This paper analyzes the impact of intraday dynamic price limit rule - Limit Up Limit Down (LULD) on U.S. equity markets and high frequency trading (HFT) behavior around the price limit. Specifically, this paper examines the following five hypotheses: trading interference, volatility spillover,...

II address the way agency incentives evolve, from listed equity with low liquidity to highly liquid stocks with active informed speculators. I conclude that, as the informativeness of stock price about the manager's actions improves, less weight needs to be given to both equity and non-price...

I show in a setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced in the absence of excess short-selling costs. This is because the buyer values the asset at the...

We show in a fairly general setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced. This is because the buying and selling counterparties must both be optimizing....

Although recent research show that institutional informed trading can spur CEOs to work harder and reduce agency costs even for firms with dispersed ownership structure, it leaves unaddressed the ultimate impact of informed trading on firm value. This paper provides empirical evidence and finds...

We show how core assumptions on risk preferences and risk distributions in the microstructure literature shape its conclusions for investment demand curves in equilibrium. In particular, we show that the assumptions of CARA preferences and joint normality of exogenous risk factors and payoffs...

The extant literature argues that the minimum tick is sufficient to prevent exchange access fee “washout” but cannot be reconciled with the association between fees and adverse selection. We provide a new theory of access fees in which they interact with the SEC’s NMS rules to provoke vast...