I investigate the linkage between liquidity provision by Nasdaq market makers and analysts in the same firm. Using three measures of market activity, I find that Nasdaq firms are more likely to provide buy side liquidity in anticipation of upgrades in the period 1999-2000. ECN activity supports...

I investigate the linkage between liquidity provision by Nasdaq market makers and analysts in the same firm. Using three measures of market activity, I find that Nasdaq firms are more likely to provide buy side liquidity in anticipation of upgrades in the period 1999-2000. ECN activity supports...

I investigate the linkage between liquidity provision by Nasdaq market makers and analysts in the same firm. Using three measures of market activity, I find that Nasdaq firms are more likely to provide buy side liquidity in anticipation of upgrades in the period 1999-2000. ECN activity supports...

Breakdowns in market quality are extreme price movements that reverse once the market learns that nothing fundamental has occurred. The average daily breakdown frequency from 1993-2013 is 1.03%, with averages in 2010-2013 more than two-thirds lower at 0.34%. Breakups, extreme price increases,...

Time series evidence on leverage suggests that simple financial ratios may not explain the disparate performance of U.S. banking institutions during the financial crisis. I discuss the cross-section determinants of U.S. commercial bank returns, and find that Tier 1 capital ratios explain nearly...

I discuss the asset pricing and policy implications of Danielsson, Shin and Zigrand, "Endogenous and Systemic Risk." I show that leverage as conventionally measured was not a reliable indicator of systemic stress and that a more detailed examination of bank balance sheets and asset holdings is...

We analyze high frequency trading (HFT) activity in equities during U.S. Treasury permanent open market (POMO) purchases by the Federal Reserve. We construct a model to study HFT quote and trade behavior when private information is released and confirm it empirically. We estimate that HFT firms...

We compare several models for Bear Stearns' credit default swap spreads estimated via a Markov chain Monte Carlo algorithm. The Bayes Factor selects a CKLS model with GARCH-EPD errors as the best model. This model captures the volatility clustering and extreme tail returns of the swaps during...

We analyze high frequency trading (HFT) activity in equities during U.S. Treasury permanent open market (POMO) purchases by the Federal Reserve. We construct a model to study HFT quote and trade behavior when private information is released and confirm it empirically. We estimate that HFT firms...

We compare several models for Bear Stearns' credit default swap spreads estimated via a Markov chain Monte Carlo algorithm. The Bayes Factor selects a CKLS model with GARCH-EPD errors as the best model. This model captures the volatility clustering and extreme tail returns of the swaps during...