Performance share plans are an increasingly important component of executive compensation. They are equity-based, long-term incentive plans where the number of shares to be awarded is a quasi-linear function of a performance result over a fixed time period. We derive closed-form formulas for the...

Chinese Interbank Foreign Exchange trading was originally conducted through a centralized, anonymous limit order book (LOB). We determine the impact of the introduction of a parallel decentralized over-the-counter (OTC) market. We find that: (1) most trading migrated to the OTC, (2) the LOB...

Liquidity plays an increasingly important role in empirical asset pricing, market efficiency, and corporate finance. Identifying high quality proxies for liquidity based on daily data only (not intraday data) would permit liquidity to be studied over relatively long timeframes and across many...

We develop a model that accounts for medium-term continuation (momentum) in asset returns by analyzing information acquisition about news events (such as earnings announcements) in a multiperiod setting. As more and more agents become informed about news events, temporal uncertainty is resolved...

We develop an integrated model in which a risk neutral informed trader optimally chooses any combination of: a market buy, a market sell, a limit buy including the optimal limit buy price, and a limit sell including the optimal limit sell price. We allow orders to cross with one another without...

We develop an integrated model in which a risk neutral informed trader optimally chooses any combination of: a market buy (MB), a market sell (MS), a limit but (LB) including the optimal limit buy price, and limit sell (LS) including the optimal limit sell price. With minimal distributional...

Liquidity plays an important role in global research. We identify high quality liquidity proxies based on low-frequency (daily) data, which provide 1,000X to 10,000X computational savings compared to computing high-frequency (intraday) liquidity measures. We find that: (1) Closing Percent Quoted...

We develop two new methods for matching trades and bid-ask quotes that account for information latency in the era of fast trading. The first method adjusts for exchange-to-SIP latency. The second method constructs exchanges' Relative Best Bid and Offer (RBBO) based on exchange-to-exchange...