In this paper, we investigate the information content of trading intensity within the Madhavan, Richardson and Roomans (1997) structural model, where trading intensity is expressed in terms of trading momentum in duration and volume, respectively. We use both transactions and intraday data from...

This paper provides an in depth analysis of the reference price investors apply when they decide if a security is to be kept or sold. We propose that the observed reluctance to crystallize losses and propensity to realize gains, a behavioral bias dubbed the disposition effect, may be a result of...

This study argues that a high proportion of trading through underaged accounts is likely to be controlled by informed guardians seeking to share the benefits of their information advantage with young children, or camouflaging their potentially illegal trades. Consistent with this conjecture, we...

We study the intra-day impact of algorithmic trading on the futures market to increase our understanding of algorithmic trading and its role in the price formation process. First, we find that algorithmic trading provides liquidity when the spread is wide and that algorithms enter the market at...