Liquidity plays an important role in global research. We identify high-quality liquidity proxies
based on low-frequency (daily) data, which provide 1,000× to 10,000× computational …

We study the effect of algorithmic trading (AT) intensity on equity market liquidity, short-term
volatility, and informational efficiency between 2001 and 2011 in 42 equity markets around …

We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in
42 equity markets around the world. We use an exchange colocation service that increases …

We study the informativeness of trades via discount and full-service retail brokers. We find
that trades via full-service retail brokers are statistically and economically more informative …

This paper empirically examines limit order revisions and cancellations which contribute to a
significant portion of the order activity in many order-driven markets. We document that limit …

We examine a general class of volatility over volume liquidity proxies as computed from low
frequency (daily) data. We start from the Kyle and Obizhaeva (2016) hypothesis of …

Credit ratings of corporations are biased, but the forces driving this bias are unclear. We
argue it would be difficult for rating agencies to issue high grades for a firm’s debt when there …

Using monthly active equity fund portfolio holdings, we examine the magnitude of style drift
and decompose it into active and passive components. We find that while fund style tilts are …

This study provides an empirical examination of derivative instruments used by institutional
investors. Our analysis provides a unique insight into the role and benefits of derivative …

We use unique data from Australia to analyze the nature and determinants of order flow frag-mentation
across all trades and every security traded. Our panel regression estimates …