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Jonathan Brogaard

University of Washington - Department of Finance and Business Economics

Assistant Professor of Finance

Box 353226

Seattle, WA 98195

United States

  • University of Washington - Department of Finance and Business Economics

SCHOLARLY PAPERS

22

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18,113

CITATIONS
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Top 6,175

in Total Papers Citations

81

Scholarly Papers (22)

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1.

High Frequency Trading and Price Discovery

Downloads 4,696 ( 1,234)
Citation 40

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 Washington - Department of Finance and Business Economics, University of California, Berkeley - Haas School of Business and Queen's School of Business
Downloads 4,204 (1,455)
Citation 40

Abstract:

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 Washington - Department of Finance and Business Economics, University of California, Berkeley - Haas School of Business and Queen's School of Business
Downloads 492 (44,925)
Citation 40

Abstract:

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

2.

Risk and Return in High-Frequency Trading

Number of pages: 65 Posted: 06 May 2014 Last Revised: 24 Dec 2016
Matthew D. Baron, Jonathan Brogaard, Björn Hagströmer and Andrei A. Kirilenko
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Washington - Department of Finance and Business Economics, Stockholm University - Stockholm Business School and Centre for Global Finance and Technology, Imperial College Business School
Downloads 1,713 (2,558)
Citation 8

Abstract:

high-frequency trading, low latency, market microstructure

3.

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 Washington - Department of Finance and Business Economics and University of Denver - Daniels College of Business
Downloads 1,059 (9,608)
Citation 5

Abstract:

Political Uncertainty, Asset Pricing, Risk Premium

4.

High-Frequency Trading and Extreme Price Movements

Number of pages: 46 Posted: 28 Nov 2014 Last Revised: 10 Feb 2017
Jonathan Brogaard, Allen Carrion, Thibaut Moyaert, Ryan Riordan, Andriy Shkilko and Konstantin Sokolov
University of Washington - Department of Finance and Business Economics, University of Utah - Department of Finance, Louvain School of Management (UCL), Queen's School of Business, Wilfrid Laurier University and Wilfrid Laurier University
Downloads 962 (7,144)
Citation 26

Abstract:

Extreme price movements, jumps, high-frequency trading

5.

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
Jonathan Brogaard, Björn Hagströmer, Lars L. Norden and Ryan Riordan
University of Washington - Department of Finance and Business Economics, Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Queen's School of Business
Downloads 748 (16,757)
Citation 3

Abstract:

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

6.

High-Frequency Trading Competition

WFA 2015, SFS Cavalcade 2015, Bank of Canada Working Paper 2014-19
Number of pages: 48 Posted: 13 May 2014 Last Revised: 02 Jun 2017
Jonathan Brogaard and Corey Garriott
University of Washington - Department of Finance and Business Economics and Bank of Canada
Downloads 334 (27,886)

Abstract:

high-frequency trading, competition, industrial organization

7.

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 Washington - Department of Finance and Business Economics, University of California, San Diego (UCSD) - Rady School of Management and University of California, San Diego (UCSD) - Rady School of Management
Downloads 308 (69,200)

Abstract:

8.

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 Washington - Department of Finance and Business Economics, University of California, Berkeley - Haas School of Business and Queen's School of Business
Downloads 257 (40,490)
Citation 1

Abstract:

high frequency trading, liquidity, price efficiency, short selling

9.

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 Washington - Department of Finance and Business Economics and University of Houston - Department of Finance
Downloads 239 (91,372)

Abstract:

Housing, Tax Credit, Stimulus, Residential Real Estate

10.

The World Price of Political Uncertainty

Number of pages: 49 Posted: 30 Aug 2014 Last Revised: 13 Jun 2017
Jonathan Brogaard, Lili Dai, Phong T. H. Ngo and Bohui Zhang
University of Washington - Department of Finance and Business Economics, University of New South Wales (UNSW) - School of Accounting, Australian National University (ANU) and University of New South Wales (UNSW) - School of Banking and Finance
Downloads 131 (68,778)

Abstract:

Policy Uncertainty, Cost of Capital, Integration, International Finance

11.

