U.S. common stocks are simultaneously traded on multiple trading centers. We study quotes and trades with millisecond timestamps during the flash crash of May 6, 2010 and document new findings about order dynamics when the fragmented market is under stress. First, relative to May 5, 2010, the...

We describe the fundamental issues that long-horizon event studies face in choosing the proper research methodology, and summarize findings from existing simulation studies about the performance of commonly used methods. We document in detail how to implement a simulation study and report...

We propose a method to overcome a bias in the estimate of the probability of informed trading (PIN). This bias arises when the numerical maximization procedure generates corner solutions. We analyze the PIN estimates for about 80,000 stock-quarter pairs between 1993 and 2004, and observe a...

This paper provides new evidence concerning the probability of informed trading (PIN) and the PIN-return relationship. We take measures to overcome known estimation biases and improve the quality of quarterly PIN estimates. We use the average of a firm's PIN estimates in four consecutive...

This paper establishes a causal link between the dollar exchange rate and international trade flows, employing a new instrument for the U.S. Dollar that is based on domestic U.S. housing activity (Ma and Zhang (2019)). In line with the dominant currency paradigm (Gopinath et al. (2020)), import...

This study employs a non-parametric approach to investigate the volatility risk premium in the over-the-counter currency option market. Using a large database of daily delta-neutral straddle quotes in four major currencies - the British pound, the euro, the Japanese yen, and the Swiss franc - we...

This paper examines whether customer base composition in the U.S., i.e., whether a firm's major customers comprise of government entities or publicly traded companies, affects the properties of supplier's management earnings forecasts. Using a sample of 1,168 management earnings forecasts from...