We empirically test whether the disposition effect has an asymmetrical impact on the price adjustment on the ex-dividend day of common stocks listed in NYSE and AMEX during the 2001-2008 period. We find that stocks with accrued gains have a greater ex-day price drop ratio (PDR) than stocks with...

We examine information, market impact and trade sizes using a data-set of institutional trades where approximately 1/4 of the orders are labeled as having been created for cash flow purposes. We find that during the execution the functional form and scale of market impact are similar for cash...

The increased prevalence of algorithmic trading (AT) has an economically meaningful positive effect on the sensitivity of corporate investment to stock prices. The effect is pervasive in that the positive impact of AT on the investment-to-price sensitivity holds in even stocks with relatively...

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....

An AI analyst we build to digest corporate financial information, qualitative disclosure, and macroeconomic indicators are able to beat the majority of human analysts in stock price forecasts and generate excess returns compared to following human analysts. In the contest of “man vs...

We find that Robinhood ownership changes are unrelated with future returns, suggesting that zero-commission investors behave as noise traders. We exploit Robinhood platform outages to identify the causal effects of commission-free traders on financial markets. Exogenous negative shocks to...

This paper studies the effects of a recent tick size reduction in the U.S. Treasury securities market. We find significantly narrower bid-ask spreads, increased trading activity, improveddepth within one old tick despite lower overall market depth, and improved price efficiency.Moreover, slow...

This paper compares the overnight price discovery of American Depository Receipts (ADRs) and other common stocks traded in the U.S. stock market, and examines how trading activities of ADRs’ underlying shares in home markets affect the price discovery. We find that the efficiency of opening...

Academic research has identified several factors that affect price movements; however, the scenario changes abruptly in the case of very short time price changes (VSTPC). This topic is not specifically examined in the existing literature; nonetheless, the behavior of the market microstructure is...

The paper deals with the pattern of asset price dynamics as sequence of "bull markets" and "bear markets" and with stabilizing these" long swings" through replacing continuous asset trading with electronic auctions. First, the paper sketches the channels through which the "overshooting" of...