share values. We find support for three channels by which perks increase firm value: an increase in share liquidity, a …

an additional demand for dynamic trading, so that passive investment strategies are no longer optimal. Our results also …

This paper provides evidence that demand for equity index options has predictive power for future volatility beyond … that trade on the volatility informed index option demand yield annualized Sharpe Ratios that are up to twice as large as … options market. In times of high volatility, the demand for straddle positions contains significantly more information and has …

positive shorting demand shock …

We examine the relation between liquidity, volume, and volatility using a comprehensive sample of U.S. stocks in the … cross-section. Evidence from alternative liquidity measures (price impact and depth), spread decomposition, and intraday …

changes carries important information about liquidity demand in the market. From this distribution of trader position …-changes, we construct a marketwide measure for intraday liquidity demand that does not necessarily depend on aggressive trading … demand measure has a positive impact on prices. We then decompose our measure of liquidity demand into three components …

We study price and liquidity spillovers in U.S. stock markets around mutual fund fire sales. We find that the well … liquidity and are not explained by common funding shocks or the hedging activity of liquidity providers. We conclude that they … the commonality in returns and liquidity …

increase its competitiveness and market share. Further, we analyze whether single-market liquidity provider incentives increase … individual markets to the aggregate liquidity in the fragmented market environment. While liquidity and market share of the venue …We study the introduction of single-market liquidity provider incentives in fragmented securities markets. Specifically …

limit order markets with fast and slow traders. Only the fast traders can access the liquidity of both venues simultaneously …. Empirically, we confirm the predictions that the fraction of fast traders (i) reduces the equilibrium liquidity supply and (ii …