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This paper documents a stark periodicity in intraday volume and in the number of trades. We find activity in both variables spikes by about 20% at regular intervals of 5 or 10min throughout the trading day. We speculate this activity is either the result of algorithmic trading influenced by...
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We estimate the impact of chief executive officer (CEO) incentives on the sensitivity of investment to cash flow during a period of strong economic growth. Our measure of the alignment of managers’ and shareholders’ interests, pay-performance sensitivity (PPS), incorporates both stock and...
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Futures market officials are confronted with the difficult task of setting appropriate margin levels that must balance the costs of trader default and the benefits of increased market liquidity. One way to guard against default is prudent margin setting practices designed to protect futures...
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