Prompted by concerns that high frequency traders (HFTs) reap unfair advantages over other traders by using faster trading technologies, regulators are contemplating measures to slow down equity markets. Currently, HFTs account for a significant fraction of the total market volume. Although...

Designated market makers (DMMs) are contractually obligated to increase liquidity provision when trading volume breaches a floor. Using this feature in a regression discontinuity design, we show that increased DMM participation facilitates price informativeness with respect to earnings news....

Stock prices incorporate less “news” before negative events than positive events. Further, we find evidence that informed agents use less price aggressive (limit) orders before negative events and more price aggressive (market) orders before positive events ("buy-sell asymmetry"). Motivated...

We examine the impact of institutional trading on stock resiliency during the financial crisis of 2007-2009. We show that buy-side institutions have different exposure to liquidity factors based on their trading style. Liquidity supplying institutions absorb the long-term order imbalances in the...