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

47

DOWNLOADS
Rank 733

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Top 733

in Total Papers Downloads

59,283

TOTAL CITATIONS
Rank 1,077

SSRN RANKINGS

Top 1,077

in Total Papers Citations

1,022

Scholarly Papers (47)

1.
Downloads 6,671 ( 2,301)
Citation 355

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 5,946 (2,762)
Citation 142

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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 725 (71,883)
Citation 213

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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: 29 May 2024
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 5,692 (3,000)
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 - Finance and University of Memphis - Fogelman College of Business and Economics
Downloads 3,779 (6,058)
Citation 82

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Extreme price movements, jumps, high-frequency trading

4.

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 3,064 (8,503)
Citation 9

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Technical trading, Machine learning, Big data analysis

5.

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 3,009 (8,750)

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

6.

Does 0DTE Options Trading Increase Volatility?

Number of pages: 60 Posted: 26 Apr 2023 Last Revised: 29 May 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 2,825 (9,616)
Citation 1

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

7.

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 2,583 (11,130)
Citation 5

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

8.

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 2,572 (11,220)
Citation 82

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Political Uncertainty, Asset Pricing, Risk Premium

9.

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 2,514 (11,620)
Citation 7

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commodity markets, financialization, index investing, real economic impact

10.

Does Floor Trading Matter?

Journal of Finance, Forthcoming
Number of pages: 83 Posted: 26 May 2020 Last Revised: 08 Nov 2024
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 1,681 (21,977)
Citation 2

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

11.

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 1,588 (23,963)
Citation 84

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

12.

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 1,555 (24,758)
Citation 21

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Political economy, political connections, campaign contributions, procurement

13.

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 1,521 (25,593)
Citation 32

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

14.

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 1,515 (25,722)
Citation 89

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

15.

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 Government of the United States of America - Office of Financial Research
Downloads 1,465 (27,043)
Citation 24

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high-frequency trading, competition, industrial organization

16.

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 1,403 (28,965)
Citation 37

Abstract:

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Dark pools, informed trades, earnings information, price informativeness

17.

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 1,315 (31,759)

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

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 1,209 (35,795)
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 1,135 (39,233)
Citation 56

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

20.

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 1,133 (39,449)

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Residual Reversal, Market Efficiency, Intraday Market, Trading Strategy

21.

ETF Sampling and Index Arbitrage

Number of pages: 85 Posted: 14 Jan 2020 Last Revised: 04 Jun 2024
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 928 (52,381)
Citation 1

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passive investing, exchange traded funds, 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 778 (66,336)

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

23.

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 770 (67,192)
Citation 14

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high frequency trading, liquidity, price efficiency, short selling

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, University of St Andrews Business School and University of Colorado at Boulder - Department of Finance
Downloads 646 (84,216)
Citation 4

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Citations, Publication, Measurement, Fame

25.

Does High Frequency Market Manipulation Harm Market Quality?

Number of pages: 59 Posted: 22 Nov 2022 Last Revised: 06 Dec 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 639 (85,422)

Abstract:

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high-frequency trading, market quality, market manipulation

26.

Strategic Liquidity Provision and Extreme Volatility Spikes

Management Science, Forthcoming
Number of pages: 93 Posted: 14 Nov 2020 Last Revised: 09 Aug 2024
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 619 (88,970)
Citation 2

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extreme price movements, price pressures, strategic liquidity provision, extreme volatility spikes

27.

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 581 (96,488)
Citation 3

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

28.

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 507 (114,274)
Citation 5

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

29.

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 472 (124,450)
Citation 1

Abstract:

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brokers, informed trades, trading profits, information leakage

30.

Competition and Exchange Data Fees

Number of pages: 65 Posted: 02 Nov 2020 Last Revised: 11 Oct 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 467 (126,013)
Citation 2

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Data Fees, Exchange Competition

31.

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 438 (136,149)
Citation 31

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32.

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 410 (147,007)
Citation 1

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

33.

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 405 (149,113)
Citation 1

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Credit Ratings, Volume, Information, Nonparametric Tests

34.

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 400 (151,197)

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

35.

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 391 (155,008)
Citation 6

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Housing, Tax Credit, Stimulus, Residential Real Estate

36.

It's not easy being green

Number of pages: 57 Posted: 20 Dec 2022 Last Revised: 29 May 2024
University of Utah - David Eccles School of Business, BI Norwegian Business School, University of Waterloo and NHH - Norwegian School of Economics
Downloads 357 (171,508)

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Green, government procurement, sustainable investing

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 348 (176,322)
Citation 4

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

38.

Why are US investors buying foreign dividends?

Number of pages: 53 Posted: 20 Jan 2022 Last Revised: 09 Dec 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 308 (201,047)
Citation 1

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tax fraud, cum-ex, dividend, ADR

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 290 (214,205)

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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.

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 251 (248,019)

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

41.

Financial Market Structure and Cash Holdings: A Laboratory of Dark Trading

PBCSF-NIFR Research Paper
Number of pages: 82 Posted: 14 Dec 2023 Last Revised: 13 Jan 2025
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 230 (270,149)

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Dark trading, Cash holdings, Finance constraints, Corporate Governance, Market feedback

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 214 (289,370)
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 180 (339,375)
Citation 2

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Banking, Regulation, Deposit Insurance, Franchise or Charter Value

44.

What Drives Anomaly Decay? 

Number of pages: 61 Posted: 20 Sep 2024
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 University of Utah - Department of Finance
Downloads 143 (412,261)

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cash flow/discount rate news, market-wide/firm-specific news, mispricing, predictability decay, publication effects, liquidity, variance decomposition

45.

Cross-Asset Liquidity Transmission

Number of pages: 56 Posted: 28 Jun 2024 Last Revised: 08 Jan 2025
Jonathan Brogaard, Pei-Fang Hsieh, Jeffrey Yang and J. Jimmy Yang
University of Utah - David Eccles School of Business, National Tsing Hua University - Department of Quantitative Finance, University of Utah - David Eccles School of Business and Oregon State University
Downloads 124 (460,873)

Abstract:

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derivatives hedging, market making, stock market liquidity

46.

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 107 (514,641)

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

47.

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 51 (773,589)
Citation 1

Abstract:

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Banking, Regulation, Deposit Insurance, Franchise or Charter Value