K. Venkataraman

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A global trend towards automated trading systems raises the important question of whether execution costs are in fact lower than on trading floors. This paper compares the trade execution costs for the common stock of similar firms in an automated trading structure (Paris Bourse) and a floor-based trading structure (NYSE). Results indicate that execution(More)
and participants in the 2003 NBER Summer Institute for helpful comments. An earlier version of this paper was titled " Why NYSE retail orders get better (yes, better) executions. " Part of this research was undertaken while Jones was the visiting economist at the New York Stock Exchange, and the NYSE provided the data as well as financial support for this(More)
We examine the Paris Bourse, whose electronic limit order market closely resembles the downstairs markets envisioned by theorists, to test several theoretical predictions regarding upstairs trading. We present direct evidence in support of the Grossman (1992) prediction that upstairs brokers lower execution costs by tapping into unexpressed liquidity, as(More)
The trading of shares of the same firm in multiple markets has become common over the last 30 years, but there is little empirical evidence on the extent to which investors actively exploit multimarket environments. We introduce a volume-based measure of multimarket trading to address this question. Analyzing a large set of cross-listed firms, we find(More)
Actively managed mutual funds, in general, underperform a passive benchmark; however, some recent studies find they, in fact, outperform the benchmark in bad economic states. I examine whether a state dependent risk shifting behavior of mutual fund managers contributes to this performance difference across states, and find supportive evidence. As shown in(More)
We propose a new role for private investments in public equity (PIPEs) as a mechanism to reduce coordination frictions among existing equity holders. We establish a causal link between the coordination ability of incumbent shareholders and PIPE issuance. This result obtains even after controlling for alternative explanations such as information asymmetry(More)
We study prices, liquidity, and individual account trading activity around large and predictable ETF " roll " trades in crude oil futures markets to test the implications of the competing theories of predatory and sunshine trading. The results indicate narrower bid-ask spreads, greater limit order book depth, and a larger number of distinct trading accounts(More)