There are many instances where financial claims trade at prices set by intermediaries. Pricing by an intermediary introduces the potential for economic distortions from innumerable sources. As one example, we show that nonsynchronous-trading generates predictable, readily exploitable, changes in...

This study documents high-frequency (daily) mutual fund return autocorrelations and examines the causes and consequences. We assert the cause to be nonsynchronous trading in the underlying assets of the fund, which presents investors with an option to (indirectly) trade those assets at stale...