This paper examines two potential effects of the World Trade Center (WTC) attack on the insurance industry, a short-run negative claim effect and a long-run positive growth effect. We hypothesize a short-run claim effect, resulting from insufficient premium ex-ante for catastrophic losses, and a...

With the demise of traditional market makers and proliferation of trade execution algorithms that mix market and limit orders, it is no longer clear who provides liquidity in limit order book markets and what determines their liquidity provision decisions. To examine these issues, we develop and...

The magnitude of the short term market reaction to news announcements is adversely affected by the total number of announcements that day. We argue that the total number of announcements creates a level of distraction that results in a significant underreaction on high distraction days. The...