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 efficacy of market structure on real-world outcomes. This has lead me to study asset pricing, market design, and household finance. I am on the job market during the 2025/2026 academic year.
Recent Work
The Quote Not Taken: Inefficient Price Discovery in Opening Auctions
Solo Authored
Job Market Paper
This paper provides the first evidence that publicly observable retail order flow predicts inefficient short-horizon return patterns around opening auctions. These dynamics are consistent with temporary price pressure from retail activity that is not fully incorporated into opening auction pricing. A long-short trading strategy that leverages publicly available trade data as a signal yields economically and statistically significant abnormal risk-adjusted returns. Performing a difference-in-differences analysis around the 2020 NYSE floor closure shows that variation in auction design and information availability accounts for a substantial share of the observed return pattern. These findings suggest that despite the relative depth and sophistication of US equity markets, their opening auctions may not fully incorporate available information, limiting their effectiveness as price discovery mechanisms.
Anatomy of Trading Costs for Retail Investors: Savings from Off-Exchange Execution
with Travis L. Johnson, S.P. Kothari, and Eric So
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3976300
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.