We find that the illiquidity premium exists only among stocks with relatively poor prior month returns, consistent with it representing a return reversal. Mutual fund portfolio holdings and institutional stock trades indicate that institutional investors predominantly sell illiquid-loser stocks....

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...

Retail investors dominate option trading in recent years. Individuals are net purchasers of options, particularly call, short-dated, and out-of-the-money options, although they tend to write long-dated puts. Retail brokerage outages are associated with reduced implied volatility overall, and the...

Closing auction volume steadily increased over the last decade and it reached a peak of about 10% of the total trading volume in 2019. We examine the price impact and resiliency of closing auctions, and we compare closing auction liquidity in the Nasdaq and the NYSE. The NYSE offers more depth....

Unique features and market frictions can lead to idiosyncratic pricing for some US Treasury securities. This study uses a linear programming (LP) model to measure aggregate idiosyncratic pricing of T-notes and T-bonds from 1980 to 2016. We document an average idiosyncratic pricing of $0.11 per...

Over the last decade, the volume of market-on-close orders has increased to more than 10% of the entire day's trading volume. This paper investigates this rise and documents four stylized facts: (i) passive investing leads to greater usage of market-on-close orders, consistent with passive...