We study the effects of a price transparency shock in the Brazilian OTC equity lending market. Previously, a publicly available stock-specific loan fee benchmark was the average fee of the past 15 trading days. On March 1, 2011, this interval was reduced to 3 days, significantly improving...

Our study is the first to examine the pricing effect of U.S. trade policy uncertainty (TPU) on Chinese stocks. We estimate the U.S. TPU beta, which measures Chinese stock exposure to the U.S. TPU index. Both portfolio analyses and cross-sectional regressions suggest a significantly negative...

We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

We examine the impact of increasing competition among the fastest traders by analyzing a new low-latency microwave network connecting exchanges trading the same stocks. Using a difference-in-differences approach comparing German stocks with similar French stocks, we find improved market...

This paper develops a model to study the formation and regulation of information transmission networks. We analyze a cat and mouse game between a regulator, who sets and enforces a regulatory environment, and agents, who form networks to disseminate and share insider information. For any given...

We test and compare the effects of introduction of two new financial information technologies, EDGAR and XBRL, on well-known asset pricing anomalies often attributed to mispricing. EDGAR facilitates easier access to public accounting information about public firms; XBRL reduces the cost of...