This paper studies the effects of price limits implemented by the Securities and Exchange Commission (SEC) after the May 2010 ‘Flash Crash.' The security-level price limits halt trading after a security's price experiences a sudden and large movement. The difference-in-difference design...

Using the Baker, Bloom, and Davis (2013) news-based measure to capture economic policy uncertainty (EPU) in the United States, we find that EPU positively forecasts log excess market returns. A one-standard deviation increase in EPU is associated with a 1.5% increase in forecasted 3-month...

We investigate whether financial innovation, specifically the introduction of derivative products, spurs firms' real innovation, measured with patent based metrics. Consistent with financial innovation being an important contribution to real innovation, we find that the use of financial...

Theory on high-frequency traders (HFT) predicts that market liquidity for a security decreases in the number of HFT trading the security. We test this prediction by studying a new Canadian stock exchange, Alpha, that experienced the entry of 11 HFT firms over four years. Bid-ask spreads on Alpha...