We examine factors that influence U.S. equity trader choice between dark and lit markets. Marketable orders executed in the dark are larger in size. They also receive favorable prices and incur minimal price impact. However, dark orders take longer to execute and have lower fill rates. Traders...

We propose that the presence of short-term investors, such as short sellers, does not necessarily enhance short-termism. On the contrary, based on a sample of 11,969 firms across 33 countries over the 2003-2009 period, we observe that the threat of short selling increases long-term (i.e., R&D)...

We propose that the presence of short-term investors, such as short sellers, does not necessarily enhance short-termism. On the contrary, based on a sample of 11,969 firms across 33 countries over the 2003-2009 period, we observe that the threat of short selling increases long-term (i.e., R&D)...

Investors demand higher premiums from firms whose future performance in R&D is difficult to evaluate. We construct a measure that captures investors' evaluation of a firm's R&D information quality (RDIQ) by linking a firm's historical innovation input (R&D expenditures) and innovation outcome...

This paper investigates the question of how much each sector contributes to systemic risk in the Chinese stock market. Based on two recently developed approaches, namely, Marginal Expected Shortfall (MES) and Component Expected Shortfall (CES), the empirical results demonstrate that weights of...

This paper examines whether foreign investor heterogeneity plays a role in stock liquidity on a sample of 27,976 firms from 39 countries. Results show that foreign direct ownership is negatively, while foreign portfolio ownership is positively, associated with various measures of stock...

This paper investigates the effect of investor protection on the value impact of stock liquidity. Using a sample of firms from 41 countries for the period between 1996 and 2010, we show that investor protection is positively associated with the value impact of stock liquidity. This association...

We examine the execution quality of electronic stock traders who are geographically dispersed throughout the U.S. Traders who are located further away from market central computers in the New York City area experience slower order execution and higher trading costs. The negative relation between...

We provide a closer look at the trading dynamics which may give rise to the positive relationship between market trading volume and its lagged returns. Chinese market turnover increases sharply with past day returns. A comprehensive dataset which facilitates the tracing of trading activities...