In an effort to increase transparency, the Chair of the Federal Reserve now holds a press conference following some, but not all, FOMC announcements. Evidence from financial markets shows that investors lower their expectations of important decisions on days without press conferences and that...

The Jumpstart Our Business Startups (“JOBS”) Act of 2012 intends to “help entrepreneurs raise the capital they need to put Americans back to work and create an economy that's built to last.” The goal is to “democratize startups” by making capital available to diverse entrepreneurs in...

We provide a novel test of information-based theories of price clustering by examining trade, order, and inside quote price clustering during periods when information is removed from the market. We use a natural experiment of short-sale restrictions resulting from Securities and Exchange...

Should regulators require firms to confirm or deny rumours publicly? In a sequential trading model, such a regulation might enhance pricing efficiency through two mechanisms: (i) an increase to the number of informed traders brought about by the public inquiry, and (ii) a shortened information...

We develop and implement a new measure of information asymmetry among traders. Our measure is based on the intuition that informed traders are more likely than uninformed traders to generate abnormal volume in options or stock markets. We formalize this intuition theoretically and compute the...

We investigate the role of a class of alternative market structures known as electronic crossing networks or "dark pools''. Relative to traditional "lit'' markets, dark pools offer investors the trade-off of reduced transaction costs in exchange for greater uncertainty of trade. Our paper...

We address the concerns surrounding fast-disappearing liquidity and its effects on both the market and the order placement behavior of slow traders. We find that in response to an increase in short-lived cancellations, slow traders submit fewer and less aggressive orders, thus being at a...

We investigate the role of proprietary algorithmic traders (PAT) in facilitating liquidity in a limit order market. Using the order level data from NSE of India, we find that they increase limit order supply following periods of high short-term stock-specific volatility, periods of high...

This paper investigates the effects of an increase in tick size on order and trading flow across market fee venues. Using the pilot firms in the SEC's Tick Size Pilot Program, we document trade and order volume declines significantly on maker-taker fee venues after the tick size implementation....

Who moves the stock market? Using long-term data on stock market and institutional cash flows, I identify some investment sectors as 'marginal' investors -- those who effectively set stock prices. These sectors include mutual funds, foreigners, and pension funds. By how much do they move the...