We examine the impact of the surge in trading activity following FOMC announcements on price discovery in the equity market, in particular in the highly liquid S&P 500 E-mini futures. In contrast to the hypothesis that all trading reflects learning about these public news announcements, we find...

From 2010--2015, a group of traders illegally accessed earnings information hours before their public release by hacking several major newswire services. We use their informed trading as a natural experiment to investigate how efficiently markets incorporate private information in trades. 15\%...

Most corporate news occurs in the after-hours market, a very illiquid trading environment. We examine the relationship between liquidity and price discovery around after-hours earnings announcements. Prices reflect earnings surprises through changes in quotes rather than through trades....

We examine the speed and mechanism of the price discovery process following earnings announcements in the after-hours market, a very illiquid trading environment. Prices reflect earnings surprises mostly through changes in quotes rather than through trades. Following positive announcement...

How synchronized are short sellers? We examine a unique dataset on the distribution of pro fits across a stock's short sellers and find evidence of substantial dispersion in the initiation of their positions. Consistent with this dispersion reflecting "synchronization risk," i.e., uncertainty...

We study the equilibrium implications on asset prices of institutions' trading with sentiment-driven retail investors. In the model, both the benchmarking concerns of institutions and the (irrational) optimism of retail investors boost the aggregate demand for a stock. We show that the ensuing...