RESEARCH PAPERS

PUBLICATIONS

“Low-Latency Trading” (with Joel Hasbrouck), forthcoming, Journal of Financial Markets.

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“High-Frequency Trading” (with Tarun Chordia, Amit Goyal, and Bruce Lehmann), forthcoming, Journal of Financial Markets.

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“Lack of Anonymity and the Inference from Order Flow” (with Juhani Linnainmaa), Review of Financial Studies, 25(5) (2012), 1414-1456.

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“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.

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"Technology and Liquidity Provision: The Blurring of Traditional Definitions" (with Joel Hasbrouck), Journal of Financial Markets, 12(2) (2009), 143-172.

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“How Noise Trading Affects Markets: An Experimental Analysis” (with Robert Bloomfield and Maureen O’Hara), Review of Financial Studies, 22(6) (2009), 2275-2302.

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"Asset Returns and the Listing Choice of Firms" (with Shmuel Baruch), Review of Financial Studies, 22(6) (2009), 2239-2274.

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"Specialist Markets", Encyclopedia of Quantitative Finance (2010), Rama Cont ed., John Wiley & Sons.

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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

“Hidden Liquidity: Some New Light on Dark Trading” (with Robert Bloomfield and Maureen O’Hara), working paper, June 2013.

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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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