Each acquisition tested the young business. The W. R. Lazard deal didn't go smoothly because the new employees wanted to do things their way, May said. A Lazard broker who had brought in $1 million in annual revenue was let go.
"It hurt, but we had to do it," Davis said.
Of the founders, May is the risk taker while Davis is more cautious.
A native of New York City, May has a wife and two small children. He regularly gets up at 5 a.m. to check the international markets, and leaves work by 9 p.m.
He runs much of the day-to-day business in New York - although the company recently hired a chief operating officer to give the founders more freedom - travels around the world and negotiates investment banking deals.
He convinced Davis that the company needed to move its small New York office to the World Trade Center in 1997 after rents were cut in the wake of the bombing four years earlier. Davis dragged his heels.
"I didn't want to do it. I said, `The World Trade Center?'" Davis said. "We got it for a fraction and signed for a long-term lease."
Davis, who works out of the company's Baltimore headquarters office in the B&O Building downtown, is single and likes to conduct business on the golf course.
He is personable and sells the company's services, such as its research and trading capabilities, to municipalities and large pension plans and mutual funds.
He also plays the heavy.
"I fire people," he said. "I have got to be the bad guy in New York."
He also levies fines for small infractions such as male brokers' not wearing ties. Some fines reach $1,000, and the money is donated to charity.
Although May and Davis don't want to run a sprawling company, they believe that their size is their biggest disadvantage. Recently, some employees have been wooed away by bigger companies offering large bonuses.
"We have lost good folks to Merrill Lynch," May said.
The company would also like to have more capital so that it could do more deals. It is exploring ways to raise money and may go public, do a private offering or align itself with a larger company.
Davis worries that the job is shaving months from his life.
On a recent afternoon, May huddled in a meeting with a client while Davis rushed from the office to catch a 5 p.m. express train in Newark, N.J., to Baltimore.
To get to the station on time, he hopped a PATH small train. Like a cowboy in a Western movie, Davis opened the door of one car, briefly stepped outside the speeding train, then went from car to car until he was at the front.
Then, he dashed through the crowd and onto the platform. Once on the train to Baltimore, he clutched his cell phone and waited for calls.
"It is killing me," he said of the job. "You don't get a chance to stand back and look often, but we are proud."
