Regulators around the world are concerned that dark trading occurring away from lit venues may harm price discovery. An unanswered economic question is whether hidden orders on lit venues can substitute for dark trading. Hidden orders contribute to price discovery. Using a detailed...

We test for the presence of a tail risk premium in the cross-section of mutual fund returns and find that the top tail risk quintile of funds outperforms the bottom by 4.4% per annum. This premium is not simply a reward for market risk, nor do commonly used risk factors offer an adequate...

Should regulators mandate priority rules in trading? While regulators often require price priority, they do not mandate secondary priority rules. We compare two well-established priority rules (i.e., price-broker-time priority (PBT) and price-time priority (PT)) in a market with a price grid....