We explore the effects of a "tick size war" where European exchanges competed directly on the minimum pricing increment in the limit order book, the tick size. We find exchanges that reduced their tick size immediately captured market shares of quoted and executed volume from exchanges that kept...

We characterize the equity holding periods for all equity owners in a stock market over a 15 year period. The median holding period is 0.75 years. We show that the hazard function for equity ownership is characterized by negative aging, an equity owner is less and less likely to realize a...

We investigate the link between stock returns and ESG (Environmental, Social and Governance) concerns. The ESG concerns are measured by ESG-related sentiment extracted from Google Trends and Twitter, and also by the VIX index. We find that higher ESG scores are associated with lower stock...

We investigate the impact of the Tax Reform Act of 1986 on the relative pricing of U.S. Treasury bonds. We obtain positive, statistically and economically significant estimates for the implicit tax rates of a "representative" investor in the late 1970's and early 1980's. After the 1986 Tax...