We investigate the role of information‐based trading in affecting asset returns. We show in a
rational expectation example how private information affects equilibrium asset returns. Using …

The concepts of portfolio optimization and diversification have been instrumental in the
development and understanding of financial markets and financial decision making. In light …

This paper investigates the components of liquidity risk that are important for understanding
asset-pricing anomalies. Firm-level liquidity is decomposed into variable and fixed price …

We study the trading of individual investors using transaction data and identifying buyer-or
seller-initiated trades. We document four results:(1) Small trade order imbalance correlates …

We provide empirical evidence that a firm's overall visibility with investors, as measured by
its product market advertising, has important consequences for the stock market. Specifically …

In this study we examine the relation between corporate governance and institutional
ownership. Our empirical results show that the fraction of a company's shares that are held …

Due to their low trading costs, exchange‐traded funds (ETFs) are a potential catalyst for
short‐horizon liquidity traders. The liquidity shocks can propagate to the underlying …

A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …

We analyze trading records for 66,465 households at a large discount broker and 665,533
investors at a large retail broker to document that the trading of individuals is highly …

We investigate the empirical relation between corporate governance and stock market
liquidity. We find that firms with better corporate governance have narrower spreads, higher …