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...

While algorithmic trading now dominates financial markets, some exchanges continue to use human floor traders. On March 23, 2020 the NYSE suspended floor trading because of COVID-19. Using a difference-in-differences analysis, we find that floor traders are important contributors to market...

We propose a new approach to measuring informed trading in individual securities based on a portfolio optimization model for investors facing information and liquidity shocks. These shocks induce speculative and liquidity-motivated order flow, taking into account the price impact of trading. The...

Compared to US stocks, Chinese stocks earn most of the returns during the day. We extend previous findings by Qiao and Dam (2020) arguing that the absence of day trading in the Chinese stock markets explains these differences and argue that these differences reflect an illiquidity premium. We...

This study examines the effect of firm-level transparency on liquidity and trading in a multi-market setting, using the market for American Depository Receipts (ADR) as an example. Theory predicts competing effects of transparency on liquidity differences between stocks trading domestically and...

This paper studies the dynamics of high-frequency market efficiency measures. We provide evidence that these measures co-move across stocks and with each other, suggesting the existence of a systematic market efficiency component. In vector autoregressions, we show that shocks to funding...