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The Speed Premium: High Frequency Trading and the Cost of Capital

https://doi.org/10.2139/ssrn.6657118
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Optimal dealer pricing under transactions and return uncertainty
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Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
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Asset pricing and the bid-ask spread
inferredcites →https://doi.org/10.1016/0304-405x(95)00870-kopenalex-snapshot
Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
inferredcites →https://doi.org/10.1016/j.finmar.2013.06.006openalex-snapshot
High Frequency Trading and the New-Market Makers
inferredcites →https://doi.org/10.1016/j.jbankfin.2023.106843openalex-snapshot
Algorithmic Trading and Market Quality: International Evidence of the Impact of Errors in Colocation Dates
inferredcites →https://doi.org/10.1016/j.jfineco.2004.06.007openalex-snapshot
Asset pricing with liquidity risk
inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.012openalex-snapshot
The conditional CAPM does not explain asset-pricing anomalies☆
inferredcites →https://doi.org/10.1016/j.jfineco.2013.10.005openalex-snapshot
Betting against beta
inferredcites →https://doi.org/10.1016/j.jfineco.2015.04.005openalex-snapshot
The illiquidity premium: International evidence
inferredcites →https://doi.org/10.1016/j.jfineco.2018.02.015openalex-snapshot
High frequency trading and comovement in financial markets
inferredcites →https://doi.org/10.1016/j.jfineco.2020.07.019openalex-snapshot
Do activist hedge funds target female CEOs? The role of CEO gender in hedge fund activism
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-snapshot
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1017/s0022109017000485openalex-snapshot
Interactions among High-Frequency Traders
inferredcites →https://doi.org/10.1017/s0022109020000782openalex-snapshot
Algorithmic Trading and Market Quality: International Evidence
inferredcites →https://doi.org/10.1086/295472openalex-snapshot
Capital Market Equilibrium with Restricted Borrowing
inferredcites →https://doi.org/10.1093/qje/qjab032openalex-snapshot
Quantifying the High-Frequency Trading "Arms Race"
inferredcites →https://doi.org/10.1093/rfs/3.2.175openalex-snapshot
When Are Contrarian Profits Due to Stock Market Overreaction?
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Evaluating Firm-Level Expected-Return Proxies: Implications for Estimating Treatment Effects
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The Effect of Stock Liquidity on the Firm's Investment and Production
inferredcites →https://doi.org/10.1093/rfs/hhv045openalex-snapshot
Trading Fast and Slow: Colocation and Liquidity
inferredcites →https://doi.org/10.1093/rfs/hhx144openalex-snapshot
The Competitive Landscape of High-Frequency Trading Firms
inferredcites →https://doi.org/10.1093/rfs/hhz091openalex-snapshot
Aggregation, Capital Heterogeneity, and the Investment CAPM
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01624.xopenalex-snapshot
Does Algorithmic Trading Improve Liquidity?
inferredcites →https://doi.org/10.1111/jofi.12431openalex-snapshot
Speculative Betas
inferredcites →https://doi.org/10.1287/mnsc.2019.3427openalex-snapshot
ETF Activity and Informational Efficiency of Underlying Securities
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