We investigate institutional trading of American Depositary Receipts (ADRs) around ex-dividend dates motivated by recent concerns of abusive practices of ADR pre-releases and illegal refunds of dividend withholding taxes. Using data on US stocks, foreign stocks, and ADRs from 1999 to 2014, we...

We argue that high-frequency return predictability can be explained by delays in prices, providing another explanation for why paper profits often do not materialize. We investigate predictability in the US (and international) stock market from 2005 to 2012 and in 2020. We find that 1-minute...

My dissertation aims to explain a number of empirical findings about valuation and performance of diversified firms using the model of optimal diversification. It contains two chapters. The first chapter of the dissertation proposes a model of optimally diversified firm and shows that the main...