J
Jonathan Brogaard
Researcher at University of Utah
Publications - 67
Citations - 4811
Jonathan Brogaard is an academic researcher from University of Utah. The author has contributed to research in topics: Market liquidity & High-frequency trading. The author has an hindex of 24, co-authored 61 publications receiving 3727 citations. Previous affiliations of Jonathan Brogaard include University of Washington.
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High-Frequency Trading and Price Discovery
TL;DR: In this paper, the role of high-frequency traders (HFTs) in price discovery and price efficiency is examined, and it is shown that HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors.
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The Asset Pricing Implications of Government Economic Policy Uncertainty
TL;DR: It is found that EPU positively forecasts log excess market returns and innovations in EPU earn a significant negative risk premium in the Fama-French 25 size-momentum portfolios.
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The Asset-Pricing Implications of Government Economic Policy Uncertainty
TL;DR: Jiang et al. as mentioned in this paper used the news-based measure of Baker et al.'s EPU to capture economic policy uncertainty in the United States, and found that EPU positively forecasts log excess market returns.
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Stock liquidity and default risk
TL;DR: In this article, the authors examined the impact of stock liquidity on firm bankruptcy risk using the Securities and Exchange Commission decimalization regulation as a shock to stock liquidity, and found that enhanced liquidity decreases default risk.
Journal ArticleDOI
High Frequency Trading and Price Discovery
TL;DR: In this article, the role of high-frequency traders (HFTs) in price discovery and price efficiency is examined, and it is shown that HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors.