We examine whether speed is an important characteristic of traders who anticipate local price trends. These anticipatory participants correctly trade prior to the overall market and systematically act before other participants. They use manual and algorithmic order entry methods, but most are...

We analyze the daily positions of 31 foreign Central Banks in U.S. interest rate futures markets between 2003 and 2011 for targeted hedging or informed profit-making decisions. Central Bank positions before the financial crisis of 2007-2009 are consistent with hedging some underlying balance...

We examine how useful the popular Loughran and McDonald (2011, LM) tonal word lists are for extracting information in IPO prospectuses about first-day returns. We find that there is much more information in word use than captured by the LM tonal lists. We show that the connection between LM...

We analyze the daily positions of 31 foreign Central Banks in U.S. interest rate futures markets between 2003 and 2011 to investigate whether such positions reveal targeted hedging or informed profit-making decisions. Central Bank positions before the financial crisis of 2007-2009 are consistent...

We analyze 1.56 million account allocations in a sample of 265 initial public offerings (IPOs) to investigate the importance of on-going relationships between investors and underwriters. We find a sizable set of both institutional and retail investors who receive frequent allocations in IPOs....

We model the decision to exhaust depth by high speed traders, which either flips the best bid or ask quote to the opposite side or widens the spread. Such events are common and often revert to the previous best quote levels. Consistent with the model, such quote flipping results in large trade...

This study provides a new empirical test of theories that use asymmetric information to explain underpricing in initial public offerings (IPOs). These models stipulate that the underwriter compensates informed investors for their price-relevant information through underpricing and price support....

This paper provides direct evidence on the reaction of market makers to informed trading in both specialist and dealer markets. We examine the illegal trades of five stockbrokers who purchased securities based on stock-specific information obtained from advance, non-public copies of Business...

Stock flippers pose a problem for underwriters of initial public offerings (IPOs). They subscribe to the issue, but immediately re-sell their shares, so they create an artificial demand that overstates the true demand in the market. We model how underwriters set the offer price to maximize...

Underpricing and rationing may occur in many markets, but nowhere is the debate about its cause more vigorous than in the market for initial public offerings (IPOs) of equity. This analysis contributes to the debate by showing that under-pricing is related to profits from after-market trading....