We use a proprietary dataset to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information acquisition before analyst recommendations are publically announced....

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....

Prompted by concerns that high frequency traders (HFTs) reap unfair advantages over other traders by using faster trading technologies, regulators are contemplating measures to slow down equity markets. Currently, HFTs account for a significant fraction of the total market volume. Although...

We examine the information content of retail order flow relative to dark institutional and lit market order flow. After controlling for volume effects, we find that retail order flow is more informed than dark institutional order flow. The majority of price discovery on dark markets comes from...