Technological advances and regulatory initiatives have led to the emergence of a competitive,
but fragmented, equity trading landscape in several markets around the world. While …

This paper reconsiders the effect of investor sentiment on stock prices. Our main contribution
is that, in addition to the intermediate term return predictability, we also analyze the …

This paper investigates whether corporate insiders trade when asymmetric information is high,
using data on US corporate insider transactions between 1986 and 2012. We generalize …

We show that “quasi-dark” trading venues, ie, markets with somewhat non-transparent trading
mechanisms, are important parts of modern equity market structure alongside lit markets …

Corporate insider trades predict idiosyncratic return skewness. CEO purchases are followed
by an increase and CEO sales by a decrease in idiosyncratic skewness. The evidence …

The equity trading landscape all over the world has changed dramatically in recent years.
We have witnessed the advent of new trading venues and significant changes in the market …

We study how stock price informativeness changes with the presence of high-frequency
trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of …

Advances in technology and several regulatory initiatives have led to the emergence of a
competitive but fragmented equity trading landscape in the US and Europe. While these …

This paper presents the most extensive analysis of liquidity in the German equity market so
far. We examine the evolution of liquidity over time, the determinants of liquidity, and …

Water is increasingly recognized as a commodity in its own right, as evidenced by the launching
in 2006 of the first water index, World Water Index or WOWAX. For a number of factors …