We investigate institutional trading of American Depositary Receipts (ADRs) around ex-dividend dates motivated by recent concerns of abusive practices of ADR pre-releases and illegal refunds of dividend withholding taxes. Using data on US stocks, foreign stocks, and ADRs from 1999 to 2014, we...

The monthly trading volume and proportion of Zero-Day-to-Expiry (0DTE) options have increased from zero to 26 million contracts and from zero to 40% between 2011 and 2022. We study how 0DTE option trading affects the volatility of the underlying asset. We find that more 0DTE options trading...

Asset managers play a dual role by simultaneously managing funds and increasingly providing investment model recommendations to third-party financial advisors. Using a novel data set focusing on recommendations by ETF issuers and strategists, we discover that these recommendations have a...

Being green is not easy, but is it also costly? We use US government procurement contracts to calculate the cost of being green. Comparing contracts that are nearly identical but for one being required by law to be green we find a cost premium of at least 20%. We further show that the quality of...

On October 18, 2021, SEC staff released a long-awaited report on equity and options trading in connection with the meteoritic rise of GameStop’s share price in January 2021. The staff report addressed several issues surrounding the GameStop episode, but one of the most widely reported was the...

We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out. Earlier entry is associated with larger effects. After Passive HFT entry, incumbent spreads tighten....

We examine empirically the role of high-frequency traders (HFTs) in price discovery and price efficiency. Based on our methodology, we find overall that HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing...