Markets are different now, transformed by technology and high frequency trading. In this paper,
I investigate the implications of these changes for high frequency market microstructure (…

We investigate the role of information in affecting a firm's cost of capital. We show that differences
in the composition of information between public and private information affect the cost …

This paper examines the implications of market microstructure for asset pricing. I argue that
asset pricing ignores the central fact that asset prices evolve in markets. Markets provide …

Using the model structure of Easley and O'Hara (Journal of Finance, 47, 577–604), we
demonstrate how the parameters of the market-maker's beliefs can be estimated from trade data. …

… The right of Maureen O'Hara to be identified as the Author of this Work has been asserted
in accordance with the UK Copyright, Designs, and Patents Act 1988. … Professor O'Hara is …

This paper investigates the effect of trade size on security prices. We show that trade size
introduces an adverse selection problem into security trading because, given that they wish to …

We investigate the informational role of volume and its applicability for technical analysis.
We develop a new equilibrium model in which aggregate supply is fixed and traders receive …

Purchased order flow refers to the practice of dealers or trading locales paying brokers for
retail order flow. It is alleged that such agreements are used to “cream skim” uninformed …

This paper investigates the informational role of transactions volume in options markets. We
develop an asymmetric information model in which informed traders may trade in option or …

We investigate the role of information‐based trading in affecting asset returns. We show in a
rational expectation example how private information affects equilibrium asset returns. …