Financial benchmarks such as LIBOR underpin the pricing of trillions of dollars of contracts around the world. We propose a novel approach to evaluate the quality of benchmark prices. The method separates information (efficient price innovations) from noise (temporary deviations from the...

97% of orders in US stock markets are cancelled before they trade, straining market infrastructure and raising concerns about predatory or manipulative trading. To understand the drivers of these extreme cancellation rates, we develop a simple model of liquidity provision and find that growth...

We model how ETFs compete and set fees. We show that ETF secondary market liquidity plays a key role in determining fees and leads to liquidity clienteles. More liquid ETFs charge higher fees in equilibrium and attract shorter horizon investors that are more sensitive to liquidity than to fees....