We examine the introduction of an asymmetric, randomized speed bump that allows low-latency liquidity providers to avoid order-flow driven adverse selection by reacting to activity on other venues. The speed bump segments order flow and increases profits for fast liquidity providers on that...

Dark pools volumes have increased significantly over the last decade. This has raised concerns on the reliability of reference prices used by these pools, and asymmetric participant outcomes via “latency arbitrage”. Using a novel data set provided by the major UK exchanges and dark pools...

We show that poor mutual fund performance can result from agency problems that drive fund inceptions. Funds created to exploit investor irrationality have different portfolio compositions at inception, loading heavily on past winner stocks. Investors reward these funds with abnormally high...

We show that some mutual funds are created to exploit investor irrationality and prioritize raising short-term capital over value creation. We find that capital flows into new funds, which lack performance histories, are especially sensitive to portfolio compositions. Funds loading heavily on...

We study the impact of political relations on media coverage. Using a sample of 3,290 American Depository Receipts (ADRs) from 45 countries, we find that poor political relations between the US and an ADR firm’s home country induce negative coverage by the US media of the ADR firm. To...

International commodity market arbitrage and its corollary, the law of one price, are generally based on moving the commodity between markets to exploit price differences, making allowance for prevailing exchange rates. This form of arbitrage is clearly impossible for services and immobile...

The finance literature has found it challenging to explain empirically observed option returns, most notably in the case of out-of-the-money (OTM) equity index puts. I propose liquidation risk in options markets, defined as the possibility of forced selling of speculative positions following a...

International commodity market arbitrage is generally based on moving the commodity between countries to exploit price differences, making allowance for exchange rates. This form of arbitrage is clearly impossible for services and immobile objects such as real estate. However, there is the...