Jonathan Brogaard

University of Utah - David Eccles School of Business

1645 E Campus Center Dr

Salt Lake City, UT 84112-9303

United States

http://www.jonathanbrogaard.com

SCHOLARLY PAPERS

27

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22,828

CITATIONS
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91

Scholarly Papers (27)

1.
Downloads 5,049 ( 1,342)
Citation 42

High Frequency Trading and Price Discovery

Number of pages: 61 Posted: 12 Oct 2011 Last Revised: 26 Apr 2013
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Smith School of Business
Downloads 4,527 (1,599)
Citation 42

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high frequency trading, price formation, price discovery, pricing errors

High Frequency Trading and Price Discovery

ECB Working Paper No. 1602
Number of pages: 57 Posted: 08 Nov 2013
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Smith School of Business
Downloads 522 (48,544)
Citation 42

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high frequency trading, price formation, price discovery, pricing errors

2.

Risk and Return in High-Frequency Trading

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 82 Posted: 06 May 2014 Last Revised: 10 Jan 2018
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Utah - David Eccles School of Business, Stockholm University - Stockholm Business School and Imperial College London - Centre for Global Finance and Technology
Downloads 3,994 (2,044)
Citation 10

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high-frequency trading, low latency, market microstructure

3.

High-Frequency Trading and Extreme Price Movements

Number of pages: 46 Posted: 28 Nov 2014 Last Revised: 10 Feb 2017
University of Utah - David Eccles School of Business, University of Utah - Department of Finance, Louvain School of Management (UCL), Smith School of Business, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 2,268 (5,387)
Citation 28

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Extreme price movements, jumps, high-frequency trading

4.

The Asset Pricing Implications of Government Economic Policy Uncertainty

Management Science 61(1), January 2015
Number of pages: 53 Posted: 04 Jun 2012 Last Revised: 18 Apr 2015
Jonathan Brogaard and Andrew L. Detzel
University of Utah - David Eccles School of Business and University of Denver - Daniels College of Business
Downloads 1,654 (9,169)
Citation 5

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Political Uncertainty, Asset Pricing, Risk Premium

5.

The Economic Impact of Index Investing

Review of Financial Studies, Forthcoming
Number of pages: 85 Posted: 26 Sep 2015 Last Revised: 30 Jul 2018
Jonathan Brogaard, Matthew Ringgenberg and David Sovich
University of Utah - David Eccles School of Business, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,197 (15,459)

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commodity markets, financialization, index investing, real economic impact

6.

Trading Fast and Slow: Colocation and Liquidity

Forthcoming in Review of Financial Studies
Number of pages: 57 Posted: 30 Aug 2013 Last Revised: 28 Aug 2015
University of Utah - David Eccles School of Business, Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Smith School of Business
Downloads 1,088 (17,740)
Citation 3

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colocation, high-frequency trading, liquidity, fast trading, proximity services

7.

Do Economists Swing for the Fences after Tenure?

Number of pages: 34 Posted: 23 May 2016 Last Revised: 30 Jul 2017
University of Utah - David Eccles School of Business, University of California, San Diego (UCSD) - Rady School of Management and University of Colorado at Boulder - Department of Finance
Downloads 1,052 (18,640)

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Tenure, Incentives, Contracting, Compensation, Publication

8.

High-Frequency Trading Competition

Forthcoming, Journal of Financial and Quantitative Analysis
Number of pages: 46 Posted: 13 May 2014 Last Revised: 28 Mar 2018
Jonathan Brogaard and Corey Garriott
University of Utah - David Eccles School of Business and Bank of Canada
Downloads 964 (21,313)

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high-frequency trading, competition, industrial organization

9.

Price Discovery Without Trading: Evidence from Limit Orders

Finance Down Under 2017 Building on the Best from the Cellars of Finance
Number of pages: 51 Posted: 05 Sep 2015 Last Revised: 15 May 2018
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Smith School of Business
Downloads 843 (25,915)

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High-Frequency Trading, Price Discovery, Limit Order Book, Fragmentation

10.

