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...