This paper reviews the literature examining how costs of monitoring for, acquiring, and
analyzing firm disclosures–collectively,“disclosure processing costs”–affect investor …

We provide an easy method to identify marketable retail purchases and sales using recent,
publicly available US equity transactions data. Individual stocks with net buying by retail …

We study brokerage platform outages to examine the impact of retail investors on financial
markets. We contrast outages at Robinhood, which caters to inexperienced investors, with …

This article reviews the theory of imperfectly competitive financial markets with special
attention to recent contributions and rapidly growing new areas of research. We survey the …

Abstract In 1993, the Chicago Board of Options Exchange (CBOE) introduced the CBOE
Volatility Index. This index has become the de facto benchmark for stock market volatility. On …

We model the strategic interaction between fundamental investors and “back-runners,”
whose only information is about the past order flow of fundamental investors. Back-runners …

This article studies the impact of increasing trading frequency in financial markets on
allocative efficiency. We build and solve a dynamic model of sequential double auctions in …

We develop a rational expectations equilibrium model in which noise trading comes from
discretionary liquidity traders. The equilibrium quantity of aggregate noise trading is …

Despite regulatory efforts to promote all‐to‐all trading, the post–Dodd‐Frank index credit
default swap market remains two‐tiered. Transaction costs are higher for dealer‐to‐client …

A study of intellectual capital was conducted to determine whether it can predict firm value
by moderated ROA. This study is a quantitative study using secondary data from 240 …