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 Washington - Department of Finance and Business Economics
Downloads 125 (166,183)

Abstract:

Banking, Regulation, Deposit Insurance, Franchise or Charter Value

12.

Price Discovery Without Trading: Evidence from Limit Orders

Finance Down Under 2017 Building on the Best from the Cellars of Finance
Number of pages: 47 Posted: 05 Sep 2015 Last Revised: 01 Oct 2016
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Washington - Department of Finance and Business Economics, University of California, Berkeley - Haas School of Business and Queen's School of Business
Downloads 88 (44,554)

Abstract:

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

13.

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 Washington - Department of Finance and Business Economics, University of Washington - Department of Finance and Business Economics and University of Washington - Michael G. Foster School of Business
Downloads 86 (54,996)

Abstract:

Political economy, political connections, campaign contributions, innovation

14.

Stock Liquidity and Default Risk

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 23 Aug 2015 Last Revised: 12 Feb 2017
Jonathan Brogaard, Dan Li and Ying Xia
University of Washington - Department of Finance and Business Economics, The University of Hong Kong - School of Economics and Finance and Monash University - Monash Business School
Downloads 58 (28,026)

Abstract:

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

15.

The Information Content of Credit Rating Changes: Evidence from Trading Volume

Number of pages: 67 Posted: 17 Jun 2015
Jonathan Brogaard, Jennifer L. Koski and Andrew F. Siegel
University of Washington - Department of Finance and Business Economics, University of Washington - Michael G. Foster School of Business and University of Washington - Department of Finance and Business Economics
Downloads 56 (145,619)

Abstract:

Credit Ratings, Information, Volume, Illiquidity

16.

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 Washington - Department of Finance and Business Economics
Downloads 48 (242,985)

Abstract:

Banking, Regulation, Deposit Insurance, Franchise or Charter Value

17.

The Economic Impact of Index Investing

NBER Market Microstructure Meeting Paper (2015), Washington University in St. Louis Center for Finance and Accounting Research Working Paper No. 15/06
Number of pages: 60 Posted: 26 Sep 2015 Last Revised: 04 Apr 2017
Jonathan Brogaard, Matthew Ringgenberg and David Sovich
University of Washington - Department of Finance and Business Economics, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 10 (24,142)

Abstract:

commodity markets, financialization, index investing, real economic impact

18.

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 Washington - Department of Finance and Business Economics, University of California, Berkeley - Haas School of Business, Financial Conduct Authority and Financial Conduct Authority
Downloads 1 (531,242)
Citation 2

Abstract:

high frequency trading, execution costs, institutional investors

19.

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 Washington - Department of Finance and Business Economics
Downloads 0 (520,203)

Abstract:

Banking, Regulation, Deposit Insurance, Franchise or Charter Value

20.

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

Number of pages: 40 Posted: 21 Nov 2016
Vineet Bhagwat, Jonathan Brogaard and Brandon Julio
University of Oregon, University of Washington - Department of Finance and Business Economics and Lundquist College of Business, University of Oregon
Downloads 0 (295,269)

Abstract:

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

21.

Why Do We Tenure? Analysis of a Long Standing Risk-Based Explanation

2nd Annual Financial Institutions, Regulation and Corporate Governance Conference
Number of pages: 35 Posted: 23 May 2016 Last Revised: 20 Oct 2016
Jonathan Brogaard, Joseph Engelberg and Edward Dickersin Van Wesep
University of Washington - Department of Finance and Business Economics, University of California, San Diego (UCSD) - Rady School of Management and University of Colorado at Boulder - Department of Finance
Downloads 0 (21,115)

Abstract:

Tenure, Incentives, Contracting, Compensation, Publication

22.

Prices and Price Limits

Number of pages: 62 Posted: 01 Oct 2015 Last Revised: 21 Jan 2017
Jonathan Brogaard and Kevin Roshak
University of Washington - Department of Finance and Business Economics and University of Houston - Department of Finance
Downloads 0 (129,552)

Abstract:

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

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