The continuous debate and research related to High Frequency Trading emphasises the importance of performing analysis on topics associated with the interaction of traders with different trading speeds, and the effects of this interaction on price efficiency and market quality. The aim of this...

In finance, decision making and choice requires that we assume that asset prices tend to trend. This assumption also logically enables us to construct exits to limit losses and protect capital. But investors have good reason to be uneasy regarding the potential for significant loss when using a...

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...

We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities that facilitate trading common factors in assets' liquidation values. Through accessing a larger basket of assets in endogenously-chosen proportions, composite...

This paper examines whether the outcome bias harms price efficiency in betting exchange markets. In soccer, the match outcome is an unreliable performance measure, as it underestimates the high level of randomness involved in the sport. If bettors overestimate the importance of past match...

Before information φ arrives, market observers must be uncertain whether the stock price conditioned on φ will be higher or lower than the current price. Otherwise there is an obvious arbitrage opportunity. By assuming this minimal condition of efficient markets, it is shown under the...

We study reputational herding in financial markets in a laboratory experiment. In the spirit of Dasgupta and Prat (2008), career concerns are introduced in a sequential asset market, where wages for investors are set by subjects in the role of employers. Employers can observe investment...