Research

Publications 

“Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues” (with Carole Comerton-Forde, Terrence Hendershott, Charles M. Jones, and Mark Seasholes), Journal of Finance, forthcoming.  Download

“A Tale of Two Time Zones: Cross-Listed Stock Liquidity and the Availability of Substitutes” (with Li Wei), Journal of Financial Markets, forthcoming. Download

“Liquidity: Considerations of a Portfolio Manager” (with Laurie Simon Hodrick) Financial Management, forthcoming Spring 2009. Download

“You Can’t Always Get What You Want: Trade-Size Clustering and Quantity Choice in Liquidity”,  Journal of Financial Economics, 2005, 78(1), 89-119. Download

 “Relative Repo Specialness in U.S. Treasuries”, Journal of Fixed Income, 2004, 14(1), 40-47. Download

Working Papers

“Speed and Stock Market Quality: The NYSE's Hybrid” (with Terrence Hendershott). Download

“Multimarket Trading, Volume Dynamics, and Market Integration” (with Michael Halling and Marios Panayides). Download

“Who Trades with Whom?” Download

Previous Versions of Working Papers

“Market Maker Inventories and Liquidity” (with Terrence Hendershott and Mark Seasholes). Download

“The Shrinking New York Stock Exchange Floor and the Hybrid Market” (with Terrence Hendershott). Download