Jonathan Brogaard

University of Utah - David Eccles School of Business

Professor of Finance

1645 E Campus Center Dr

Salt Lake City, UT 84112-9303

United States

http://www.jonathanbrogaard.com

SCHOLARLY PAPERS

46

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54,296

SSRN CITATIONS
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Top 1,130

in Total Papers Citations

1,216

CROSSREF CITATIONS

185

Scholarly Papers (46)

1.
Downloads 6,293 ( 2,277)
Citation 258

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 Queen's University - Smith School of Business
Downloads 5,673 (2,680)
Citation 101

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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 Queen's University - Smith School of Business
Downloads 620 (79,100)
Citation 197

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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 University of Cambridge - Finance
Downloads 5,482 (2,870)
Citation 50

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high-frequency trading, low latency, market microstructure

3.

High-Frequency Trading and Extreme Price Movements

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 28 Nov 2014 Last Revised: 19 Jun 2020
University of Utah - David Eccles School of Business, University of Memphis - Fogelman College of Business and Economics, Louvain School of Management (UCL), Queen's University - Smith School of Business, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 3,680 (5,689)
Citation 75

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Extreme price movements, jumps, high-frequency trading

4.

A Report by the Ad Hoc Academic Committee on Equity and Options Market Structure Conditions in Early 2021

Number of pages: 54 Posted: 15 Feb 2022 Last Revised: 03 Jul 2022
Columbia Law School, University of Notre Dame - Department of Finance, University of Utah - David Eccles School of Business, Berkeley Center for Law and Business, Columbia University and SpotGamma
Downloads 2,788 (8,815)

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GameStop, meme stocks, trading, short squeeze, gamma squeeze

5.

Machine Learning and the Stock Market

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 73 Posted: 27 Aug 2018 Last Revised: 31 Jan 2022
Jonathan Brogaard and Abalfazl Zareei
University of Utah - David Eccles School of Business and Stockholm University
Downloads 2,710 (9,261)
Citation 9

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Technical trading, Machine learning, Big data analysis

6.

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 Baylor University - Hankamer School of Business
Downloads 2,480 (10,667)
Citation 82

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Political Uncertainty, Asset Pricing, Risk Premium

7.

The Economic Impact of Index Investing

Review of Financial Studies, Forthcoming
Number of pages: 85 Posted: 26 Sep 2015 Last Revised: 27 Aug 2020
Jonathan Brogaard, Matthew C. Ringgenberg and David Sovich
University of Utah - David Eccles School of Business, University of Utah - Department of Finance and University of Kentucky - Gatton College of Business and Economics
Downloads 2,426 (11,036)
Citation 7

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commodity markets, financialization, index investing, real economic impact

8.

Does 0DTE Options Trading Increase Volatility?

Number of pages: 57 Posted: 26 Apr 2023 Last Revised: 16 Feb 2024
Jonathan Brogaard, Jaehee Han and Peter Y. Won
University of Utah - David Eccles School of Business, University of Utah - David Eccles School of Business and University of Utah - David Eccles School of Business
Downloads 2,408 (11,180)
Citation 1

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Zero-Day-to-Expiration (0DTE) Options, Volatility, Market Efficiency

9.

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

Review of Financial Studies, Forthcoming
Number of pages: 65 Posted: 29 Jan 2018 Last Revised: 18 Nov 2021
Jonathan Brogaard, Huong Nguyen, Tālis J. Putniņš and Eliza Wu
University of Utah - David Eccles School of Business, Faculty of Finance, University of Economics, The University of Danang, Vietnam, University of Technology Sydney (UTS) and The University of Sydney - Business School
Downloads 2,350 (11,635)
Citation 5

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

10.

Trading Fast and Slow: Colocation and Liquidity

Review of Financial Studies, Forthcoming
Number of pages: 57 Posted: 30 Aug 2013 Last Revised: 19 Jun 2020
University of Utah - David Eccles School of Business, Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Queen's University - Smith School of Business
Downloads 1,513 (23,288)
Citation 75

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

11.

Political Influence and the Renegotiation of Government Contracts

Review of Financial Studies, Forthcoming
Number of pages: 60 Posted: 13 May 2015 Last Revised: 19 Jun 2020
Jonathan Brogaard, Matthew Denes and Ran Duchin
University of Utah - David Eccles School of Business, Carnegie Mellon University - Tepper School of Business and Boston College - Carroll School of Management
Downloads 1,434 (25,133)
Citation 21

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Political economy, political connections, campaign contributions, procurement

12.

