Two Essays in Empirical Market Microstructure

Two Essays in Empirical Market Microstructure
Author: Keith Jakob
Publisher:
Total Pages: 172
Release: 2000
Genre: Stock exchanges
ISBN:

This dissertation contains two empirical market-microstructure essays. Both incorporate information from the TORQ database but are otherwise unrelated and deal with separate issues in the finance literature. The first essay empirically examines an existing asymmetric information model from the microstructure literature. The second essay examines the order arrival process around dividends.