In the context of the switch to free-float weighting in the S&P 500 Index, this study of the effect of the availability of shares on liquidity in the medium term found cross-sectional differences in liquidity and price impact measures that gradually narrowed following each phase of the...

The magnitude of the short term market reaction to news announcements is adversely affected by the total number of announcements that day. We argue that the total number of announcements creates a level of distraction that results in a significant underreaction on high distraction days. The...

Savings decisions are essential in reallocating income across periods but understanding this concept may be mired by low levels of financial literacy. We survey individuals to identify the role of financial literacy in savings rates. We note differences in financial literacy and savings rates...

Traditional market makers are losing their importance as automated systems have largely assumed the role of liquidity provision in markets. We update the model of Glosten and Milgrom (1985) to analyze this new world: we add multiple securities and introduce an automated market maker who prices...