Political Influence and Government Investment: Evidence from Contract-Level Data

Number of pages: 52 Posted: 13 May 2015 Last Revised: 25 Nov 2016
Jonathan Brogaard, Matthew Denes and Ran Duchin
University of Utah - David Eccles School of Business, Carnegie Mellon University - Tepper School of Business and University of Washington - Michael G. Foster School of Business
Downloads 630 (38,573)

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Political economy, political connections, campaign contributions, innovation

11.

High Frequency Trading and the 2008 Short Sale Ban

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 48 Posted: 15 Oct 2014 Last Revised: 11 Aug 2016
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Smith School of Business
Downloads 604 (41,074)
Citation 1

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high frequency trading, liquidity, price efficiency, short selling

12.

Global Political Uncertainty and Asset Prices

Number of pages: 50 Posted: 30 Aug 2014 Last Revised: 24 Aug 2018
Jonathan Brogaard, Lili Dai, Phong T. H. Ngo and Bohui Zhang
University of Utah - David Eccles School of Business, University of New South Wales (UNSW) - School of Accounting, Australian National University (ANU) and The Chinese University of Hong Kong, Shenzhen
Downloads 598 (41,338)

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Political uncertainty, asset prices, integration, international finance

13.

Machine Learning and the Stock Market

Number of pages: 57 Posted: 27 Aug 2018
Jonathan Brogaard and Abalfazl Zareei
University of Utah - David Eccles School of Business and Stockholm University
Downloads 482 (55,136)

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Asset Pricing, Anomalies, Mispricings, Machine Learning, Big Data Analysis

14.

Networks and Productivity: Causal Evidence from Editor Rotations

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 54 Posted: 22 Sep 2012
Jonathan Brogaard, Joseph Engelberg and Christopher A. Parsons
University of Utah - David Eccles School of Business, University of California, San Diego (UCSD) - Rady School of Management and Foster School of Business, University of Washington
Downloads 366 (75,669)

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15.

What Moves Stock Prices? The Role of News, Noise, and Information

Number of pages: 54 Posted: 29 Jan 2018 Last Revised: 08 Jun 2018
University of Utah - David Eccles School of Business, University of Technology Sydney (UTS) - UTS Business School, University of Technology Sydney (UTS) and The University of Sydney - Business School
Downloads 312 (91,407)

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variance decomposition, firm-specific information, market-wide information, stock return synchronicity

16.

The Effectiveness of the 2008-2010 Housing Tax Credit

Number of pages: 55 Posted: 10 Jul 2011 Last Revised: 17 Sep 2011
Jonathan Brogaard and Kevin Roshak
University of Utah - David Eccles School of Business and University of Houston - Department of Finance
Downloads 282 (101,373)

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Housing, Tax Credit, Stimulus, Residential Real Estate

17.

Prices and Price Limits

Number of pages: 62 Posted: 01 Oct 2015 Last Revised: 21 Jan 2017
Jonathan Brogaard and Kevin Roshak
University of Utah - David Eccles School of Business and University of Houston - Department of Finance
Downloads 268 (107,347)

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Circuit Breakers, Price Limits, Extreme Price Movements, Market Regulation

18.

Do Analysts Improve Investment Efficiency?

Number of pages: 58 Posted: 16 Oct 2017 Last Revised: 13 Oct 2018
Jonathan Brogaard, Wei Shi, K.C. John Wei and Haifeng You
University of Utah - David Eccles School of Business, Norwegian School of Economics (NHH), Hong Kong Polytechnic University and Hong Kong University of Science & Technology (HKUST) - Department of Accounting
Downloads 259 (111,232)

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Investment-Q Sensitivity; Managerial Learning; Brokerage Mergers and Closures; Market Efficiency

19.

