We reexamine hedge fund preferences for stock characteristics using aggregate quarterly hedge fund holdings and a large set of firm characteristics. We find that the expanded set of firm characteristics is important in explaining variation in quarterly hedge fund holdings. Consistent with prior...

This paper examines how market frictions influence the managerial incentives and organizational structure of new hedge funds. We develop a stylized model in which new managers search for accredited investors and have stronger incentives to acquire managerial skill when encountering low investor...

We assess the informational content of an open limit order book from three directions: (1) Does the limit order book allow better inferences about a security's value than simply the best bid and offer prices from the first step of the book? If it does, how much additional information can be...

Substantial progress has been made in extending the Black-Scholes model to incorporate such features as stochastic volatility, stochastic interest rates and jumps.On the empirical front, however, it is not yet known whether and by how much each generalized feature will improve option pricing and...

Substantial progress has been made in extending the Black- Scholes model to incorporate such features as stochastic volatility, stochastic interest rates and jumps. On the empirical front, however, it is not yet known whether and by how much each generalized feature will improve option pricing...

This paper tests for differences in execution costs among specialist firms for NYSE listed securities. Execution cost differences provide a useful measure of the relative performance of specialist firms. We find a substantial difference in effective spreads and order processing costs across...

The Toronto Stock Exchange (TSE) switched from a fractional to a decimal trading system on April 15, 1996. This paper examines the impact of decimalization on the competition for order flows between Canadian and U.S. exchanges by analyzing TSE stocks cross-listed on U.S. exchanges. We find that...

The AMEX changed the tick size from $1/8 to $1/16 for low-price stocks on September 3, 1992. Consistent with the prediction of L. E. Harris (1994, Stock Price Clustering and Discreteness, Review of Financial Studies 7, 149-178), the change has reduced both quoted and effective spreads, although...

This study examines the liquidity characteristics of market anomalies and how liquidity affects institutional trading on those anomalies. We find that long-short portfolios based on market anomalies have pervasive liquidity exposures. For long-horizon anomalies, the long legs of the portfolios...

In this paper, we investigate the impact of market sentiment on cryptocurrency returns. To accomplish this, we use a novel dataset that captures a multitude of attitudes, moods, and emotions extracted from a vast amount of news and social media content. Our findings indicate that social media...