Market makers play a central role in options markets, where they account for 99.9% of open orders. Providing liquidity at this scale is only possible because of quote protection (QP) mechanisms that limit how quickly open orders can be filled — say, in the event of a market crash or system...

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...

I investigate the dynamics of analyst forecast errors relative to economic policy uncertainty and find a significant positive relation between economic policy uncertainty and analyst forecast errors. A doubling of economic policy uncertainty is associated with a 4.29 percentage points increase...

Dark pools volumes have increased significantly over the last decade. This has raised concerns on the reliability of reference prices used by these pools, and asymmetric participant outcomes via “latency arbitrage”. Using a novel data set provided by the major UK exchanges and dark pools...

I claim that uninformed traders prefer ending the size of their orders with a zero (e.g. 110 shares) but it is not the case for informed traders, creating an information channel and providing a signal. I propose the Last Digit Hypothesis (LDH): i) some traders exhibit a last digit preference for...

Bearish option strategies and short sales can be used to profit from falling stock prices. Regulators have repeatedly banned the latter, fearing it would artificially drive down stock prices during crises. This paper uses the 2011 European Short Sale Bans as well as the temporary suspension of...

This paper studies whether equity short sales and options are complements or substitutes and finds that they are substitutes when the underlying market faces short-selling constraints. This substitutability is associated with implications for stock price volatility and stock market liquidity:...

We show that queueing rationing under price controls drives high-frequency trading. A one-cent uniform tick size (minimal price variation) creates rents and generates queues for liquidity provision, particularly for securities with lower prices (larger relative tick sizes). Speed rations the...

We show short selling in corporate bonds forecasts future bond returns. Short selling predicts bond returns where private information is more likely, in high-yield bonds, particularly after Lehman's collapse. Short selling predicts returns following both high and low past bond returns. This,...

I use the global crisis of 1914 as a window onto the phenomenon of investor reaction to complex news — such as sudden political upheaval. Based on a novel database of all stocks traded on the NYSE during 1914, along with “real-time” news accounts from major newspapers, I show that NYSE...