We study the impact of the adoption of zero commissions by major retail brokers and find that retail brokers that started charging zero commissions dramatically increase their market share of client assets. In addition, these retail brokers increasingly routed orders off exchange (i.e., OTC) to...

We employ NASDAQ order level data to analyze intraday trading at option expirations and cross-market price pressure spillover. Algorithmic traders appear to place proportionately more fleeting orders in optionable stocks on option expiration versus non-expiration days. Since most observed...

We show theoretically that a novel nonlinear interaction of fund flows and returns plays a central role in either moderating or amplifying the portfolio rebalancing demand of levered and inverse-levered ETFs (LETFs). Rebalancing, in turn, affects underlying’s and market’s return volatility....

Zero-commission brokers increasingly route orders to wholesale market-makers and away from exchanges to possibly earn more PFOF in compensation for commission losses. Retail investors move assets to zero-commission brokers, whose assets increase 7%, despite investors’ awareness of potential...

Although it is well established that investors are willing to accept a negative premium for lottery-like stocks, it is puzzling that the opposite effect is not observed in stocks experiencing large daily losses. We find that stocks that experience large negative daily returns (MIN) also display...

An inversion is a strategy used by multinational enterprises (MNEs) to avoid high corporate taxes in their home countries, by changing their domicile to foreign countries with lower taxes. While prior studies have focused primarily on firm-level and country-level determinants of inversions, we...

US state pension plans generally use overstated discount rates based on historical performance, creating the appearance of healthy funding at the cost of future underfunding. Conversely, adopting a US Treasury discount rate, or another alternative suggested by previous literature, would cause...