Leveraging the availability of a large panel of signed trade data in the corporate bond market,we explore how machine learning methods can be used to improve upon standard tradedirection classification methods in markets in general, both with and without pre-trade transparency.Using the signed...

Traditional portfolio theory predicts that investors' portfolios should be diversified across international markets. In contrast, empirical studies document that investors are more likely to invest in their home country and in foreign markets that are culturally similar to and geographically...

This study shows that options listing significantly affects the spreads on the underlying stock. The authors identify a trade-off between the benefits of increased liquidity and the cost of informational externalities. Highly liquid stocks tend to have spread increases, while illiquid stocks...

Cross-holding occurs when listed corporations own securities issued by other corporations. We analyze the effect of cross-holdings on market capitalization and return measures as well as implications for econometric testing of asset pricing theories. We show that cross-holdings generally distort...

This paper examines how cross-cultural differences influence institutional investors' trading frequency within their own portfolio. We find evidence that as cultural distance between the investors and their stock holdings increases, institutions trade with lower frequency. Findings are...