Closing auctions set daily closing prices for U.S. stocks and account for a striking 7.5% of daily volume in 2018, up from 3.1% in 2010. We study the causes and implications of this major trend. Difference-in-difference analyses suggest that closing volume is fueled directly and indirectly by...

News mostly drive overnight returns, whereas investors' trading mostly drives intraday returns. We use this fact to test theories of momentum and reversal with a sample of intraday and overnight return spanning 1926 to 2019. Portfolios formed on past intraday returns display short-term reversal...

I show that the inventory risk faced by market-makers has a first-order effect on option prices. I introduce a simple approach that decomposes the price impact of trades into inventory risk and asymmetric information components. While both components are large for option trades, the inventory...

We find that short sale costs eliminate the abnormal profits generated by asset pricing anomalies. While many anomalies persist out-of-sample, they cannot be profitably exploited due to stock borrow fees. Using a comprehensive sample of 162 anomalies, we show that the average of these long-short...