High-Frequency Trading Competition

Journal of Financial and Quantitative Analysis (2019), Vol. 54, No. 4
Number of pages: 46 Posted: 13 May 2014 Last Revised: 15 Aug 2019
Jonathan Brogaard and Corey Garriott
University of Utah - David Eccles School of Business and TMX Group
Downloads 1,418 (25,578)
Citation 24

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high-frequency trading, competition, industrial organization

13.

Price Discovery Without Trading: Evidence from Limit Orders

Journal of Finance, Forthcoming
Number of pages: 51 Posted: 05 Sep 2015 Last Revised: 19 Jun 2020
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Queen's University - Smith School of Business
Downloads 1,412 (25,752)
Citation 82

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

14.

Global Political Uncertainty and Asset Prices

Review of Financial Studies, Vol. 33, No. 4, 1737–1780, 2020
Number of pages: 86 Posted: 30 Aug 2014 Last Revised: 23 Jun 2020
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), Australian National University (ANU) and The Chinese University of Hong Kong, Shenzhen
Downloads 1,411 (25,812)
Citation 28

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Political uncertainty, asset prices, risk-aversion, flight-to-safety, international finance

15.

Does Floor Trading Matter?

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 26 May 2020 Last Revised: 06 Mar 2023
Jonathan Brogaard, Matthew C. Ringgenberg and Dominik Rösch
University of Utah - David Eccles School of Business, University of Utah - Department of Finance and State University of New York at Buffalo - School of Management
Downloads 1,403 (26,002)
Citation 2

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Algorithmic trading, DMM, human trading, floor trading, liquidity, market quality, price efficiency

16.

Advising the Advisors: Evidence from ETFs

Number of pages: 45 Posted: 07 Dec 2021 Last Revised: 19 Dec 2022
Jonathan Brogaard, Nataliya Gerasimova and Ying Liu
University of Utah - David Eccles School of Business, BI Norwegian Business School and World Federation of Exchanges
Downloads 1,247 (30,858)

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Exchange-traded funds, Recommendations, Institutional Asset Management, Financial Advisors, Model Portfolios

17.

Dark Pool Trading and Information Acquisition

The Review of Financial Studies, Forthcoming
Number of pages: 67 Posted: 09 Nov 2018 Last Revised: 21 Sep 2021
Jonathan Brogaard and Jing Pan
University of Utah - David Eccles School of Business and Pennsylvania State University - Department of Accounting
Downloads 1,219 (31,943)
Citation 30

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Dark pools, informed trades, earnings information, price informativeness

18.

Do Economists Swing for the Fences after Tenure?

Journal of Economic Perspectives, Forthcoming
Number of pages: 34 Posted: 23 May 2016 Last Revised: 19 Jun 2020
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 1,188 (33,157)
Citation 6

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Tenure, Incentives, Contracting, Compensation, Publication

19.

Stock Liquidity and Default Risk

Journal of Financial Economics, 124(3), 486-502.
Number of pages: 46 Posted: 23 Aug 2015 Last Revised: 26 Sep 2021
Jonathan Brogaard, Dan Li and Ying Xia
University of Utah - David Eccles School of Business, Chinese University of Hong Kong, Shenzhen and Monash University - Monash Business School
Downloads 1,085 (37,723)
Citation 56

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

20.

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 Queen's University - Smith School of Business
Downloads 739 (64,091)
Citation 14

Abstract:

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high frequency trading, liquidity, price efficiency, short selling

21.

ETF Sampling and Index Arbitrage

Number of pages: 56 Posted: 14 Jan 2020 Last Revised: 16 Aug 2023
Jonathan Brogaard, Davidson Heath and Da Huang
University of Utah - David Eccles School of Business, University of Utah - David Eccles School of Business and Northeastern University - D'Amore-McKim School of Business
Downloads 707 (67,785)
Citation 1

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exchange-traded funds, passive investment, index, replication strategy, market quality

22.

Quantitative Investing and Market Instability

Number of pages: 56 Posted: 09 Nov 2018 Last Revised: 10 Jun 2023
William Beggs, Jonathan Brogaard and Austin Hill-Kleespie
Knauss School of Business, University of San Diego, University of Utah - David Eccles School of Business and G. Brint Ryan College of Business, University of North Texas
Downloads 684 (71,032)

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Investment management, security selection, quantitative funds, mutual funds, fire sales, herding, market stability

23.

