We study the after-trading-cost performance of anomalies and the effectiveness of
transaction cost mitigation techniques. Introducing a buy/hold spread, with more stringent …

Can managers influence the liquidity of their firms' shares? We use plausibly exogenous
variation in the supply of public information to show that firms actively shape their …

We construct investor sentiment indices for six major stock markets and decompose them
into one global and six local indices. In a validation test, we find that relative sentiment is …

" Aswath Damodaran is simply the best valuation teacher around. If you are interested in the
theory or practice of valuation, you should have Damodaran on Valuation on your bookshelf …

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 derive a closed‐form optimal dynamic portfolio policy when trading is costly and security
returns are predictable by signals with different mean‐reversion speeds. The optimal …

Market microstructure and asset pricing both consider the behavior and formation of prices
in asset markets. Yet neither literature explicitly recognizes the importance and role of the …

The interactions that occur in securities markets are among the fastest, most information
intensive, and most highly strategic of all economic phenomena. This book is about the …

We test whether momentum strategies remain profitable after considering market frictions
induced by trading. Intraday data are used to estimate alternative measures of proportional …

This paper presents a model of an order-driven market where fully strategic, symmetrically
informed liquidity traders dynamically choose between limit and market orders, trading off …