Staff Papers and Analyses

Working papers in the series were prepared in full or in part by SEC staff economists in the Division of Economic and Risk Analysis. They investigate a broad range of issues relevant to the Commission's mission and are disseminated to stimulate discussion and critical comment to the benefit of the public. DERA Working Papers are preliminary materials that have not been approved by the Commission and reflect only the views of the author(s).

White papers and analyses are prepared by SEC staff in the course of rulemaking and other Commission initiatives. Some of these materials are available elsewhere on the Commission website.

Staff Papers and Analyses RSS Feed
Date Title Type
Tick Sizes and Market Quality: Revisiting the Tick Size Pilot

Yashar H. Barardehi, Peter Dixon, Qiyu Liu, and Ariel Lohr

 Working Papers
DERA Economic and Financial Outlook April 2021(PDF)
Quarterly Outlook
DERA Economic and Financial Outlook February 2021(PDF)
Quarterly Outlook
Analysis of PM Cash-Settled Index Option Pilots (PDF)
Studies and Reports
DERA Quarterly Economic and Risk Outlook Nov 2020(PDF)
Quarterly Outlook
Pre-trade Information in the Corporate Bond Market

Louis Craig, Abby Kim and Seung Won Woo

 White Papers
U.S. Credit Markets Interconnectedness and the Effects of the COVID-19 Economic Shock(PDF)
Studies and Reports
Report to Congress on Regulation A / Regulation D Performance(PDF)
Studies and Reports
Misconduct and Fraud in Unregistered Offerings(PDF)

Rachita Gullapalli

 White Papers
DERA Quarterly Economic and Risk Outlook Jul 2020(PDF)
Quarterly Outlook
Cash Management and Extreme Liquidity Demand of Mutual Funds

Giulio Girardi, Christof Stahel, and Youchang W

 Working Papers
U.S. Investors' Exposure to Domestic Chinese Issuers(PDF)
Studies and Reports
DERA Quarterly Economic and Risk Outlook Apr 2020(PDF)
Quarterly Outlook
The Unit-Weighted Mean - Because Size Matters

Eugene Canjels

 Working Papers
Bond Liquidity and Dealer Inventories: Insights from US and European Regulatory Data

Plamen Ivanov, Alexei Orlov, and Michael Schihl

 Working Papers
DERA Quarterly Economic and Risk Outlook Nov 2019(PDF)

The Division of Economic Risk Analysis (DERA) has issued its inaugural quarterly report, which touches on a variety of topics such as macroeconomic indicators, monetary policy and interest rates, financial market signals, market segments and research on collateralized loan obligations.

 Quarterly Outlook
The Distribution of Leveraged ETF Returns(PDF)
Economics Notes
Encouraging Broker and Adviser Background Checks: A Randomized Study on Twitter

K. Jeremy Ko, Sai Rao, and Parth Venkat

 Working Papers
Tick Size Pilot Plan Threshold Analysis

Edwin Hu, Paul Hughes, John Ritter, Patti Vegella, and Hao Zhang

 White Papers
Does the Tick Size Affect Stock Prices? Evidence from the Tick Size Pilot Announcement of the Test Groups and the Control Group

Salil Pachare and Ilia Rainer

 White Papers
Capital Raising in the U.S.: An Analysis of the Market for Unregistered Securities Offerings, 2009‐2017

Scott Bauguess, Rachita Gullapalli, and Vladimir Ivanov

 White Papers
Pre-trade Information in the Municipal Bond Market

Louis Craig, Abby Kim, and Seung Won Woo

 White Papers
The Financial Illiteracy and Overconfidence of Margin Traders

K. Jeremy Ko and Steven Rapkin

 White Papers
Intentional Access Delays, Market Quality, and Price Discovery: Evidence from IEX Becoming an Exchange

Edwin Hu

 Working Papers
Tick Size Pilot Plan and Market Quality

Edwin Hu, Paul Hughes, John Ritter, Patti Vegella, and Hao Zhang

 White Papers
DERA Memorandum regarding Cornerstone Analysis of the Option Penny Pilot Program(PDF)
Studies and Reports
The Effect of Amendment 10 of the “Limit Up-Limit Down” Pilot Plan

Paul Hughes

 White Papers
“Limit Up-Limit Down” Pilot Plan and Extraordinary Transitory Volatility

Paul Hughes, John Ritter, and Hao Zhang

 White Papers
DERA Memorandum regarding Cornerstone August 24 LULD Analysis (PDF)
Studies and Reports
DERA Memorandum regarding Cornerstone Analysis of Long-Lasting Straddle States(PDF)
Studies and Reports
Bats Market Close: Off-Exchange Closing Volume and Price Discovery(PDF)
Studies and Reports
Did Social Interactions Fuel or Suppress the US Housing Bubble?

