In August 1999, U.S. exchanges began to compete directly for order flow in many options that had been exclusively listed on another exchange, shifting 37 percent of option volume to multiple-listing status by the end of September. Effective and quoted bid-ask spreads decrease significantly after...

Since the global financial crisis of 2007-09, policy makers and academics around the world have advocated the use of prudential tools for macroprudential purposes. This paper presents a macroprudential tabletop exercise that was aimed at confronting Federal Reserve Bank Presidents with a...

We use daily positions of futures market participants to identify informed traders. These data cover the period from 2000 to mid-2009 and contain 8,921 unique traders. We identify between 94 and 230 traders as overnight informed and 91 as intraday informed with little overlap between these two...

We analyze allocations to institutional and retail investors in 441 initial public offerings (IPOs). In addition to the well known favorable first-day returns, we show that institutions also obtain more allocations in IPOs with better long-term performance. We find that initial institutional...

In this paper, we present a case study of underwriter trading in the aftermarket of a recent initial public offering (IPO). The lead underwriter for this issue actively repurchased approximately 15 percent of the issue size to cover its initial short position. Detailed audit-trail and...

We examine whether speed is an important characteristic of traders who anticipate local price trends. These anticipatory participants correctly trade prior to the overall market and systematically act before other participants. They use manual and algorithmic order entry methods, but most are...

We examine how useful the popular Loughran and McDonald (2011, LM) tonal word lists are for extracting information in IPO prospectuses about first-day returns. We find that there is much more information in word use than captured by the LM tonal lists. We show that the connection between LM...