A model is presented with counter-cyclical belief heterogeneity and habit-formation preferences. Belief heterogeneity stems from disagreement in the interpretation of common signals. The model accounts for the positive relation between the magnitude of returns and trading volume, the asymmetric...

Using the first and recently available universe of dark pool trading in the U.S. from FINRA, we document trading patterns around scheduled and unscheduled corporate information events. We find that there is more trading in dark pools in the week of earnings announcement as well as analyst...

I investigate whether the relation between investor sentiment and profitable trading strategies is due to short sale constraints. I find that the average security in these strategies is not hard-to-short. Furthermore, the short leg does not appear to be harder to short or more overvalued than...

We develop a High Frequency (HF) trading strategy where the HF trader uses her superior speed to process information and to post limit sell and buy orders. By introducing a multi-factor mutually-exciting process we allow for feedback effects in market buy and sell orders and the shape of the...

The paper re-examines whether investors can predict oil and gas stock prices for abnormal returns using autocorrelation-based trading and filter rules and moving average based strategies. Short and long lengths moving averages were employed and their performances measured against the returns...

This paper studies the relation between intermarket sweep order, ISO, order imbalances and daily returns of individual stocks. I show that ISO order imbalances positively affect contemporaneous returns. Second, I find that price pressures emanating from ISO imbalances are persistent and result...

Prior research posits that traders with short-lived information favor lit exchanges over dark pools due to execution certainty. This paper focuses on the relation between informed trading based on firm fundamentals and dark pool volume because the preferred venue for traders with longer-lived...

We propose a new model of trading in OTC markets. Dealers accumulate inventories by trading with end-investors and trade among each other to reduce their inventory holding costs. Core dealers use a more efficient trading technology than peripheral dealers, who are heterogeneously connected to...

This paper addresses challenges relating to applying data mining techniques to detect stock price manipulations and extends previous results by incorporating the analysis of intraday trade prices in addition to closing prices for the investigation of trade-based manipulations. In particular,...