We examine the real effects of stock market efficiency by analyzing how noise in stock prices affects the efficiency of capital allocation. Using data from 42 countries and a long time-series, we find that the efficiency of capital allocation across firms (the sensitivity of corporate investment...

Asset managers play a dual role by simultaneously managing funds and increasingly providing investment model recommendations to third-party financial advisors. Using a novel data set focusing on recommendations by ETF issuers and strategists, we discover that these recommendations have a...

We investigate how the introduction of market data fees impacts trading and market quality. We find that data fees decrease the fee-introducing exchange’s market volume, its time with competitive quotes, its visible liquidity, and its role in price discovery. We observe brokers routing market...

Being green is not easy, but is it also costly? We use US government procurement contracts to calculate the cost of being green. Comparing contracts that are nearly identical but for one being required by law to be green we find a cost premium of at least 20%. We further show that the quality of...

The monthly trading volume and proportion of Zero-Day-to-Expiry (0DTE) options have increased from zero to 26 million contracts and from zero to 40% between 2011 and 2022. We study how 0DTE option trading affects the volatility of the underlying asset. We find that more 0DTE options trading...

Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the two trends related? For a recent five-year panel of New York Stock Exchange (NYSE) stocks, we use a normalized measure of electronic message traffic (order submissions,...