Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...

Prevailing research posits that liquidity providers bypass long queue lines on exchanges by offering liquidity in dark venues with de minimis sub-penny price improvement, thus exploiting an exception to the penny quote rule. We show that (a) the SEC enforces the quote rule to prevent sub-penny...

This paper analyses the impact of the evolution of the regulation dealing with systemically important insurance groups, using an event study methodology. The results show that investors were able to detect which companies were to be designated well ahead of the publication of the list. After an...

We examine the price discovery process of initial public offerings (IPOs) from the offer price to the first day’s open price. Stock exchanges have made major changes to the IPO preopening process, and introduced an open auction process in which all investors are able to enter orders and...

We derive closed form expressions for equilibrium asset prices and liquidity in an economy populated by a finite number of large, strategic, risk averse investors. The model allows for arbitrary risk preferences, any number of assets, and an arbitrary distribution of asset payoffs. In...

Despite continued attempts by regulators to curtail abusive short sales and increase transparency, the pattern and practice of fraudulent manipulation continues to proliferate and threaten the capitalization of a wide variety of issuers within the securities market. Identifying a meaningful...

Baker and Wurgler [2007] take a “top down” approach to behavioral finance and stock market. Investor sentiment is taken to be exogenous and the focus is on its empirical effects. Sentiment is measurable and its waves have clearly discernable, important, and regular effects on firms and the...

Baker and Wurgler [2007] take a “top down” approach to behavioral finance and the stock market. Investor sentiment is taken to be exogenous and the focus is on its empirical effects. Sentiment is measurable and its waves have clearly discernible, important, and regular effects on firms and...

Blockchain technology has the potential to supplement the existing infrastructure for securities offerings. After examining the shortcomings of historical attempts, the article analyses the redeeming features of blockchain-based securities offerings including lower overall cost structure,...

I develop a sequential trading model with ambiguity-averse market makers and provide a theoretical explanation to the historical coincidence of ambiguous events, asset illiquidity, and price variability. My model implies that the bid-ask spread of an asset contains an additive component of...