volatility, I conclude that after-auction periods take over a large share of infrequent rebalancing, being attractive for a … infrequent rebalancing after the daytime auctions. Finally, I show that post-auction returns predict returns before the US market …

auction system works, what it indicates about price formation, and how well it performs. We begin with a short description of … the mechanics of the auction system and then organize the remainder of our discussion around two major topics. The first … topic concerns how researchers have used auction prices. We begin by discussing the returns to holding art and whether …