Intraday Residual Reversal in the U.S. Stock Market

Number of pages: 59 Posted: 18 Mar 2024
Jonathan Brogaard, Jaehee Han and Hanjun Kim
University of Utah - David Eccles School of Business, University of Utah - David Eccles School of Business and University of Utah - David Eccles School of Business
Downloads 673 (73,072)

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Residual Reversal, Market Efficiency, Intraday Market, Trading Strategy

24.

On the Causal Effect of Fame on Citations

Number of pages: 59 Posted: 13 Apr 2020 Last Revised: 12 Jul 2023
University of Utah - David Eccles School of Business, University of California, San Diego (UCSD) - Rady School of Management, School of Economics and Finance, University of St Andrews and University of Colorado at Boulder - Department of Finance
Downloads 592 (84,865)
Citation 4

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Citations, Publication, Measurement, Fame

25.

How do Extreme Price Movements End?

Number of pages: 94 Posted: 14 Nov 2020 Last Revised: 24 Dec 2022
Jonathan Brogaard, Konstantin Sokolov and Jiang Zhang
University of Utah - David Eccles School of Business, University of Memphis - Fogelman College of Business and Economics and University of St. Thomas - Opus College of Business
Downloads 530 (97,573)
Citation 1

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extreme price movements, price pressures, strategic liquidity provision

26.

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

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 73 Posted: 21 Nov 2016 Last Revised: 16 Jul 2020
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 510 (102,281)
Citation 3

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

27.

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 481 (109,829)
Citation 5

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

28.

Does High Frequency Market Manipulation Harm Market Quality?

Number of pages: 54 Posted: 22 Nov 2022 Last Revised: 01 Mar 2024
Jonathan Brogaard, Dan Li and Jeffrey Yang
University of Utah - David Eccles School of Business, Chinese University of Hong Kong, Shenzhen and University of Utah - David Eccles School of Business
Downloads 477 (110,921)

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high-frequency trading, market quality, market manipulation

29.

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 Marshall School of Business, University of Southern California
Downloads 421 (128,429)
Citation 28

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30.

Competition and Exchange Data Fees

Number of pages: 65 Posted: 02 Nov 2020 Last Revised: 07 Mar 2024
Jonathan Brogaard, James Brugler and Dominik Rösch
University of Utah - David Eccles School of Business, University of Melbourne - Department of Finance and State University of New York at Buffalo - School of Management
Downloads 398 (136,936)
Citation 2

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Data Fees, Exchange Competition

31.

Do Upgrades Matter? Evidence from Trading Volume

Journal of Financial Markets, Forthcoming
Number of pages: 63 Posted: 17 Jun 2015 Last Revised: 19 Jun 2020
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 389 (140,579)
Citation 1

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Credit Ratings, Volume, Information, Nonparametric Tests

32.

Stock market liquidity and loan contracting

Number of pages: 56 Posted: 28 Mar 2018 Last Revised: 25 Aug 2021
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 381 (144,280)

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liquidity, syndicated loans, spillovers, stock price informativeness, blockholders, holdup problem

33.

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 378 (145,196)
Citation 6

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Housing, Tax Credit, Stimulus, Residential Real Estate

34.

Preventing Information Leakage

Number of pages: 61 Posted: 10 Apr 2019 Last Revised: 29 Oct 2022
Jonathan Brogaard, Dan Li, Matthew Ma, Ryan Riordan and Bart Zhou Yueshen
University of Utah - David Eccles School of Business, Chinese University of Hong Kong, Shenzhen, Rutgers, The State University of New Jersey - Accounting, Queen's University - Smith School of Business and Singapore Management University - Lee Kong Chian School of Business
Downloads 368 (150,068)
Citation 1

Abstract:

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brokers, informed trades, trading profits, information leakage

35.

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

Number of pages: 63 Posted: 28 Jun 2016 Last Revised: 12 Nov 2019
Jonathan Brogaard, Lora Dimitrova and Sapnoti Eswar
University of Utah - David Eccles School of Business, University of Exeter and School of Economics and Finance, University of St Andrews
Downloads 366 (150,527)

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Real innovation, FX derivatives, Risk management

36.

