We use random matching to study the trading behaviors of retail investors who hold passive exchange traded funds invested in stocks (P-ETFs). Using both trading records and survey data to control for all the key investor characteristics, we find strong evidence that retail investors trade...

We identify fast trading by directly measuring message traffic and the lifetime of orders for all market members on Euronext using their identification codes. We show that the fast-traded stocks exhibit the weakest decrease in both the relative spread and the cost of round trip trade. These...

Using a large set of trading accounts, we study the determinants of retail investing in passive Exchange Traded Funds (P-ETFs). Controlling for investor characteristics related to their risk-return profile, trading activity, and socio-demographics, we show that the probability and magnitude of...

We investigate the portfolio performance of retail investors who combine stocks and passive exchange traded funds (P-ETFs) by relying on both proprietary trading records and survey data. We use propensity score matching to control for all the key investor characteristics and better identify the...

This paper investigates why traders hide their orders and how other traders respond to hidden depth. Using a logit model, we provide empirical findings suggesting that traders use hidden orders to manage both exposure risk and picking off risk. Using probit models, we show that hidden depth...