K. Jeremy Ko, Christo Pirinsky

 Working Papers
Investor Confidence Note Oct2017(PDF)
Economics Notes
Access to Capital and Market Liquidity(PDF)

This report to Congress includes an examination of initial public offerings and crowdfunding by small companies.

 Studies and Reports
FINRA’s Pilot Program Amending Minimum Quotation Size Requirements for OTC Equity Securities(PDF)
Studies and Reports
Mutual Funds Apart From the Crowd​

Nadia Vozlyublennaia and Youchang Wu

 Working Papers
Hedge Fund Liquidity Management

George O. Aragon, Tolga Ergun, Mila Getmansky, and Giulio Girardi

 Working Papers
Hedge Funds: Portfolio, Investor, and Financing Liquidity

George O. Aragon, Tolga Ergun, Mila Getmansky, and Giulio Girardi

 White Papers
“Limit Up-Limit Down” Pilot Plan and Associated Events

Claudia E. Moise and Paca Flaherty

 White Papers
U.S. Securities-based Crowdfunding Under Title III of the JOBS Act ​

Vladimir Ivanov and Anzhela Knyazeva

Review the report for offering activity in the Title III crowdfunding market initiated during May 16, 2016 - December 31, 2016.

 White Papers
​Private Liquidity Funds: Characteristics and Risk Indicators

​Daniel Hiltgen

 White Papers
Outcomes of Investing in OTC Stocks

Joshua T. White

 White Papers
Regulation A+: What Do We Know So Far?

​Anzhela Knyazeva

 White Papers
Risk Adjustment and Haircut Schedules
 Studies and Reports
A Pilot Survey of Agent Securities Lending Activity

Viktoria Baklanova, Cecilia Caglio, Frank Keane, Burt Porter

 White Papers
Issuance Activity and Interconnectedness in the CMBS Market​

Diana Knyazeva, Charles Lin, and Jasmine Park

 White Papers
Security Recommendations and the Liability of Broker-Dealers
Matthew L. Kozora
 Working Papers
Mutual Funds Apart From the Crowd​
Nadia Vozlyublennaia and Youchang Wu
 Working Papers
Manipulation of Illiquid Asset Indexes​

​K. Jeremy Ko, Igor Kozhanov, and Sean Wilkoff

 Working Papers
The Determinants of ETF Trading Pauses on August 24th, 2015

Austin Gerig and Keegan Murphy

 White Papers
Use of Derivatives by Registered Investment Companies

Daniel Deli, Paul Hanouna, Christof W. Stahel, Yue Tang and William Yost

 White Papers
Capital Raising in the U.S.: An Analysis of the Market for Unregistered Securities Offerings, 2009-2014

Scott Bauguess, Rachita Gullapalli, and Vladimir Ivanov

 White Papers
Liquidity and Flows of U.S. Mutual Funds

Paul Hanouna, Jon Novak, Tim Riley, and Christof Stahel

 White Papers
Public versus Private Provision of Governance: The Case of Proxy Access

​Tara Bhandari, Peter Iliev, and Jonathan Kalodimos

 Working Papers
The Effects of Regulating Hidden Add-on Costs

K. Jeremy Ko and Jared Williams

 Working Papers
Single-Name Corporate Credit Default Swaps: Background Data Analysis on Voluntary Clearing Activity

Burt Porter

 White Papers
Qualified Residential Mortgage: Background Data Analysis on Credit Risk Retention

Joshua White and Scott Bauguess

 White Papers
Too Fast or Too Slow? Determining the Optimal Speed of Financial Markets

Daniel Fricke and Austin Gerig

 Working Papers
High-Frequency Trading Synchronizes Prices in Financial Markets

Austin Gerig

 Working Papers
White Paper on Computing Tools for Promoting Sound Investment Decisions (Latest Revision)

K. Jeremy Ko

 White Papers
Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets

Daniel Fricke and Austin Gerig

See Latest Revision (1/21/15)

Daniel Fricke and Austin Gerig

 Working Papers
Automated Liquidity Provision

Austin Gerig and David Michayluk

 Working Papers
Making the Most of Good Times: Shareholder Rights and Performance Revisited

Tara Bhandari

 Working Papers
Differences of Opinion and Stock Prices: Evidence from Spin-Offs and Mergers

Tara Bhandari

 Working Papers
Going Public Abroad

Cecilia Caglio, Kathleen Weiss Hanley and Jennifer Marietta-Westberg

DERA Working Paper 2013-01
 Working Papers
Do Takeover Laws Matter? Evidence from Five Decades of Hostile Takeovers

Matthew D. Cain, Stephen B. McKeon and Steven Davidoff Solomon

 Working Papers
Inventory risk management by dealers in the single-name credit default swap market(PDF)
Studies and Reports
Analysis of post-trade transparency under the CFTC regime(PDF)
Studies and Reports
White Paper on Computing Tools for Promoting Sound Investment Decisions (Original Version)

