Electronic Theses and Dissertations



Document Type


Degree Name

Doctor of Philosophy


Business Administration

Committee Chair

Pankaj Jain

Committee Member

Jeffrey Black

Committee Member

Konstantin Sokolov

Committee Member

Steve Lin


Prior literature documents a temporary spike in information asymmetry between sophisticated and unsophisticated traders around corporate disclosures because the former process new information faster. In Essay 1, using advances in textual analysis, we show that when management issues more uncertain financial statements, the resulting spike in information asymmetry is significantly lower than for firms which use less uncertain text. Furthermore, textual uncertainty measures of the disclosures are negatively associated with Intermarket Sweep Order (ISO) volume, an order type commonly used by sophisticated traders. This suggests sophisticated traders and algorithms are less able to extract value-relevant information from financial disclosures when they are uncertain. In Essay 2, we use exogenous nonconcurrent disruptions to low-latency connectivity to examine whether U.S. peripheral exchanges compete with the core U.S. exchanges by deterring low-latency arbitrage. Exchange ownership in the U.S. is often characterized as excessively concentrated. This leads to a concern that such concentration may prevent peripheral exchanges from mitigating adverse selection costs associated with low-latency arbitrage. We examine this concern using low-latency connectivity disruptions caused by recent temporary relocations of two markets, NYSE Chicago and Nasdaq PSX, in response to a transaction bill proposal. Although both exchanges had previously announced measures to curb low-latency trading, the connectivity disruptions cause a substantial reduction in adverse selection. These results suggest that peripheral markets have little incentive to implement measures restricting low-latency arbitrage. In Essay 3, using a large sample of U.S. firms from 2001-2018, we examine the association between corporate integrity culture and stock price crash risk. We find that firms with high integrity culture are less likely to experience future stock price crashes. Further results show that integrity culture, as a set of social norms, reduces managers’ tendency to hide bad news. Our results survive a battery of robustness tests, including the use of alternative proxies of crash risk, integrity culture, and endogeneity tests. Our results further reveal that the negative relation between integrity culture and crash risk is stronger for firms with weak corporate governance and high agency problems.


Data is provided by the student

Library Comment

Dissertation or thesis originally submitted to ProQuest.


Open Access