Does Market Structure Affect the Immediacy of Stock Price Responses to News?
比较NYSE/AMEX与Nasdaq股票对增发公告的价格调整速度，发现Nasdaq调整更快，归因于做市商风险承担、订单执行速度等市场结构差异。
This study compares the speed of price adjustments to seasoned equity offering announcements by NYSE/AMEX and Nasdaq stocks. We find that price adjustments are quicker by as much as one hour on Nasdaq. This result is not due to differences in issuer characteristics or announcement effects across the markets, but due to differences in market structures. Greater risk taking by dealers, more rapid order execution, and more frequent informed trading (SOES bandits) on Nasdaq, as well as stale limit orders and a less efficient opening price-setting mechanism on the NYSE/AMEX, all contribute to faster stock price adjustments on Nasdaq.