Working Paper
Changes in trading activity following stock splits and their impact on volatility and the adverse information component of the bid-ask spread
Venkataraman, Subu; Nimalendran, Mahendrarajah; Desai, Anand S.‏ (1996)
This paper examines the changes in trading activity around stock splits, and its impact on both the volatility and the bid-ask spread. After a stock split, there is a significant increase in the volatility and the spread, even after controlling for the effects of microstructure biases like price discreteness and bid-ask bounce. The change in the number of trades is positively related to the change in total volatility, as well as to the temporary and permanent components of volatility. This suggests that the change in trading activity is associated with both informed and noise traders. The ...
Working Paper Series, Issues in Financial Regulation , Paper WP-96-21

Working Paper
The 2007-09 financial crisis and bank opaqueness
Flannery, Mark J.; Nimalendran, Mahendrarajah; Kwan, Simon H. (2010)
Doubts about the accuracy with which outside investors can assess a banking firm?s value motivate many government interventions in the banking market. The recent financial crisis has reinforced concerns about the possibility that banks are unusually opaque. Yet the empirical evidence, thus far, is mixed. This paper examines the trading characteristics of bank shares over the period from January 1990 through September 2009. We find that bank share trading exhibits sharply different features before vs. during the crisis. Until mid-2007, large (NYSE-traded) banking firms appear to be no more ...
Working Paper Series , Paper 2010-27

Conference Paper
Market evidence on the opaqueness of banking firms' assets
Flannery, Mark J.; Nimalendran, Mahendrarajah; Kwan, Simon H. (1997)
Proceedings , Paper 560

Working Paper
Market evidence on the opaqueness of banking firms' assets.
Flannery, Mark J.; Nimalendran, Mahendrarajah; Kwan, Simon H. (1999)
We assess the market microstructure properties of U.S. banking firms' equity, to determine whether they exhibit more or less evidence of asset opaqueness than similar-sized nonbanking firms. The evidence strongly indicates that large banks (traded on NASDAQ) trade much less frequently despite microstructure characteristics. Problem (noncurrent) loans tend to raise the frequency with which the bank's equity trades, as well as the equity's return volatility. The implications for regulatory policy and future market microstructure research are discussed.
Working Papers in Applied Economic Theory , Paper 99-11