We document a rapid increase in retail trading in options in the United States. Facilitated by
payment for order flow (PFOF) from wholesalers executing retail orders, retail trading …

We investigate the relationship between ex ante total skewness and holding returns on
individual equity options. Recent theoretical developments predict a negative relationship …

At the end of January 2021, a group of stocks listed on US stock exchanges experienced
sudden price increases, which–coupled with high short interest–led to short-squeeze …

This paper explores the idea of disclosure clienteles. Disclosure clienteles refer to the ability
of different types of disclosure activities to differentially benefit investors with varying levels …

Financial Trading and Investing, Third Edition provides a useful introduction to trading and
market microstructure for advanced undergraduate as well as master's students. Without …

ABSTRACT US exchange‐traded stock options are exercisable before expiration. While put
options should frequently be exercised early to earn interest, they are not. In this paper, we …

A classic result by Merton (1973) is that, except just before expiration or dividend payments,
one should never exercise a call option and never convert a convertible bond. We show …

We propose a model in which arbitrageurs act strategically in markets with entry costs. In a
repeated game, arbitrageurs choose to specialize in some markets, which leads to the …

This paper examines whether financial statement information can predict future realized
equity volatility incremental to market-based equity volatility forecasts. I use an analytical …

This study uncovers a unique dividend-tax avoidance trade that allows high-bracket
investors to circumvent taxation on dividend income. As the first comprehensive analysis, we …