Market liquidity and market making – the case of fixed income and low interest rates Market liquidity has received a lot of attention lately, especially in fixed-income markets. This paper studies the determinants of market liquidity in a theoretical model for market making with inventory...

We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For each of the stocks that we study, we identify a sequence of distinct phases across which the net flow of orders...

The first essay presents new empirical findings which are inconsistent with prominent theories on the investment premium. The investment premium is the positive stock return difierential between firms with low and high asset growth. Asset growth is the annual percentage change in total assets...