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We find a strong tendency for positive returns during the overnight period followed by reversals during the trading day. This behavior is driven by an opening price that is high relative to intraday prices. It is concentrated among stocks that have recently attracted the attention of retail investors, it is more pronounced for stocks that are difficult to(More)
We study prices, liquidity, and individual account trading activity around large and predictable ETF " roll " trades in crude oil futures markets to test the implications of the competing theories of predatory and sunshine trading. The results indicate narrower bid-ask spreads, greater limit order book depth, and a larger number of distinct trading accounts(More)
To examine whether corporate credit risk is cheaper to trade in the bond or credit-default swap (CDS) market, we estimate individual roundtrip transaction costs for 851 CDSs traded during 2009-2014. Effective half-spreads are 14 bps of the notional amount for dealer-to-enduser and 12 bps for dealer-to-dealer trades for the most common notional traded,(More)
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