Zero-commission brokers increasingly route orders to wholesale market-makers and away from exchanges to possibly earn more PFOF in compensation for commission losses. Retail investors move assets to zero-commission brokers, whose assets increase 7%, despite investors’ awareness of potential...

We employ NASDAQ order level data to analyze intraday trading at option expirations and cross-market price pressure spillover. Algorithmic traders appear to place proportionately more fleeting orders in optionable stocks on option expiration versus non-expiration days. Since most observed...

We evaluate the role of foreign short-sale restrictions in muting the full return-response following negative earnings surprises for stocks cross-listed in unbanned markets. We update the global timeline of short-sale restrictions until the COVID-19 crisis period. Instead of regulatory price...

We show theoretically that a novel nonlinear interaction of fund flows and returns plays a central role in either moderating or amplifying the portfolio rebalancing demand of levered and inverse-levered ETFs (LETFs). Rebalancing, in turn, affects underlying’s and market’s return volatility....

We study the impact of the adoption of zero commissions by major retail brokers and find that retail brokers that started charging zero commissions dramatically increase their market share of client assets. In addition, these retail brokers increasingly routed orders off exchange (i.e., OTC) to...