K. Jeremy Ko

See Latest Revision (12/17/14)

 White Papers
Interconnectedness in the CDS Market

Giulio Girardi, Craig Lewis and Mila Getmansky

 White Papers
Differences in the Information Environment Prior to SEOs under Relaxed Disclosure Regulation
Sarah B. Clinton, Joshua T. White and Tracie Woidtke
DERA Working Paper 2013-05
 Working Papers
OTC Trading: Description of Non-ATS OTC Trading in National Market System Stocks

Laura Tuttle

 White Papers
Demand and Supply of Safe Assets in the Economy(PDF)
Studies and Reports
Municipal Money Market Funds Exposure to Parents of Guarantors(PDF)
Studies and Reports
Liquidity Cost During Crisis Periods(PDF)
Studies and Reports
Government Money Market Fund Exposure to Non-Government Securities(PDF)
Studies and Reports
The Economic Implications of Money Market Fund Capital Buffers
Craig M. Lewis
DERA Working Paper 2014-01
 Working Papers
Going Public Abroad

Cecilia Caglio, Kathleen Weiss Hanley and Jennifer Marietta-Westberg

See Latest Version (12/1/14)

 Working Papers
Alternative Trading Systems: Description of ATS Trading in National Market System Stocks

Laura Tuttle

 White Papers
The Effects of Regulating Hidden Add-on Costs

K. Jeremy Ko and Jared Williams

See Latest Version (5/9/15)

DERA Working Paper 2013-03
 Working Papers
Qualified Residential Mortgage: Background Data Analysis on Credit Risk Retention

Joshua White and Scott Bauguess
See Corrected Version (2/25/15)

 White Papers
Appointments of Academic Directors

Joshua T. White, Tracie Woidtke, Harold A. Black and Robert L. Schweitzer

DERA Working Paper 2013-02
 Working Papers
Capital Raising in the U.S.: An Analysis of Unregistered Offerings Using the Regulation D Exemption, 2009-2012

Vladimir Ivanov and Scott Bauguess

 White Papers
Analyst Competition and Monitoring:Earnings Management in Neglected Firms

Laura Lindsey and Simona Mola

DERA Working Paper 2013-04
 Working Papers
Money Market Fund Study: Response to Questions Posed by Commissioners Aguilar, Paredes, and Gallagher (Experience through the Financial Crisis, Efficacy of 2010 Reforms, and Potential Economic Effects of Future Reforms)
 Studies and Reports
Economic Effects of Proposed Rule Changes by NYSE Arca, Inc. to List and Trade Shares of the JPM XF Physical Copper Trust (SR-NYSEArca-2012-28) and the iShares Copper Trust (SR-NYSEArca-2012-66)(PDF)
Studies and Reports
FINRA Proposal to Reduce Minimum Quotation Size in OTC Market Tiers(PDF)
Studies and Reports
Information Regarding Activities and Positions of Participants in the Single-Name Credit Default Swap Market(PDF)
Studies and Reports
Capital Raising in the U.S.: The Significance of Unregistered Offerings Using the Regulation D Exemption

Vlad Ivanov and Scott Bauguess

See Latest Version (7/1/13)

 White Papers
Impact of Recent Regulation SHO Rule Changes on Fails to Deliver (Updates with Additional Data the Analysis Dated November 4, 2009)(PDF)
Studies and Reports
Security-Based Swap Block Trade Definition Analysis(PDF)
Studies and Reports
Share Ownership and Holding Period Patterns in 13F data(PDF)
Studies and Reports
Impact of Recent Regulation SHO Rule Changes on Fails to Deliver (Elimination of the Options Market Maker (OMM) Exception in Rule 203 of Regulation SHO, and Implementation of Interim Final Temporary Rule 204T and Permanent Rule 204)(PDF)
Studies and Reports
Study of the Sarbanes-Oxley Act of 2002 Section 404 Internal Control over Financial Reporting Requirements
 Studies and Reports
Analysis of the July 2008 Emergency Order Requiring a Pre-borrow on Short Sales(PDF)
Studies and Reports
Analysis of a Short Sale Price Test Using Intraday Quote and Trade Data(PDF)
Studies and Reports
Analysis of Short Selling Activity during the First Weeks of September 2008(PDF)
Studies and Reports
Impact of Recent Regulation SHO Rule Changes on Fails to Deliver (Elimination of the Options Market Maker (OMM) Exception in Rule 203 of Regulation SHO and Implementation of Interim Final Temporary Rule 204T)(PDF)
Studies and Reports
Impact of Recent Regulation SHO Amendment on Fails to Deliver (Elimination of the Grandfather Exception in Rule 203 of Regulation SHO)(PDF)
Studies and Reports
Fails to Deliver Statistics in Threshold Securities(PDF)
Studies and Reports
Economic Analysis of the Short Sale Price Restrictions under the Regulation SHO Pilot
 Studies and Reports
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