We identify Industry-Neutral Self-Financed Informed Trading (INSFIT) by long only fund managers who possess a positive short-lived private signal and self finance informed stock purchases by selling an equivalent dollar amount of stock in the same industry. INSFIT, which constitutes less than 1%...

Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies of trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our measures (i) better capture institutional trading costs; and...

We document the intradaily patterns of return volatility and trading activity in trade times of fixed dollar volumes --- shorter trade times reflect higher trading activity. Unlike the U-shaped intraday seasonality in calendar-time volatility, trade-time volatility plunges by 40-60% over the...

We document new intraday trading patterns indicative of the key roles of endogenous trading responses of investors to variations in imperfectly-competitive liquidity provision. When measured in trade times of fixed dollar values, price impacts and volatility fall sharply from open to close, and...

We develop measures of stock-specific trading activity based on durations of sequences of consecutive trades with fixed cumulative values. Trade sizes and signed-trade imbalances rise with activity, while price impacts generally fall, but not always, due to endogenous variation in liquidity...

News mostly drive overnight returns, whereas investors' trading mostly drives intraday returns. We use this fact to test theories of momentum and reversal with a sample of intraday and overnight return spanning 1926 to 2019. Portfolios formed on past intraday returns display short-term reversal...