Stocks in a momentum portfolio, which contribute to momentum profits, do not experience reversal in the long run. Conversely, stocks that do not contribute to momentum profits exhibit subsequent reversals. Merging these separate securities into a single portfolio causes momentum and reversal...

Using a large sample of non-financial firms from 47 countries, we examine the effect of derivative use on firm risk and value. We control for endogeneity by matching users and nonusers on the basis of their propensity to use derivatives. We also use a new technique to estimate the effect of...

We examine realized spreads and price impact in clock and trade time following each trade in all common stocks from 2010-2017. The term structure of realized spreads (price impact) is sharply downward (upward) sloping, implying that (a) market maker profitability is sensitive to speed, and (b)...