We report the results of an experiment designed to study whether or not having experienced booms and crashes in naturally occurring asset markets affects subjects’ trading behavior in the lab. Active investors in the Shanghai Stock Exchange were recruited to participate in either the Boom...

Can the liquidity premium in asset prices, as documented in the exchange-traded equity and bond markets, be generalized to the over-the-counter (OTC) derivative markets? Using OTC euro ([euro]) interest rate cap and floor data, we find that illiquid options trade at higher prices relative to...

Using a unique dataset of trades and limit orders for S&P 500 futures, we decompose the aggregate risk into a component driven by the impact of net market orders and a component unrelated to net orders. The first component--flow-driven risk--is large, accounting for approximately 50% of market...

Does the mutual fund industry lose its best managers to hedge funds? We find that mutual funds are able to retain managers with good performance in the face of competition from a growing hedge fund industry. On the other hand, poor performers are more likely to leave the mutual fund industry. A...

We address three questions relating to the interest rate options market: What is the shape of the smile? What are the economic determinants of the shape of the smile? Do these determinants have predictive power for the future shape of the smile and vice versa? We investigate these issues using...

We examine the execution quality of electronic stock traders who are geographically dispersed throughout the United States. Traders who are located near market central computers in the New York City area experience faster order execution. Moreover, the time to execute orders rises as a trader's...

"This study examines for evidence of peer effects in the trading decisions of individual investors from Mainland China, a country whose cultural and social structures are vastly different from those of Western countries. Cultural differences, as widely documented, play a significant role in...

The cost of trading in securities markets is often estimated on the basis of: 1. the number of shares executed rather than the number of shares in the original order; and 2. the quote midpoint at the time of trade execution rather than at the time of order submission. In our paper, we obtain...

We examine quantity choice patterns by equity traders across trading hours in the U.S. Controlling for intraday variations in trading activity, we find that traders submit more non-rounded order sizes and more order sizes overall leading up to a day’s market close. Traders who submit more...