Leveraging the availability of a large panel of signed trade data in the corporate bond market,we explore how machine learning methods can be used to improve upon standard tradedirection classification methods in markets in general, both with and without pre-trade transparency.Using the signed...

Trade signing algorithms that rely on quote data, tick data or both have been used extensively to assign a trade as either a buy or a sell. Leveraging the availability of a large panel of signed trade data in the corporate bond market, we explore machine learning methods to uncover a new trade...

Empirical studies document that investors typically deviate significantly from a globally market value weighted portfolio, concentrating their portfolio holdings in securities domiciled in their home country and in familiar foreign markets. Evidence that home country concentration stems from an...

Traditional portfolio theory predicts that investors' portfolios should be diversified across international markets. In contrast, empirical studies document that investors are more likely to invest in their home country and in familiar foreign markets. These findings imply that investors do not...

Traditional portfolio theory predicts that investors' portfolios should be diversified across international markets. In contrast, empirical studies document that investors are more likely to invest in their home country and in familiar foreign markets. These findings imply that investors do not...

Chipotle Mexican Grill, Inc. Class A common stock has one vote per share and Class B common stock has 10 votes per share. In a pricing paradox, the Chipotle Class A shares with inferior voting rights have sold at a persistent price premium of as much as 20% more than superior Class B shares....

This paper examines institutions' portfolio allocation and performance in US securities. We test how information immobility, proxied by market correlation and cultural and geographical distance between the investors' home markets and the US, influences portfolio strategies. Consistent with...

We test whether 1) institutional investors with concentrated international holdings outperform internationally diversified investors, and 2) foreign investors with information advantage, measured by cultural and geographic proximity to the target market, outperform other foreign investors. Using...