Papers, abstracts and data available on-line:

• Why NYSE Retail Orders Get Better (Yes, Better) Executions (with Marc Lipson)
  Abstract
  PDF file
  
  
• Island Goes Dark: Transparency, Fragmentation, and Liquidity Externalities (with Terrence Hendershott)
  Abstract
  PDF file
  
  
• Deviations Between Stock Price and Fundamental Value for Real Estate Investment Trusts (with Bill Gentry and Chris Mayer)
  Abstract
  PDF file
  
  
• Shorting Restrictions, Liquidity, and Returns
  Abstract
  PDF file
  
  
• A Century of Stock Market Liquidity and Trading Costs
  Abstract
  PDF file
  
  
• The Price of Diversifiable Risk in Venture Capital and Private Equity (with Matthew Rhodes-Kropf)
  Abstract
  PDF file
  
  
• Price Impacts and Quote Adjustment on the Nasdaq and NYSE/AMEX (with Marc Lipson)
  Abstract
  PDF file
  
  
• Short Sale Constraints and Stock Returns (with Owen A. Lamont), 2002, Journal of Financial Economics, 66(2):207-239.
  Abstract
  PDF file
  Loan Rate Data
  
  
• Macroeconomic News and Bond Market Volatility" (with Owen Lamont and Robin Lumsdaine), 1998, Journal of Financial Economics, 47(3):315-337. Data