Understanding the impact of climate mitigation policies is key to designing effective carbon pricing tools. We use institutional features of the EU Emissions Trading System (ETS) and high-frequency data on more than 2,000 publicly listed European firms over 2011-21 to study the impact of carbon...

We derive closed form expressions for equilibrium asset prices and liquidity in an economy populated by a finite number of large, strategic, risk averse investors. The model allows for arbitrary risk preferences, any number of assets, and an arbitrary distribution of asset payoffs. In...

This paper studies the impact of mandatory portfolio disclosure of mutual funds on the liquidity of disclosed stocks and on fund performance. We consider a theoretical model of informed trading with different mandatory disclosure frequencies. Using a regulation change in May 2004 that increased...

We study the investment choices of institutional investors in response to the governments' interventions in the real estate market. We find that mutual funds decreased their ownership in equities during the intervention months with no short-term reversal. This behavior is more observed among...

An attempt is made in this paper to analyze and compare the different institutional investors' investments in the Indian stock market. The chief categories of institutional investors considered in the study are Foreign Portfolio Investors (FIIs), Domestic institutional investors (DIIs) and...

Almost all U.S. firms now announce earnings outside of regular trading hours. This paper studies how stock prices incorporate information in after-hours trading. I find slow prices adjustment accompanied by significant trading volume. During 2002-2012, 5,881 rule-based trading opportunities...

In March of 2000 the New York Stock Exchange proposed a merger with The Nasdaq Stock Market. Applying a qualitative assessment to the proposed merger from the organizations' perspective it is argued that the merger would be favorable for both organizations. Applying a quantitative assessment to...

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

We investigate the impact that the publication of the Bank of England's Financial Stability Report (FSR) has on the stock returns and credit default swap spreads of UK financial institutions. Examining a sample of 73 UK-listed banks and other financial institutions, we find that publication of...

We use a proprietary dataset to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information acquisition before analyst recommendations are publically announced....