We examine the relation between liquidity, volume, and volatility using a comprehensive sample of U.S. stocks in the post-decimalization period. For large stocks, effective spread and volume are positively related in the time series even after controlling for volatility, contrary to most...

I investigate seasonalities in a set of well-known anomalies in the cross-section of U.S. stock returns. A January seasonality goes beyond a size effect and strongly affects most anomalies, which can even switch sign in January. Return seasonality exists outside of January depending on the month...

We train a machine learning method on a class of informed trades to develop a new measure of informed trading, the Informed Trading Intensity (``ITI''). ITI increases before earnings, M&A, and news announcements, and has implications for return reversal and asset pricing. ITI is effective...