Institutional brokerage rates have been in decline. We investigate whether this reduction has coincided with a fall in benefits provided by brokers to institutional asset managers. We use trade packages from both active and passive equity funds from 1995 to 2001, and active equity funds from...

We examine a general class of volatility over volume liquidity proxies as computed from low frequency (daily) data. We start from the Kyle and Obizhaeva (2016) hypothesis of transaction cost invariance to identify a new volatility over volume liquidity proxy “VoV(%Spread)” for percent spread...

We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in 42 equity markets around the world. We use exchange co-location service that increases AT as an exogenous instrument to draw causal inferences of AT on market quality. On average, AT improves liquidity and...

The COVID-19 pandemic has triggered an unprecedented crisis in the tourism industry. We study the impact of COVID-19 on global Airbnb booking activity regarding three factors: the initial Wuhan lockdown, local COVID-19 cases, and local lockdowns. Using reviews and cancellations as proxies for...

How pervasive is the use of cryptocurrencies to evade capital controls? We develop a new method that exploits blockchain data to identify cross-border flows that circumvent controls via cryptocurrencies. Applying the method to China, we find that capital flight volume is over one-quarter of...

We propose a portfolio holdings-based method for evaluating global equity funds that decomposes excess returns versus benchmark indices into contributions from six equity and three currency ‘style factors', and alpha. The method is used to characterize sources of performance for institutional...