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