The goal of this paper is to investigate whether specialists use quoted depth as a strategic choice variable. In particular, the paper investigates whether specialists manage quoted depth to reduce risks associated with information events. In order to study specialists' behavior, quoted depth...

The historical dynamics of entry and exit in the financial exchange industry are analyzed for a panel of 741 exchanges in 52 countries from 1855 through 2012. We focus on economic, technological, and regulatory factors. Using novel panel data evidence, we empirically test whether these factors...

While no two mutual funds are alike in terms of their mandates and constraints, metrics used to evaluate fund performance relative to peers typically fail to account for these differences by relying on generic benchmark indices and rankings. We develop a methodology to construct a conditional...

While no two mutual funds are alike in terms of their mandates and constraints, benchmarks used to evaluate managers fail to account for these differences by typically using unadjusted indices as performance benchmarks. In this paper, we develop a methodology to evaluate a portfolio manager's...

Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit quality and liquidity across countries, we show that the...

We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) can account for as much as 26 percent of the day-to-day variation in...

We investigate the formation and structure of 248 financial exchanges throughout the world. First, we empirically analyze the determinants of exchange formation as well as the impact of exchange formation on the domestic country's economy. Second, conditional on formation, we use a probit model...

We investigate if, and how, the gender composition of a committee affects its decisions and dynamics, using meeting transcripts of the Federal Reserve's Federal Open Market Committee (FOMC) from 1978 to 2014, wherein the committee's decisions, deliberations and individual voting patterns are...