release of information. This evidence is consistent with the hypothesis that the delayed reporting of trades is neither a random occurrence nor fully explainable by factors outside the market makers control.

Characterization of the Asian Citrus Psyllid Transcriptome.

The Asian citrus psyllid, Diaphorina citri Kuwayama (Hemiptera: Psyllidae) is a vector for the causative agents of Huanglongbing, which threatens citrus production worldwide. This study reports and discusses the first D. citri transcriptomes, encompassing the three main life stages of D. citri, egg, nymph and adult. The transcriptomes were annotated using Gene Ontology (GO) and insecticide-related genes within each life stage were identified to aid the development of future D. citri insecticides. Transcriptome assemblies and other sequence data are available for download at the International Asian Citrus Psyllid Genome Consortium website [http://psyllid.org/download] and at NCBI [http://www.ncbi.nlm.nih.gov/bioproject/29447].

Securities Transaction Taxes and Market Quality

We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades. In contrast to theories of STT imposition as a means to reduce volatility, we find no consistent relationship between the level of an STT and volatility. We examine the propensity of traders to switch trading locations to avoid the tax and find no consistent evidence that they will change locations. We do find evidence to suggest that taxes imposed on the par value of stock will result in corporations managing the par value in the direction of minimizing the impact of the tax on investors.

Dispersed Trading and the Prevention of Market Failure: The Case of the Copenhagen Stock Exchange

With augmented demands on power grids resulting in longer and larger blackouts combined with heightened concerns of terrorist attacks, trading institutions and policy makers have widened their search for systems that avoid market failure during these disturbing events. We provide insight into this issue by examining trading behaviour at the Copenhagen Stock Exchange during a major blackout. We find that although market quality declined, markets remained functional and some price discovery occurred during the blackout period suggesting that the NOREX structure of interlinked trading systems combined with widely dispersed trading locations may be a viable means of protection against market failure during massive power disruptions or terrorist attacks.

Removing Biases in Computed Returns

This paper presents a straightforward method for asymptotically removing the well-known upward bias in observed returns of equally-weighted portfolios. Our method removes all of the bias due to any random transient errors such as bid-ask bounce and allows for the estimation of short horizon returns. We apply our method to the CRSP equally-weighted monthly return indexes for the NYSE, Amex, and NASDAQ and show that the bias is cumulative. In particular, a NASDAQ index (with a base of 100 in 1973) grows to the level of 17,975 by 2006, but nearly half of the increase is due to cumulative bias. We also conduct a simulation in which we simulate true prices and set spreads according to a discrete pricing grid. True prices are then not necessarily at the midpoint of the spread. In the simulation we compare our method to calculating returns based on observed closing quote midpoints and find that the returns from our method are statistically indistinguishable from the (simulated) true returns. While the mid-quote method results in an improvement over using closing transaction prices, it still results in a statistically significant amount of upward bias. We demonstrate that applying our methodology results in a reversal of the relative performance of NASDAQ stocks versus NYSE stocks over a 25 year window.

The visibility effects of Amex listing

Abstract This study examines whether visibility changes for companies moving from Nasdaq to the Amex. A control sample of companies that did not leave the Nasdaq Stock Market serves as a basis for comparing changes in visibility. Four proxies are used to measure visibility: (1) the number of analysts estimating the company’s next fiscal year’s earnings (NOA), (2) the number of institutional shareholders (NOI), (3) the number of shares held by institutions (NOS), and (4) the number of citations in The Wall Street Journal (NOC). The initial evidence supports a relationship between Amex listing and visibility gains when measured by NOI, NOS, and NOC. Small companies show significant visibility gains in NOA. The findings contain evidence that companies seeking Amex listing are generally neglected by analysts and institutions. Regression analysis provides additional evidence that Amex listing, not earnings growth, helps to explain visibility gains in NOI, NOS, and NOC.