Jonathan Brogaard
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View article: ETF Sampling and Index Arbitrage
ETF Sampling and Index Arbitrage Open
This article shows that exchange-traded funds (ETFs) “sample” their indexes, systematically underweighting or omitting illiquid index stocks. As a result, arbitrage activity between the ETF and its index has heterogeneous effects on underl…
View article: Does Floor Trading Matter?
Does Floor Trading Matter? Open
Although algorithmic trading now dominates financial markets, some exchanges continue to use human floor traders. On March 23, 2020 the NYSE suspended floor trading because of COVID‐19. Using a difference‐in‐differences analysis around the…
View article: On the Causal Effect of Fame on Citations
On the Causal Effect of Fame on Citations Open
Papers published in finance and economics journals whose first authors are famous have more citations than papers whose second or third authors are famous. As a paper ages, its citation rate varies most with variation in the fame of the fi…
View article: Does Shareholder Litigation Risk Cause Public Firms to Delist? Evidence from Securities Class Action Lawsuits
Does Shareholder Litigation Risk Cause Public Firms to Delist? Evidence from Securities Class Action Lawsuits Open
Using three exogenous shocks to ex ante litigation risk, including federal judge ideology and two influential judicial precedents, we find that lower shareholder litigation risk reduces a firm’s propensity to delist from the U.S. stock mar…
View article: The Broken Bond Market
The Broken Bond Market Open
Valued at $11.2 trillion – equivalent in size to half the U.S. economy – the corporate bond market is opaque, illiquid and inefficient. This Article argues that the bond market – premised on contract – rests on a fundamentally flawed regul…
View article: High-Frequency Trading Competition
High-Frequency Trading Competition Open
We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out. Earlier entry is associated with larger effects…
View article: Global Political Uncertainty and Asset Prices
Global Political Uncertainty and Asset Prices Open
We show that global political uncertainty, measured by the U.S. election cycle, on average, leads to a fall in equity returns in fifty non-U.S. countries. At the same time, market volatilities rise, local currencies depreciate, and soverei…