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

35

DOWNLOADS
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Top 920

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32,587

SSRN CITATIONS
Rank 1,323

SSRN RANKINGS

Top 1,323

in Total Papers Citations

441

CROSSREF CITATIONS

470

Scholarly Papers (35)

1.
Downloads 5,488 ( 1,621)
Citation 278

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 4,948 (1,913)
Citation 99

Abstract:

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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 540 (60,062)
Citation 72

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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 4,781 (2,078)
Citation 49

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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 3,223 (4,085)
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 2,003 (9,078)
Citation 73

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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: 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 1,795 (10,805)
Citation 7

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commodity markets, financialization, index investing, real economic impact

6.

Machine Learning and the Stock Market

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 66 Posted: 27 Aug 2018 Last Revised: 26 Jan 2021
Jonathan Brogaard and Abalfazl Zareei
University of Utah - David Eccles School of Business and Stockholm University
Downloads 1,280 (18,315)
Citation 2

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Technical trading, Machine learning, Big data analysis

7.

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 1,207 (20,032)
Citation 43

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

8.

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 1,185 (20,596)
Citation 23

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high-frequency trading, competition, industrial organization

9.

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 1,122 (22,388)
Citation 6

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Tenure, Incentives, Contracting, Compensation, Publication

10.

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 1,100 (23,019)
Citation 40

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

11.

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 1,051 (24,648)
Citation 7

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

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 988 (26,877)
Citation 20

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Political economy, political connections, campaign contributions, procurement

13.

Stock Liquidity and Default Risk

Journal of Financial Economics, 124(3), 486-502.
Number of pages: 46 Posted: 23 Aug 2015 Last Revised: 20 Aug 2019
Jonathan Brogaard, Dan Li and Ying Xia
University of Utah - David Eccles School of Business, The University of Hong Kong - School of Economics and Finance and Monash University - Monash Business School
Downloads 903 (30,651)
Citation 10

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

14.

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

AFA Annual Meeting 2020, Forthcoming
Number of pages: 77 Posted: 29 Jan 2018 Last Revised: 06 Mar 2021
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 830 (34,413)
Citation 3

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

15.

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 662 (46,814)
Citation 14

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high frequency trading, liquidity, price efficiency, short selling

16.

Do Analysts Improve Investment Efficiency?

Number of pages: 59 Posted: 16 Oct 2017 Last Revised: 09 Oct 2019
Jonathan Brogaard, Wei Shi, K.C. John Wei and Haifeng You
University of Utah - David Eccles School of Business, Deakin University, Hong Kong Polytechnic University and Hong Kong University of Science & Technology (HKUST) - Department of Accounting
Downloads 509 (65,372)
Citation 1

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

17.

Dark Pool Trading and Information Acquisition

Number of pages: 65 Posted: 09 Nov 2018 Last Revised: 29 Jan 2021
Jonathan Brogaard and Jing Pan
University of Utah - David Eccles School of Business and Southern Methodist University (SMU)
Downloads 419 (82,818)
Citation 3

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Dark pools, informed trades, earnings information, price informativeness

18.

Does Floor Trading Matter?

Number of pages: 68 Posted: 26 May 2020 Last Revised: 26 Jan 2021
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 417 (83,278)
Citation 1

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

19.

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 384 (91,589)
Citation 5

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

20.

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 379 (93,080)
Citation 8

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21.

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 345 (103,459)
Citation 3

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

22.

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 307 (117,612)
Citation 6

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Housing, Tax Credit, Stimulus, Residential Real Estate

23.

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 298 (121,436)
Citation 1

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Credit Ratings, Volume, Information, Nonparametric Tests

24.

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 University of Cincinnati - Department of Finance - Real Estate
Downloads 289 (125,356)

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Real innovation, FX derivatives, Risk management

25.

On the Causal Effect of Fame on Citations

Number of pages: 23 Posted: 13 Apr 2020 Last Revised: 23 Nov 2020
University of Utah - David Eccles School of Business, University of California, San Diego (UCSD) - Rady School of Management, University of Cincinnati - Department of Finance - Real Estate and University of Colorado at Boulder - Department of Finance
Downloads 273 (133,626)

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Citations, Publication, Measurement, Fame

26.

How do Extreme Price Movements End?

Number of pages: 50 Posted: 14 Nov 2020 Last Revised: 09 Feb 2021
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 Virginia - Darden School of Business
Downloads 237 (153,285)

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extreme price movements, price pressures, strategic liquidity provision

27.

ETF Design and Asset Markets

Number of pages: 61 Posted: 14 Jan 2020 Last Revised: 29 Jan 2021
Jonathan Brogaard, Davidson Heath and Da Huang
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 237 (153,285)
Citation 1

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

28.

Quantitative Investing and Market Instability

Number of pages: 46 Posted: 09 Nov 2018 Last Revised: 16 Feb 2021
William Beggs, Jonathan Brogaard and Austin Hill-Kleespie
University of San Diego School of Business, University of Utah - David Eccles School of Business and University of Utah, David Eccles School of Business, Department of Finance
Downloads 233 (157,131)

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

29.

Spillovers from equity to banking markets: Evidence from stock liquidity and the cost of bank loans

Number of pages: 49 Posted: 28 Mar 2018 Last Revised: 13 Oct 2020
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 223 (163,266)

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

30.

Preventing Information Leakage

Number of pages: 62 Posted: 10 Apr 2019 Last Revised: 02 Nov 2020
Jonathan Brogaard, Dan Li, Matthew Ma and Ryan Riordan
University of Utah - David Eccles School of Business, The University of Hong Kong - School of Economics and Finance, Southern Illinois University at Carbondale and Queen's University - Smith School of Business
Downloads 152 (228,331)

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brokers, informed trades, trading profits, information leakage

31.

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 139 (245,507)
Citation 2

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Banking, Regulation, Deposit Insurance, Franchise or Charter Value

32.

Competition and Exchange Data Fees

Number of pages: 33 Posted: 02 Nov 2020 Last Revised: 08 Jan 2021
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 65 (404,493)

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Data Fees, Exchange Competition

33.

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

Number of pages: 52 Posted: 14 Apr 2020 Last Revised: 14 Oct 2020
Jonathan Brogaard, Nhan Le, Duc Duy Nguyen and Vathunyoo Sila
University of Utah - David Eccles School of Business, Australian National University, King's College London and University of Edinburgh
Downloads 44 (478,668)

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

34.

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 16 (635,632)
Citation 1

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Banking, Regulation, Deposit Insurance, Franchise or Charter Value

35.

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 3 (732,556)
Citation 3
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high frequency trading, execution costs, institutional investors