The causal impact of algorithmic trading on market quality has been difficult to establish due to endogeneity bias. We address this problem by using the introduction of co-location, an exogenous event after which algorithmic trading is known to increase. Matching procedures are used to identify...

Distance-to-default (DtD) from the Merton model has been used in the credit risk literature, most successfully as an input into reduced form models for forecasting default. In this paper, we suggest that the change in the DtD is informative for predicting change in the credit rating. This is...

Stock futures offer leveraged positions and are expected to attract informed traders. However, many researchers have found that the information share of the stock futures is surprisingly small; the equity spot market appears to play a large role in price discovery. In this paper, we investigate...

Contrary to the weak role of single stock derivatives found in the price discovery literature, this paper finds that single stock futures (SSF) traded on a liquid exchange have a high average information share of 49 percent, which increases by six percentage points upon information arrival. A...

Regulators worldwide have introduced measures such as a fee on high order-to-trade ratio (OTR) to slow down high frequency trading, which existing research shows as having mixed results about its impact on market quality. We study a natural experiment in the Indian stock market where such a fee...

The timeliness of the credit rating of a firm has been frequently called into question over the previous two decades. This paper examines whether changes in credit ratings can be updated more frequently than at the frequency of updates in the accounting data. The paper finds that, when market...

In December 2010, the Indian state of Andhra Pradesh passed a law that severely restricted the operations of micro-finance institutions and brought the micro-finance industry to an abrupt halt. We measure the impact of micro-credit withdrawal in this unique natural experiment and find that...