Returns, Volatility and Liquidity on the ASX: Undisclosed vs. Disclosed Limit Orders By David E. Allen 1 , Alexander S.-S. Cheng 2 , Corale Comerton-Forde 3 and Joey W. Yang 2 1 School of Accounting, Finance and Economics, Edith Cowan University 2 School of Economics and Commerce, University of Western Australia 3 Discipline of Finance, University of Sydney              !"# February 2007   $%$& Correspondence author: David E. Allen School of Accounting, Finance and Economics Faculty of Business and Law Edith Cowan University Joondalup, WA 6027 Australia Phone: +618 6304 5471 Fax: +618 6304 5271 Email: d.allen@ecu.edu.au