The proliferation of anomalies and the resulting `factor zoo' has challenged finance researchers to identify firm characteristics that are genuinely related to the cross-sectional variation in expected stock returns. We address this challenge using a Bayesian ensemble of trees approach, namely,...

We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...