Using stocks traded on the NYSE, AMEX and NASDAQ for the period of 1964 to 2009, this study demonstrates that, while momentum prevails among small stocks, momentum and reversals coexist among large stocks for a holding period of up to six months. The momentum/reversal divide is along the...

We identify model-free mispricing factors and relate them to global stock prices and investor beliefs. The factors measure variation in the relative mispricing of closed-end funds and their underlying assets. We design three factors to reflect the beliefs and capital flows of important...

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

Introducing a financial transaction tax (FTT) has recently attracted tremendous global attention, with both proponents and opponents disputing its dampening effects on financial markets. In this paper we present a model to show under some circumstances that there exists a win-win situation via...

We explore issues related to a financial transaction tax (FTT) in the United States. We trace the history and current practice of the tax in the United States and other countries, review evidence of its impact on financial markets, and explore the key design issues any such tax must address. We...

We examine the relation between liquidity, volume, and volatility using a comprehensive sample of U.S. stocks in the post-decimalization period. For large stocks, effective spread and volume are positively related in the time series even after controlling for volatility, contrary to most...

This paper presents a model to analyze the consequences of competition in order-flow between a profit maximizing stock exchange and an alternative trading platform on the decisions concerning trading fees and listing requirements. Listing requirements, set by the exchange, provide public...

This paper exploits a unique natural experiment in which a regulator limited voluntary disclosure of oil and gas firms. We examine the implications of this disclosure rule on unexplained trading volume and market liquidity. Relying on the theoretical framework of Kim and Verrecchia (1994), the...

The underlying transparency of the Bitcoin blockchain allows transactions in the network to be tracked in near real-time. When someone transfers a large number of Bitcoins, the market receives this information and traders can adjust their expectations based on the new information. This paper...

We investigate whether increasing the speed of order execution affects investor trading strategy and market liquidity. With the new trading platform Arrowhead, the Tokyo Stock Exchange has eliminated the three-second matching cycle, executes orders immediately, and instantaneously updates the...