Browsing by Author "Prather Laurie"

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Browsing by Author "Prather Laurie"

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  • Intraday REIT liquidity 
    Bertin William; Kofman Paul; Michayluk David; Prather Laurie (Australia and New Zealand Third Sector Research, 2001)
  • Liquidity issues surrounding neglected firms 
    Bertin William; Michayluk David; Prather Laurie (Business Perspectives, 2008)
    The neglected firm effect is the phenomenon where stocks of less widely-known firms have larger returns than that predicted by asset pricing models. Researchers have found mitigating variables, such as the price of the ...
  • A Liquidity Motivated Algorithm for Discerning Trade Direction 
    Michayluk David; Prather Laurie (Multinational Finance Society, 2008)
    Most exchanges do not report trade direction thus researchers and traders must deduce whether a trade is buyer or seller initiated since this information is required to evaluate models of bid-ask spread components and to ...
  • What do options have to do with it?: Inclusion of options market indicators in bid-ask spread decomposition 
    Michayluk David; Prather Laurie; Woo Li-Anne; Yip Henry (Korean Securities Association, 2009)
    This paper develops a cross-market model to extend Huang and Stoll (1997) by utilizing information from trade flows in the options market. Empirical tests reveal a significant increase in the estimated adverse information ...