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Jonathan
Brogaard
JD - PhD in Finance
Candidate
Finance Department
Law School
B.A. in Economics, B.A. in Politics
Summa Cum Laude
Occidental College - June
2006
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Curriculum Vitae:
Curriculum Vitae
(PDF
177 KB / 3 pages)
Research Interests:
High-Frequency Trading, Law and Finance,
Financial Regulation, Investments, Taxation of Financial Products
Advisors:
Prof.
Thomas Brennan
Prof.
Robert Korajczyk (Co-Chair)
Prof.
Robert McDonald
Prof.
Annette Vissing-Jorgensen (Co-Chair)
Summary:
Jonathan is a Finance PhD candidate at
the Kellogg School of Management, Northwestern University and concurrently
is completing his JD at the Northwestern University School of Law. Prior to
joining Kellogg and Northwestern Law, he was an undergraduate student at
Occidental College. Jonathan's research interests include high-frequency trading, law and finance,
financial regulation, investments, and the taxation of financial products.
Currently he is working on research regarding high frequency trading. In the past, he has conducted research on
the value of regulations mandating corporate governance
disclosure.
Papers:
Dissertation - High Frequency
Trading and its Impact on Market Quality
Abstract: In this paper I examine the impact of high
frequency trading (HFT) on the U.S. equities market. I analyze a unique
dataset to study the strategies utilized by high frequency traders (HFTs),
their profitability, and their relationship with characteristics of the
overall market, including liquidity, price discovery, and volatility. The
26 HFT firms in the dataset participate in 68.5% of the dollar-volume
traded. I find the following key results: (1) HFTs tend to follow a price
reversal strategy driven by order imbalances, (2) HFTs earn gross trading
profits of approximately $2.8 billion annually, (3) HFTs do not seem to
systematically engage in a non-HFTr anticipatory trading strategy, (4)
HFTs' strategies are more correlated with each other than are non-HFTs',
(5) HFTs' trading levels change only moderately as volatility increases, (6)
HFTs add substantially to the price discovery process, (7) HFTs provide the
best bid and offer quotes for a significant portion of the trading day and
do so strategically so as to avoid informed traders, but provide only
one-fourth as much book depth as non-HFTs, and (8) HFTs may dampen intraday
volatility. These findings suggest that HFTs' activities are not
detrimental to non-HFTs and that HFT tends to improve market quality.
Work In Progress - The Value of Corporate Governance Disclosure:
Evidence from the Swiss Stock Exchange
Abstract: This paper studies whether investors derive value
from mandatory corporate governance disclosure. I analyze investors’ valuation of
corporate governance disclosure by using Switzerland’s 2002 Directive on
Corporate Governance Disclosure, which implements a list of new corporate
governance disclosure requirements.
I find a negative cumulative abnormal return (CAR) for the firms
most affected by the Directive. This
could mean either that the regulation is valuable but weaker than investors
expected, or the regulation is costly and stronger then investors
expected. Consistent with the
regulation being expected but weaker than anticipated, I find evidence that
firms with greater agency problems had larger negative CAR. This suggests that investors value strong
corporate governance disclosure as a mechanism to reduce agency problems.
Recent Teaching Assistant
Courses:
Prof.
Snehal Banerjee - Turbo Finance
Prof.
Phillip Braun - Principles of Finance
Prof.
Jonathan Carmel – Fixed Income
Prof.
Dimitris Papanikolaou - Investments
Websites of Interest:
Blyth Fund
JD
– PhD Program
Northwestern School of Law
Occidental College
Sons
of Business Basketball Team
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