We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

We investigate and test hypotheses on how informed trading varies with market-wide factors and the structural and trading characteristics of a firm. We find strong evidence of commonality in informed trading, and a systematic dependence of informed trading on firm characteristics that is largely...

We examine stock index futures and Treasury futures around the release time of 30 U.S. macroeconomic announcements. Nine of the 20 announcements that move markets show evidence of substantial informed trading before the official release time. Prices begin to move in the “correct” direction...

We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the "correct" direction about 30 minutes...

Using a new daily dataset for all stocks traded on the New York Stock Exchange between 1905 and 1910, we study the impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial crises of the 20th century. We estimate that the market...

Equity options exchanges in the United States use one of two models to execute marketable orders: the maker-taker model or the payment for order flow (PFOF) model. Exchanges utilizing the maker-taker model charge liquidity demanders a taker fee to access their liquidity. Exchanges utilizing the...

Although the EU has achieved an impressive degree of harmonization in the securities laws of its member states, it has not yet advanced any effective collective private remedies for violations of those securities laws. This is especially noteworthy since the U.S. Supreme Court's decision in...

I estimate that statewide pension funds in the United States incur annual investment expenses averaging 1.3% of asset value. A sample of 24 of them underperformed passive investment during the past decade by an average of 1.4% a year. And yet, those same funds report that they outperformed...

Research on angel investors is sparse because data are sparse. Most comprehensive studies of angel investors have focused on the US and UK. In these studies, definitions of angel investors and estimates of returns on angel investments vary dramatically. What can we make of this wide range of...

Using hand-collected fund manager race data, we study the current status of minority managers in the mutual fund industry. We investigate manager characteristics and performance differences between the minority (Asian, Black, Hispanic Latino) and White managers. Our results show that minorities...