Thomas K Brown
Welcome!
I am a Finance PhD candidate at The University of Texas at Austin, McCombs School of Business. I'm interested in the effect of market structure on real-world outcomes. This has led me to study asset pricing, market design, and household finance. I am on the job market during the 2025/2026 academic year.
Job Market Paper
The Quote Not Taken: Inefficient Price Discovery in Opening Auctions
Solo Authored [SSRN Version] [Paper]
This paper presents the first evidence that publicly observable retail order flow predicts short-term return reversals at market open, indicating that competitive traders fail to anticipate foreseeable uninformed demand in opening auctions. A long-short trading strategy using public trade data generates significant abnormal returns. This return pattern resulted in an estimated $16 billion transfer from retail investors to wholesalers. A difference-in-differences analysis around the 2020 NYSE floor closure shows that variation in auction design accounts for much of the pricing inefficiency. To improve market quality, I propose that wholesalers be required to report an additional measure: the trade-to-close return.
Recent Work
Anatomy of Trading Costs for Retail Investors: Savings from Off-Exchange Execution
with Travis L. Johnson, S.P. Kothari, and Eric So [SSRN Version]
Working Paper
Using both public and proprietary order execution data, we show that retail trades executed by wholesalers outside typical exchanges receive significantly more favorable prices, on average, than comparable trades executed on exchanges. Contrary to the claim that brokers sacrifice execution quality for payment for order flow (PFOF), trades executed via Robinhood, a high PFOF broker, receive better-than-average prices. Additional analysis shows this advantageous pricing arises because retail orders exhibit lower levels of adverse selection, and yields no evidence market power drives up retail trading costs. Our estimates and conclusions differ from related research because we analyze a broader sample and weight observations by dollar volume rather than equally. Overall, the zero-commission PFOF model for executing retail trades has lowered total costs below 6bp –- far smaller than they were previously.
We show that both local and national competition materially affect patient outcomes in the U.S. dialysis market. After an acquisition of a local monopolist by one of the two dominant dialysis firms, all-cause two-year mortality increases by 2.8% and hospitalization by 1.2% while acquisitions in competitive markets have no effect. However, national competitive dynamics matter as well: When a dominant firm acquires a local provider’s facilities in markets where that local provider competes with only the other dominant firm, mortality at the acquired facilities increases by 2.2%. We further test whether competition disciplines firm behavior by exploiting a policy change that provided incentives for patient care: we find that monopolistic markets and markets served by only the two dominant firms exhibit large increases in reported performance following the shock, while behavior by those firms in competitive markets is unchanged. Overall, our findings indicate that competition improves patient welfare but rivalry between only the two dominant firms is insufficient to generate competitive outcomes.