RESEARCH PAPERS
PUBLICATIONS
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"Technology and Liquidity Provision: The Blurring of Traditional
Definitions" (with Joel Hasbrouck), forthcoming in the Journal of Financial Markets. |
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“How Noise Trading Affects Markets: An Experimental Analysis” (with Robert Bloomfield and Maureen O’Hara), forthcoming in the Review of Financial Studies. |
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"Asset Returns and the Listing Choice of Firms" (with Shmuel Baruch), forthcoming in the Review of Financial Studies. |
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| "Specialist Markets", forthcoming in the Encyclopedia of Quantitative Finance. |  |
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"Individual Investor Trading and Stock Returns" (with Ron
Kaniel and Sheridan Titman), Journal of Finance, 63 (2008), 273-310. |
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"Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE" (with Ekkehart Boehmer and Lei Yu), Journal of Finance 60 (2005), 783-815. |
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"The 'Make or Take' Decision in an Electronic Market: Evidence on the Evolution of Liquidity" (with Robert Bloomfield and Maureen O'Hara), Journal of Financial Economics 75 (2005), 165-199. |
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"Dynamic Volume-Return Relation of Individual Stocks" (with Guillermo Llorente, Roni Michaely, and Jiang Wang), Review of Financial Studies 15 (2002), 1005-1047. |
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"Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation," Review of Financial Studies 14 (2001), 1153-1181. |
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"How Stock Splits Affect Trading: A Microstructure Approach" (with David Easley and Maureen O'Hara), Journal of Financial and Quantitative Analysis 36 (2001), 25-51. |
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WORKING PAPERS
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“Individual
Investor Trading and Return Patterns around Earnings Announcements”
(with Ron Kaniel, Shuming Liu, and Sheridan Titman), working paper,
November 2008. |
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"Systematic Liquidity and Learning about the Risk Premium", working paper, August 2006. |
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"Limit Orders and Volatility in a Hybrid Market: The Island ECN" (with Joel Hasbrouck), working paper, July 2002. |
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"Information Asymmetry about the Firm and the Permanent Price Impact of Trades: Is there a Connection?" (with Lei Yu), working paper, July 2002. |
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"Prices and Spreads in Sequential Markets with Information Imperfections," working paper, May 2000. |
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