%0 Journal Article
%J Journal of Business
%D 2003
%T How the Equity Market Responds to Unanticipated Events
%A Brooks,Raymond
%A Patel,Ajay
%A Su,Tie
%K Finance
%X We examine the market reaction of prices, volume, spreads, and trading location when firms experience events that are totally unanticipated by the equity market in terms of both timing and content. We find that the response time is longer than previous studies have reported. Selling pressure, wider spreads, and higher volume remain significant for over an hour. We also find an immediate price reaction for overnight events; however, the market takes longer to react to events that occur when it is open. These findings may shed light on the efficacy of trading halts.
%B Journal of Business
%V 76
%P 109-133
%8 2003
%G eng
%N 1
%2 a
%4 644722688
%$ 644722688

%0 Journal Article
%J Quarterly Review of Economics and Finance
%D 1999
%T Large Price Movements and Short-Lived Changes in Spreads, Volume, and Selling Pressure
%A Brooks,Raymond
%A Park ,Jinwoo
%A Su,Tie
%K Finance
%X In this paper we examine changes in dollar and relative bid-ask spreads of stocks following large price movements. We investigate large increases and decreases separately and link our results to current market microstructure theories on trading activities and spreads. We also look at changes in volume and selling pressure to interpret the changes in trading activity. Our results show that the market reacts differently to price increases and decreases. For large price decreases, trading increases on the sell side even when spreads have increased. For large price increases, trading increases on the buy side during a period of higher spreads. However, the increases in dollar spreads and price pressure are most pronounced at the end of trading day. Our results are consistent with microstructure models that link trading activities and costs to the level of asymmetric information.
%B Quarterly Review of Economics and Finance
%V 39
%P 303-316
%8 1999
%G eng
%N 2
%2 a
%4 644732928
%$ 644732928

%0 Journal Article
%J Journal of Financial and Quantitative Analysis
%D 1997
%T A Simple Cost Reduction Strategy for Liquidity Traders: Trade at the Opening
%A Brooks,Raymond
%A Su,Tie
%K Finance
%B Journal of Financial and Quantitative Analysis
%V 32
%P 525-540
%8 1997
%G eng
%N 4
%2 a
%4 98051776512
%$ 98051776512