We study price pressures, i.e., deviations from the efficient price due to risk-averse intermediaries supplying liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically large price pressures, 0.49% on average with a half life of...

type="main" <title type="main">ABSTRACT</title> <p>Over-the-counter (OTC) markets dominate trading in many asset classes. Will electronic trading displace traditional OTC “voice” trading? Can electronic and voice systems coexist? What types of securities and trades are best suited for electronic trading? We study these...</p>

Responding to a September 2002 regulatory enforcement, the Island electronic communications network stopped displaying its limit order book in the three most active exchange-traded funds (ETFs) where it was the dominant venue. Island's share of trading activity and price discovery fell,...

The current National Football League overtime rule favors the team starting on offense. Auctioning off or dividing-and-choosing the starting possession can potentially restore ex post fairness. We find auctions to provide a better outcome when teams have asymmetric information.

This paper explores the competition between two trading venues, Electronic Communication Networks (ECNs) and Nasdaq market makers. ECNs offer the advantages of anonymity and speed of execution, which attract informed traders. Thus, trades are more likely to occur on ECNs when information...

This paper examines liquidity externalities by analyzing trading costs after hours. There is less than 1/20 as many trades per unit time after hours as during the trading day. The reduced trading activity results in substantially higher trading costs: quoted and effective spreads are three to...