Classes

PUBLICATIONS: Major Journal Articles

Automated versus Floor Trading: An analysis of execution costs on the Paris and New York Exchanges, Journal of Finance, 2001, Vol. 56, No. 4, pg. 1445-1885.
Abstracted in The CFA Digest, Vol. 32, No. 1 (Feb 2002), pg. 65-66.

The Impact of Regulation Fair Disclosure: Trading Costs and Information Asymmetry, Journal of Financial and Quantitative Analysis, 2004, Vol. 39, No. 2, pg. 209-225. (Lead Article) (with Venkat Eleswarapu and Rex Thompson)
Abstracted in The CFA Digest, Vol. 34, No. 4 (Nov 2004), pg. 9-10.

Does an Electronic Stock Exchange need an Upstairs Market?, Journal of Financial Economics, 2004, Vol. 73, pg. 3-36. (Lead Article) (with Hank Bessembinder).

Do Short Sellers target firms with poor Earnings Quality? Evidence from Earnings Restatements, Review of Accounting Studies, 2006, Vol. 11, pg. 71-90. (with Hemang Desai and Srini Krishnamurthy).

The Impact of Legal and Political Institutions on Equity Trading Costs: A Cross-Country Analysis, Review of Financial Studies, 2006, Vol.19, No.3, pg. 1081-1111. (with Venkat Eleswarapu).

Market Transparency, Liquidity Externalities and Institutional Trading Costs in Corporate Bonds, Journal of Financial Economics, 2006, Vol. 82, 251-288. (Lead Article) (with Hank Bessembinder and Bill Maxwell).

·      Featured in the Wall Street Journal, FinancialTimes, Dow Jones News Wire; Bloomberg News; The Economist.

·      Cited by regulators in U.S. and Europe.

The Value of the Designated Market Maker, Journal of Financial and Quantitative Analysis, 2007, Vol. 42, No.3, pp. 735-758. (with Andy Waisburd).

Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets. Journal of Financial Economics, 2009, Volume 94, 361-383.(with Hank Bessembinder and Marios Panayides).

Earnings Quality and Information Asymmetry, Contemporary Accounting Review, 2011, conditionally accepted, (with Neil Bhattacharya and Hemang Desai).

Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Cost, Review of Financial Studies, 2011. Forthcoming. (with Amber Anand, Paul Irvine and Andy Puckett).

BOOK CHAPTERS / NON-REFEREED PUBLICATIONS

Bid-Ask Spreads: Measuring Trade Execution Costs in Financial Markets, in Encyclopedia of Quantitative Finance, edited by Rama Cont, John Wiley & Sons, forthcoming, 2010. (with Hank Bessembinder)

Evidence-based Regulatory Policy Making for Financial Markets: A Panel Discussion of a Proposed Framework for AssessingMarket Quality. A Guide to Global Liquidity, Volume 3, 24-44, 2011. (with Frederick Harris, Michael Aitken, Alfred Berkeley and James Overdahl)