We investigate how the introduction of market data fees impacts trading and market quality. We find that data fees decrease the fee-introducing exchange’s market volume, its time with competitive quotes, its visible liquidity, and its role in price discovery. We observe brokers routing market...

Based on a theory of portfolio choice with non-tradable assets, we estimate perceived background risks immediately before and after the Great Recession from a large representative panel survey of U.S. households. Background risks related to human capital, residential property and proprietary...

We compare execution outcomes in dark pools that are open to all investors against outcomes in pools that restrict high frequency trader access. Conditional on execution, trades in restricted pools have less order flow information leakage and adverse selection risk than trades in pools with...

We study how expectations of fund flows causally affect fund performance by exploiting a quasi-natural experiment in the Australian pension system where an unexpected policy change temporarily allowed fund withdrawals from a pre-specified date in the future. Using fractions of young members,...

This paper uses regulator-provided transaction data to investigate how trading in dark pools affects intraday market quality on the limit order book of the primary exchange for members of the FTSE 100 index. Using trading patterns from execution algorithms as instrumental variables, I show that...

This paper uses proprietary data to evaluate the efficacy of single-stock circuit breakers on the London Stock Exchange during July and August 2011. We exploit exogenous variation in the length of the uncrossing periods that follow a trading suspension to estimate the effect of auction length on...