This paper extends the Kyle (1985) framework to allow both endogenous price and endogenous execution probability. I use the model to examine the market outcome when the informed trader can split trades between an exchange and a crossing network (dark pool). The crossing network reduces price...

This paper proposes the first tractable rational expectation equilibrium model that includes both endogenous price and endogenous execution probability. I use the model to examine the market outcome when the informed trader can split trades between an exchange and a crossing network (dark pool)...

We find that investment responds more sensitively to a firm's Tobin's q when its share price is more discrete. Low-price U.S. stocks exhibit higher investment-q sensitivity, but this pattern disappears in countries whose tick sizes increase with share prices. Using Tick Size Pilot Program as a...

We track information diffusion in real time by monitoring how the news is tweeted and retweeted on Twitter. We find that news diffusion is highly correlated with intraday trading, especially for retail trading. News diffusion leads to a lower bid-ask spread and price pressure on the news day...

Stock exchange operators compete for order flow by setting "make" fees for limit orders and "take" fees for market orders. When traders quote continuous prices, they can choose prices that perfectly neutralize any fee division, and traders stream to the exchange with the lowest total fee. The...

We argue that a one-penny minimum tick size for all stocks priced above $1 (SEC rule 612) encourages high-frequency trading and taker/maker–fee markets. We find that non-high frequency traders (non-HFTers) are 2.62 times more likely than HFTers to provide best prices, thereby establishing...