Despite strong theoretical predictions based on disagreement, limited empirical evidence has linked short selling restrictions to higher prices. We test this relationship using quasi-experimental methods based on Rule 201, a threshold-based policy that restricts aggressive short selling when...

We document new intraday trading patterns indicative of the key roles of endogenous trading responses of investors to variations in imperfectly-competitive liquidity provision. When measured in trade times of fixed dollar values, price impacts and volatility fall sharply from open to close, and...

We derive testable implications of Kyle and Obizhaeva's (2016) notion of "bet invariance'' for the cross-section of trade-time volatilities. We jointly develop theoretical foundations of "no speculative arbitrage'' whose implications incorporate those of bet invariance. Our proposed test...

We use quasi-exogenous variation in trading activity at the sub-second frequency to show that higher trade and quote intensities cause higher volatility but perhaps surprisingly have no significant effect on stock liquidity. This result has significant implications for the theories of strategic...

I show that the inventory risk faced by market-makers has a first-order effect on option prices. I introduce a simple approach that decomposes the price impact of trades into inventory risk and asymmetric information components. While both components are large for option trades, the inventory...

We investigate the type of information text sentiment uncovers using earnings conference call transcripts and find that text sentiment fails to explain returns during intraday calls, while average trading volume and return volatility are higher during the call. This finding indicates that...