We propose and estimate a structural model of daily stock market activity to test competing theories of trading volume. The model features informed rational speculators and uninformed agents who trade either to hedge endowment shocks or to speculate on perceived information. To identify the...

We exploit an exogenous shock to dark trading volume to identify the causal effect of changes in dark trading volume on market quality. Following a 34% reduction in dark trading, the cost of trade (e.g. effective spreads, realized spreads, price impact, and quoted spreads) remain unchanged. We...

I use uniquely comprehensive data on financial news events to test four predictions from an asymmetric information model of a firm's stock price. Certain investors trade on information before it becomes public; then, public news levels the playing field for other investors, increasing their...