In November 2008, the Federal Reserve announced the first of a series of unconventional monetary policies, which would include asset purchases and forward guidance, to reduce long-term interest rates. We investigate the behavior of shorts, considered sophisticated investors, before and after a...

This paper uses the methods of error correction and common factor analysis to estimate the contribution of locals (market makers who may participate directly by trading for their own account) and non‐local traders to price discovery on the floor of the Chicago Board of Trade (CBOT) and the...

This thesis consists of three essays examining the behavior of informed traders infinancial markets and how they affect asset pricing. It examines informed traders’ rolein shaping securities prices in three ways. It examines whether on a macro and microbasis insider traders move prices to a...

Exchanges commonly use circuit breakers as a market-stability tool to mitigate excess volatility and avoid erroneous or highly uninformed trading. Technological advancements have allowed regulators to experiment with innovative circuit-breaker design mechanisms. We evaluate the special quotes...

We test the invariance-of-bet hypothesis from Kyle and Obizhaeva (2016) for one of the largest order-driven equity markets: the Tokyo Stock Exchange (TSE). The pooled regression coefficients of the log of the number of trades on the log of trading activities range from 0.586 to 0.679, close to...

Cohen, Diether, and Malloy (Journal of Finance, 2007), find that shifts in the demand curve predict negative stock returns. We use their approach to examine changes in supply and demand at the time of FOMC announcements. We show that shifts in the demand for borrowing Treasuries and agencies...

We test the invariance-of-bet hypothesis from Kyle and Obizhaeva (2016) for the Tokyo Stock Exchange. The pooled regression coefficients of log of the number of trades on log of trading activities range from 0.586 to 0.679, close to the theoretical value of two-thirds predicted by the...

The Daimler foray into the international equity market, beginning with its 1993 cross-listing in the U.S. and peaking with its 1998 merger with Chrysler, provides an uncommon opportunity to explore the interplay between competing approaches countries may take in their treatment of minority...