Do Upgrades Matter? Evidence from Trading Volume

Number of pages: 63 Posted: 17 Jun 2015 Last Revised: 19 Jul 2017
Jonathan Brogaard, Jennifer L. Koski and Andrew F. Siegel
University of Utah - David Eccles School of Business, University of Washington - Michael G. Foster School of Business and University of Washington - Department of Finance and Business Economics
Downloads 239 (120,308)

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Credit Ratings, Volume, Information, Nonparametric Tests

20.

Does Financial Innovation Lead to Real Innovation? Evidence from Financial Derivatives

Number of pages: 68 Posted: 28 Jun 2016 Last Revised: 09 May 2018
Jonathan Brogaard, Lora Dimitrova and Sapnoti Eswar
University of Utah - David Eccles School of Business, University of Exeter and University of Cincinnati - Department of Finance - Real Estate
Downloads 190 (149,956)

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Real innovation, FX derivatives, Risk management

21.

Do Bank Regulations Have Uniform Effects? Evidence from Changes in Deposit Insurance

Number of pages: 48 Posted: 24 Feb 2013 Last Revised: 31 May 2014
Kathryn L. Dewenter, Alan C. Hess and Jonathan Brogaard
University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business and University of Utah - David Eccles School of Business
Downloads 155 (179,259)

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Banking, Regulation, Deposit Insurance, Franchise or Charter Value

22.

A BIT Goes a Long Way: Bilateral Investment Treaties and Cross-Border Mergers

Number of pages: 53 Posted: 21 Nov 2016 Last Revised: 16 Sep 2017
Vineet Bhagwat, Jonathan Brogaard and Brandon Julio
George Washington University - Department of Finance, University of Utah - David Eccles School of Business and Lundquist College of Business, University of Oregon
Downloads 138 (197,164)

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cross-border merger, acquisitions, legal institutions, investment treaty

23.

Institutions and Deposit Insurance: Empirical Evidence

Number of pages: 39 Posted: 29 Jul 2014 Last Revised: 09 Feb 2017
Kathryn L. Dewenter, Alan C. Hess and Jonathan Brogaard
University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business and University of Utah - David Eccles School of Business
Downloads 116 (225,401)

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Banking, Regulation, Deposit Insurance, Franchise or Charter Value

24.

Feedback effects and the co-evolution of banks and markets

Number of pages: 78 Posted: 28 Mar 2018 Last Revised: 06 Aug 2018
Jonathan Brogaard, Phong T. H. Ngo and Ying Xia
University of Utah - David Eccles School of Business, Australian National University (ANU) and Monash University - Monash Business School
Downloads 69 (313,407)

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comparative financial systems, liquidity, stock price informativeness, feedback effect, syndicated loans, information asymmetry, monitoring, blockholders

25.

Supplementary Appendix for Institutions and Deposit Insurance: Empirical Evidence

Number of pages: 36 Posted: 10 Feb 2017
Kathryn L. Dewenter, Alan C. Hess and Jonathan Brogaard
University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business and University of Utah - David Eccles School of Business
Downloads 9 (553,970)

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Banking, Regulation, Deposit Insurance, Franchise or Charter Value

26.

High‐Frequency Trading and the Execution Costs of Institutional Investors

Financial Review, Vol. 49, Issue 2, pp. 345-369, 2014
Number of pages: 25 Posted: 08 Apr 2014
Jonathan Brogaard, Terrence Hendershott, Stefan Hunt and Carla Ysusi
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business, Financial Conduct Authority and Financial Conduct Authority
Downloads 2 (596,898)
Citation 2
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high frequency trading, execution costs, institutional investors

27.

Stock Liquidity and Default Risk

Journal of Financial Economics (JFE), Forthcoming
Posted: 23 Aug 2015 Last Revised: 12 Feb 2017
Jonathan Brogaard, Dan Li and Ying Xia
University of Utah - David Eccles School of Business, School of Management and Economics, Chinese University of Hong Kong, Shenzhen and Monash University - Monash Business School

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Stock Liquidity; Bankruptcy Risk; EDF; Price Efficiency; Governance