We propose a novel discretionary accruals (DA) measure in the unexplored dimension of non-current accruals. We show that our measure (DA-NC) can improve the forecasting performance of fraud prediction models that rely on conventional current accruals-based DA measures. Analysing accounting...

We study the order exposure choice of various trader types in high-speed markets. Using message-level data to identify algorithmic (ATs) and non-algorithmic traders (NATs) we examine how technological differences affect order exposure. While both ATs and NATs hide orders, superior technology...

This paper documents the liquidity-supplying behavior of High-Frequency Traders (HFT) during the abrupt and sustained market decline led by the COVID-19 outbreak. The findings suggest that these endogenous liquidity providers reduce their supply of liquidity in times of sustained market stress...

This paper documents the liquidity-supplying behavior of High-Frequency Traders (HFT) during the abrupt and sustained market decline led by the Covid-19 outbreak. The findings suggest that these endogenous liquidity providers reduce their supply of liquidity in times of sustained market stress...

We use detailed message-level data from a high-speed market that flags the orders of high-frequency traders (HFTs), agency algorithmic traders, and non-algorithmic traders to show that only the unexpected part of HFTs’ net buying pressure, computed from the inflow of aggressive and...

Using transactions-based calendar –time (TBCT) portfolio analysis, we investigate informativeness of trades of investor categories, viz institutions, proprietary traders and retail-clients. We find that trade informativeness is positive for institutional and negative for retail-client...

By adverse-selecting liquidity providers, toxic order flow harms liquidity. We empirically examine which components of modern markets' net flow of orders convey information and signal toxicity. We find that the net flow of non-marketable orders is more informative than the trade-initiator-based...