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...

We examine the effects of high frequency traders (HFTs) on liquidity using the September 2008 short sale ban. To disentangle the separate impacts of short selling by HFTs and non-HFTs we use an instrumental variables approach exploiting differences in the ban's cross-sectional impact on HFTs and...