Working Papers

  • Unshackling Short Sellers: The Repeal of the Uptick Rule (with Ekkehart Boehmer and Xiaoyan Zhang)
    Paper


  • Shackling Short Sellers: The 2008 Shorting Ban (with Ekkehart Boehmer and Xiaoyan Zhang)
    Paper

  • Shorting Restrictions:Revisiting the 1930s
    Paper

Peer-reviewed Publications

  • Does Algorithmic Trading Improve Liquidity? (with Terrence Hendershott and Albert Menkveld), forthcoming, Journal of Finance
    Abstract

  • Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues (with Carole Comerton-Forde, Terrence Hendershott, Pamela C. Moulton and Mark S. Seasholes)
    Paper,

  • "Which shorts are informed? (with Ekkehart Boehmer and Xiaoyan Zhang), Journal of Finance, 2008, 63(2):491-527 (lead article)
    Paper

  • "Order consolidation, price efficiency, and extreme liquidity shocks" (with Michael Barclay and Terrence Hendershott), Journal of Financial and Quantitative Analysis, 2008, 23(1): 93-122

  • "Island goes dark" transparency, fragmentation, and regulation" (with Terrence Hendershott), Review of Financial Studies, 2005, 18(3):743-793.
    Paper

  • "Trade-through prohibitions and market quality" (with Terrence Hendershott), Journal of Financial Markets, 2005, 8(1):1-23
    Paper

  • "Short sale constraints and stock returns (with Owen A. Lamont, Journal of Financial Economics, 2002, 66(2-3):207-239.
    Paper

  • "Sixteenths: direct evidence on institutional execution costs" (with Marc L. Lipson, Journal of Financial Economics, 2001, 59(2):253-278
    Paper

  • "Execution costs of institutional equity orders" (with Marc L. Lipson), Journal of Financial Intermediation, 1999, 8:123-140.
    Paper

  • "Macroeconomic news and bond market volatility" (with Owen Lamont and Robin Lumsdaine), Journal of Financial Economics, 1998, 47:315-337.
    Paper

  • "Transaction costs and price volatility: evidence from commission deregulation" (with Paul J. Seguin), American Economic Review, 1997, 87:728-737.
    Paper

  • "Oil and the stock markets" (with Gautam Kaul), Journal of Finance, 1996, 51:463-491.
    Paper

  • "Transactions, volume, and volatility," (with Gautam Kaul and Marc L. Lipson), Review of Financial Studies, 1994, 7:631-651.
    Paper

  • "Information, trading, and volatility" (with Gautam Kaul and Marc L. Lipson), Journal of Financial Economics, 1994, 36:127-154.
    Paper