Academic Research

Published Papers

Published versions of these papers require journal subscriptions, however, the last version of the paper prior to copy-editing is available from the Social Science Research Network (SSRN) for free.  I provide links to both sources. 

• Non-standard errors, with 342 co-authors from 34 countries and 207 institutions, in the first crowd-sourced empirical paper in finance (See #fincap for details about the project), May 2023, forthcoming, Journal of Finance.
  [SSRN Link]

• Measuring financial well-being with self-reported and bank-record data, with John de New, Nicolas Salamanca, David C. Ribar, Andrea Nicastro and James Ross, Economic Record 2022 98(231), 133-151.
  [Working paper] [Journal Link]

• Secondary Market Transparency and Corporate Bond Issuing Costs, with James Brugler and J. Spencer Martin, Review of Finance 2022 26(1): 43-77.
  [SSRN Link] [Journal Link] [Online Appendix Link]

• Does Financial Market Structure Impact the Cost of Capital?  with James Brugler and Terry Hendershott, Journal of Financial and Quantitative Analysis 2021 56(5): 1771-1808.
  [SSRN Link] [Journal Link] [Online Appendix Link] [Roll-out dates for the Order Handling Rule]

• Comment on: Price Discovery in High Resolution, with James Brugler, Journal of Financial Econometrics 2021 19(3), 431-438.  
  [Journal Link] 

• Inverted Fee Structures, Tick Size, and Market Quality with Vincent Gregoire and Zhuo Zhong, Journal of Financial Economics 2019 134: 141–164.
  [SSRN Link] [Journal Link] [Online Appendix Link]

• Regulating Dark Trading: Order Flow Segmentation and Market Quality, with Katya Malinova and Andreas Park, Journal of Financial Economics 2018, 130(2): 347-366.
  [SSRN Link] [Journal Link] [Online Appendix Link]

• Shorting at Close Range: A Tale of Two Types, with  Charles Jones and Talis Putnins, Journal of Financial Economics 2016, 121: 546–568.
  [SSRN Link] [Journal Link]

• The relative information content of short selling disclosures, with Binh Do, Philip Gray and Tom Manton, Journal of Banking and Finance 2016, 64: 188-204.
  [Working paper] [Journal Link]

• Dark Trading and Price Discovery, with Talis Putnins, Journal of Financial Economics 2015, 118:70-92.
  [SSRN Link] [Journal Link]

• Stock Price Manipulation: Prevalence and Determinants, with Talis Putnins, Review of Finance 2014, 18: 23 - 66.
  [SSRN Link] [Journal Link]

• Why Do Traders Choose to Trade Anonymously? with Kar Mei Tang and Talis Putnins, Journal of Financial and Quantitative Analysis 2011, 46: 1025-1049.
  [SSRN Link] [Journal Link]

• Measuring closing price manipulation,  with Talis Putnins, Journal of Financial Intermediation 2011, 20(2): 135-58.
  [SSRN Link] [Journal Link]

• Pricing accuracy, liquidity and trader behavior with closing price manipulation, with Talis Putnins, Experimental Economics 2011, 14(1): 110-131.
  [SSRN Link] [Journal Link]

• Time- variation in liquidity: the role of market-maker inventories and revenues, with Terry Hendershott, Charles Jones, Pam Moulton and Mark Seasholes, Journal of Finance 2010, 65(1): 295-331.
  [SSRN Link] [Journal Link]

• Anonymity, liquidity and fragmentation, with Kar Mei Tang, Journal of Financial Markets 2009, 12(3): 337-367.
  [Journal Link]

 Working Papers

• Differential access to dark markets and execution outcomes, with James Brugler, April 2024.
  [SSRN Link] [Paper summary]

• ETF ETF Effects: The Role of Primary Versus Secondary Market Activities, with Thomas Marta, February 2024.
  [SSRN Link]

• Identifying high frequency trading without proprietary data, with Bidisha Chakrabarty and Roberto Pascual, August 2023.
  [SSRN Link]

• Trading @ the close, with Barbara Rindi, Working paper, September 2022.  
  [SSRN Link] [Paper summary]