We show that estimates of adverse selection in the bid-ask spread obtained using methodologies based on Glosten (1987) can be expressed as a weighted average of adverse selection calculated using continuations (successive trades in the same direction) and reversals (successive trades in opposite...

We show that the positive volatility-volume documented by numerous researchers actually reflects the positive relation between volatility and the number of transactions. Thus, it is the occurance of transactions, per se, and not their size, that generates volatility; trade size has no...

Real estate investment trust (REIT) stock prices deviate substantially from net asset values (NAV). Using REIT data since 1990, we find large positive excess returns to a strategy of buying stocks that trade at a discount to NAV, and shorting stocks trading at a premium to NAV. Estimated alphas...

Stocks can be overpriced when short sale constraints bind. We study the costs of short selling equities, 1926-1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting demand...

This paper summarizes the discussions that took place at a recent one-day listening conference on this and related questions hosted by Columbia Business School's Program for Financial Studies and sponsored by a grant from Norges Bank Investment Management under the Norwegian Finance Initiative...

Regulators and some large investors have recently raised concerns about temporary or transitory volatility in highly automated financial markets. It is far from clear that high-frequency trading, fragmentation, and automation are contributing to transitory volatility, but some institutions...

In response to a regulatory enforcement, the Island electronic communications network recently stopped displaying its limit order book in the three most active exchange-traded funds (ETFs). As a result of this reduction in pre-trade transparency, this dominant venue's share of trading activity...

Stocks can be overpriced when short sale constraints bind. We study the costs of short selling equities, 1926 - 1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting demand...

This paper demonstrates how the principal-agent problem between venture capitalists and their investors (limited partners) causes limited partner returns to depend on diversifiable risk. Our theory shows why the need for investors to motivate VCs alters the negotiations between VCs and...

We study a set of trading restrictions imposed by Robinhood and other retail-oriented broker-dealers in 38 stocks, including GameStop. Restrictions limit equity and/or options positions. Stock price effects are large, with CARs averaging -13.54% within two hours after a stock’s first trading...