Gregory W. Eaton

TL;DR: In this article, the authors compared brokerage platform outages to examine how heterogeneity in retail investor sophistication influences their impact on financial markets and found that inexperienced retail investors creating inventory risks that harm liquidity, whereas other retail trading improves market quality.

TL;DR: In this article, the authors decompose illiquidity proxies into a component capturing aggregate volatility and a residual, and find strong evidence that the component uncorrelated with volatility forecasts stock market returns.

TL;DR: In this article, the authors decompose illiquidity proxies into a component capturing aggregate volatility and a residual, and find that both the volatility and residual components contain information regarding future economic activity.

TL;DR: In this article, the authors show that the use of traditional fixed windows generates premiums that are underestimated by as much as 8 percentage points for transactions with long processes (e.g., target-initiated deals).

TL;DR: In this paper, the authors construct a price impact measure that represents the costs faced by institutional investors and show that many widely used liquidity measures do not adequately capture institutional trading costs, casting doubt on the widely used identification strategy that employs decimalization as an exogenous shock to liquidity.