We examine daily short-selling activity and prices around reverse stock splits. Using a difference-in-difference approach with a matched sample of reverse splitting and non-reverse splitting stocks, we show that short selling increases in stocks that reverse split, relative to those that do not....

This paper studies the relation between intermarket sweep order, ISO, order imbalances and daily returns of individual stocks. I show that ISO order imbalances positively affect contemporaneous returns. Second, I find that price pressures emanating from ISO imbalances are persistent and result...

In this article, I study the differences in off-exchange trades reported between the NASDAQ and NYSE Trade Reporting Facility (TRF). I examine the differences in market quality and preferencing for trades reported in each TRF and show that trades reported in the NASDAQ TRF have both higher...

This study examines the effects of dark and lit market fragmentation around both earnings announcements and earnings surprises. I find that both dark and lit market fragmentation increase around earnings announcements. I further test whether dark and lit fragmentation hinders the level of price...

We study the levels of lit and dark fragmentation in IPOs. Using a sample of 451 IPOs, we find that measures of dark and lit fragmentation are higher in underpriced issues. We further test the claim that IPO price uncertainty is not fully resolved at the offering and that this ex-post...

We examine the information content of retail order flow relative to dark institutional and lit markets. We use multiple sources of retail order identification and account for the fact that market opacity affects order routing choices of both institutions and the brokers who sell retail orders....

We evaluate the information structure of US markets after the implementation of the SEC tick pilot program. We find significant changes in the information structure of the market conditioned on the market fee structure. Maker-taker market volume flow increases in informational efficiency while...