• Publications
  • Influence
On the Marketing of IPOs
Derrien (2005) and Ljungqvist, Nanda, and Singh (2003) build upon the work of Miller (1977) and claim that issuers and the regular customers of investment bankers benefit from the presence ofExpand
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How Well Do Adverse Selection Components Measure Adverse Selection
The performance of five adverse selection models are examined by comparing their component estimates to other measures of information asymmetry and informed trading. The models produce mixed results.Expand
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Trade Classification Algorithms for Electronic Communications Network Trades
Ellis, Michaely, and O'Hara (2000) find that trade classification rules have limited success in classifying trades executed inside the quotes. We reconfirm this result and propose an alternativeExpand
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Decimals And Liquidity: A Study Of The Nyse
Using a carefully constructed matched sample of control (nondecimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that theExpand
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Competition in the Market for Nasdaq Securities
The study investigates competition in the market for NASDAQ stocks during a recent period in US equity markets history when three major Electronic Communication Networks (ECNs)--Archipelago, Island,Expand
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Trading Costs and Quote Clustering on the NYSE and NASDAQ after Decimalization
We examine execution costs and quote clustering on the New York Stock Exchange (NYSE) and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the mean spread of NASDAQ stocksExpand
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Clustering in the futures market: Evidence from S&P 500 futures contracts
We document trade price clustering in the futures markets. We find clustering at prices of x.00 and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout time toExpand
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Short Selling and Intraday Price Pressures
We study episodes of significant intraday downward price pressures in individual stocks and find that price declines during such episodes are driven mainly by liquidity demanding nonshort volume.Expand
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Is the Adverse Selection Component Really Higher on the NYSE/Amex than on the Nasdaq?
Affleck-Graves, Hegde and Miller (1994) find that the adverse selection component of the bid-ask spread is higher for NYSE and Amex stocks than for Nasdaq stocks. Using the model of Huang and StollExpand
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