This study examines the effect of firm-level transparency on liquidity and trading in a multi-market setting, using the market for American Depository Receipts (ADR) as an example. Theory predicts competing effects of transparency on liquidity differences between stocks trading domestically and...

Using limit order books across all U.S. exchanges, we show that while liquidity for small orders (e.g., the quoted and effective spreads) decreases, liquidity for large orders (e.g., the cumulative depth and the price impact of multiple trades) improves after the implementation of the Tick Size...

I study how arbitrage affects liquidity by analyzing several billion trades in the AmericanDepositary Receipt (ADR) market from 2001 to 2016. Price deviations persist, on average, for 12 minutes, and mainly arise because of price pressure. Impulse response functions estimated at 1-minute...

We study how expectations of fund flows causally affect fund performance by exploiting a quasi-natural experiment in the Australian pension system where an unexpected policy change temporarily allowed fund withdrawals from a pre-specified date in the future. Using fractions of young members,...