RESEARCH PAPERS

PUBLICATIONS

“Low-Latency Trading” (with Joel Hasbrouck), forthcoming, Journal of Financial Markets.
“High-Frequency Trading” (with Tarun Chordia, Amit Goyal, and Bruce Lehmann), forthcoming, Journal of Financial Markets.
“Lack of Anonymity and the Inference from Order Flow” (with Juhani Linnainmaa), Review of Financial Studies, 25(5) (2012), 1414-1456.
“Individual Investor Trading and Return Patterns around Earnings Announcements” (with Ron Kaniel, Shuming Liu, and Sheridan Titman), Journal of Finance, 67(2) (2012), 639-680.
"Technology and Liquidity Provision: The Blurring of Traditional Definitions" (with Joel Hasbrouck), Journal of Financial Markets, 12(2) (2009), 143-172.
“How Noise Trading Affects Markets: An Experimental Analysis” (with Robert Bloomfield and Maureen O’Hara), Review of Financial Studies, 22(6) (2009), 2275-2302.
"Asset Returns and the Listing Choice of Firms" (with Shmuel Baruch), Review of Financial Studies, 22(6) (2009), 2239-2274.
"Specialist Markets", Encyclopedia of Quantitative Finance (2010), Rama Cont ed., John Wiley & Sons.
"Individual Investor Trading and Stock Returns" (with Ron Kaniel and Sheridan Titman), Journal of Finance, 63 (2008), 273-310.
"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.
"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.
"Dynamic Volume-Return Relation of Individual Stocks" (with Guillermo Llorente, Roni Michaely, and Jiang Wang), Review of Financial Studies 15 (2002), 1005-1047.
"Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation," Review of Financial Studies 14 (2001), 1153-1181.
"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.

WORKING PAPERS

“Hidden Liquidity: Some New Light on Dark Trading” (with Robert Bloomfield and Maureen O’Hara), working paper, June 2013.
"Systematic Liquidity and Learning about the Risk Premium", working paper, August 2006.
"Limit Orders and Volatility in a Hybrid Market: The Island ECN" (with Joel Hasbrouck), working paper, July 2002.
"Information Asymmetry about the Firm and the Permanent Price Impact of Trades: Is there a Connection?" (with Lei Yu), working paper, July 2002.
"Prices and Spreads in Sequential Markets with Information Imperfections," working paper, May 2000.