There is sufficient evidence in the popular, legal, and financial literatures that informed
options trading ahead of scheduled and unexpected corporate events is pervasive. In this …

From 2010 to 2015, a group of traders illegally accessed earnings information before their
public release by hacking several newswire services. We use this scheme as a natural …

This article studies insider trading quantities and dollar profits to measure the benefits
insiders extract from their superior information. Dollar profits are economically small for a …

This study investigates whether the liquidity of medium-sized and large caps has been
differently affected by the Italian Financial Transaction Tax, among the firms subject to the …

When examining information flow into prices, empirical literature usually focusses on direct
conduits such as order submissions. Meanwhile, theory suggests that market conditions …

We provide a new theory of exchange access fees that explains why fees relatively reduce
the probability of execution and increase the limit order queue length on “maker-taker” …

Predatory trading can discourage investors from gathering information and trading on it.
However, using 11 years of equity trading data, we do not find evidence that informed …

We consider a Kyle (1985) one-period model where insider trading may be subject to a
penalty that is increasing in trade size. We characterize the solution-the equilibrium price …

We identify a group of investors who profit from 11 years of earnings surprises. We find that
they trade patiently, using limit orders, and in tandem with uninformed volatility (Collin …

We design an adaptive framework for the detection of illegal trading behavior. Its key
component is an extension of a pattern recognition tool, originating from the field of signal …