The paper studies the constrained efficiency of the aggregate stock market in which the investor obtains gain-loss utility directly from fluctuations in asset returns, in addition to consumption. I reveal that the competitive equilibrium is inefficient without any frictions as long as the agent...

Using data from 2002 to 2013, we examine the impact of algorithmic trading on firm value. The results show that algorithmic trading generates net benefits for firm value through impacting stock liquidity, idiosyncratic volatility, and idiosyncratic skewness, and firms benefit more from...

Motivated by recent evidence of informed trading by individual investors (Kaniel, Liu, Saar and Titman, 2012; Kelley and Tetlock, 2012), we posit that individual investor trading enhances firm performance. Consistent with the conjecture, we find that individual investor trading positively impacts...