This paper examines competition between ETFs that hold nearly identical portfolios of securities. We provide evidence that incumbent-fund liquidity is negatively affected when a new ETF is added to an asset class. The degradation in liquidity is even more severe whenever both funds follow the...

Despite widely publicized fee reductions, we find that average ETF expense ratios have remained relatively steady during the last 15 years. Even though thousands of new funds have entered the market, the arrival of most ETF sponsors into a narrowly defined area does not generally lead to lower...

We examine the operating performance improvements associated with the extension of trade credit. Our results suggest a positive and significant relation between future profitability and contemporaneous trade credit provision. Further findings indicate significantly higher margins, revenues and...

I introduce a method for gauging the qualitative similarity of firm-specific information based on linguistic commonality in newswire text. I show that this new qualitative similarity measure predicts future cross-firm return correlation even after accounting for the pair's contemporaneous price...

Prior research suggests that ETF arbitrage affects the market quality of underlying securities. We directly test this proposition by examining minute-by-minute returns and order imbalances, but find little evidence that trading in ETFs impacts the underlying. Panel vector autoregression shows...

We explore the relation between limit order price clustering and price efficiency. We find that executed sell limit orders cluster more frequently on round increments than buy limit orders and that this asymmetry in clustering is consistent with the well documented asymmetry in price response to...

This paper provides a new empirical strategy for testing models of information choice based on observing which types of information are consumed and incorporated into asset prices. Consistent with the predictions of the information driven comovement hypothesis (Veldkamp 2006), we find that stock...

Research argues that short sellers are informed investors as current short selling relates inversely with future returns. However, empirical results have yet to determine whether short sellers trade on private information before, say, an upcoming negative new. This paper takes a step in this...

This study examines the contradictory predictions regarding the association between the premium paid in acquisitions and deal size. We document a robust negative relation between offer premia and target size, indicating that acquirers tend to pay less for large firms, not more. We also find that...

Easley, Hvidkjaer, and O'Hara (2002), building upon the asset pricing model of Fama and French (1992), show that the probability of informed trading (PIN) is a determinant of asset returns for NYSE-listed securities. We extend this work by examining whether the PIN is a predictive factor for...