We propose the potential role of corporate investment in reducing market frictions by exploring the effect of corporate investment on the risk of a stock. Specifically, we demonstrate that higher corporate investment leads to lower premium for stocks exhibiting the delay with which stock price...

This study investigates whether exchange-traded funds (ETFs) increase the information asymmetry of underlying securities by examining the relationship between the US equity ETF ownership or turnover and the volume-conditioned daily return autocorrelation proposed by Llorente, Michaely, Saar, and...

We investigate whether market makers with inventory concerns are compensated with subsequent monthly returns in the cross-section. We find a significant negative relation between order flows and monthly returns, “the order flow effect”, suggesting that market makers lower prices for stocks...