The Effect of Female Leadership on Contracting from Capitol Hill to Main Street

Number of pages: 80 Posted: 25 Jun 2020 Last Revised: 16 Feb 2024
Jonathan Brogaard, Nataliya Gerasimova and Maximilian Rohrer
University of Utah - David Eccles School of Business, BI Norwegian Business School and NHH - Norwegian School of Economics
Downloads 349 (158,553)

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Small Business, Women-Owned Firms, Government Procurement Contracts, Female Politicians, Gender Gap

37.

Does Shareholder Litigation Risk Cause Public Firms to Delist? Evidence From Securities Class Action Lawsuits

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 60 Posted: 14 Apr 2020 Last Revised: 13 Jan 2023
Jonathan Brogaard, Nhan Le, Duc Duy Nguyen and Vathunyoo Sila
University of Utah - David Eccles School of Business, Australian National University, Durham University and University of Edinburgh
Downloads 295 (189,605)
Citation 1

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Shareholder litigation, Securities class action lawsuit, Stock market listing, Delisting

38.

It's Not Easy Being Green

Number of pages: 47 Posted: 20 Dec 2022 Last Revised: 13 Apr 2023
University of Utah - David Eccles School of Business, BI Norwegian Business School, University of Waterloo and NHH - Norwegian School of Economics
Downloads 282 (198,667)

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Green; procurement; innovation

39.

The Broken Bond Market

Vanderbilt Law Research Paper No. 21-43
Number of pages: 59 Posted: 14 Oct 2021 Last Revised: 26 Feb 2022
Jonathan Brogaard and Yesha Yadav
University of Utah - David Eccles School of Business and Vanderbilt University - Law School
Downloads 252 (222,389)

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Corporate Bonds, Credit Market, Equity, Securities, Investors, Bondholders, Indenture, Trustees, Banking, Liquidity, OTC markets, Dealers, Primary Dealers, Market Efficiency, Contracting, Trading Platforms, Exchanges

40.

Tax Heist using American Depositary Receipts

Number of pages: 55 Posted: 20 Jan 2022 Last Revised: 06 Feb 2024
Jonathan Brogaard and Dominik Rösch
University of Utah - David Eccles School of Business and State University of New York at Buffalo - School of Management
Downloads 226 (247,214)

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tax fraud, cum-ex, dividend, ADR

41.

Noisy Stock Prices and Capital Allocation Efficiency

Number of pages: 42 Posted: 20 Jan 2022
Jonathan Brogaard, Huong Nguyen and Tālis J. Putniņš
University of Utah - David Eccles School of Business, Faculty of Finance, University of Economics, The University of Danang, Vietnam and University of Technology Sydney (UTS)
Downloads 222 (251,313)

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capital allocation, investment-to-Q sensitivity, investment-to-value-added elasticity, informational efficiency

42.

Mid-Day Call Auctions

Number of pages: 56 Posted: 22 Jun 2021
Jonathan Brogaard, Björn Hagströmer and Caihong Xu
University of Utah - David Eccles School of Business, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 182 (301,267)
Citation 1

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illiquidity, coordination problem, frequent batch auctions, fragmentation

43.

Institutions and Deposit Insurance: Empirical Evidence

Journal of Financial Services Research, Forthcoming
Number of pages: 39 Posted: 29 Jul 2014 Last Revised: 19 Jun 2020
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 175 (311,896)
Citation 2

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Banking, Regulation, Deposit Insurance, Franchise or Charter Value

44.

Dark Trading and Corporate Cash Holdings

PBCSF-NIFR Research Paper
Number of pages: 65 Posted: 14 Dec 2023
Jonathan Brogaard, Woon Sau Leung, Khaladdin Rzayev and Xuan Tian
University of Utah - David Eccles School of Business, University of Southampton - Southampton Business School, University of Edinburgh and Tsinghua University - PBC School of Finance
Downloads 131 (400,476)

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Dark trading, Cash holdings, Finance constraints, Corporate Governance, Value of Cash.

45.

Stock Market Liquidity and Loan Contracting

Number of pages: 58 Posted: 27 Jan 2022 Last Revised: 17 Mar 2022
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 98 (489,212)

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liquidity, syndicated loans, spillovers, stock price informativeness, blockholders, holdup problem

46.

Supplementary Appendix for Institutions and Deposit Insurance: Empirical Evidence

Journal of Financial Services Research, Forthcoming
Number of pages: 36 Posted: 10 Feb 2017 Last Revised: 19 Jun 2020
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 43 (750,096)
Citation 1

Abstract:

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Banking, Regulation, Deposit Insurance, Franchise or Charter Value