In this paper, we investigate the information content of trading intensity within the Madhavan, Richardson and Roomans (1997) structural model, where trading intensity is expressed in terms of trading momentum in duration and volume, respectively. We use both transactions and intraday data from...

This paper aims to investigate if derivatives instruments act as a substitute for short sales during periods of restriction imposed on short selling in the cash market for stocks. Contrasting the trading activity in derivative instruments to the underlying stocks, we find no evidence of a...

This study examines the impact of corporate earnings announcements on trading activity and speed of price adjustment, analyzing algorithmic and non–algorithmic trades during the immediate period pre– and post– corporate earnings announcements. We confirm that algorithms react faster and...