This paper provides evidence on the benefits of faster proprietary data feeds from stock exchanges over the regulated “public” consolidated data feeds. We measure and compare the National Best Bid and Offer (NBBO) prices in each data feed at the same data center. Price dislocations between...

We show short selling in corporate bonds forecasts future bond returns. Short selling predicts bond returns where private information is more likely, in high-yield bonds, particularly after Lehman's collapse. Short selling predicts returns following both high and low past bond returns. This,...

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...