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Publications
(Available through JSTOR/ScienceDirect/Ingenta. Visitor
or visitor's network host/institution must be JSTOR subscriber
in order to access these papers.)
"Short Selling and the News: A Preliminary Report on an Empirical Study," with Merritt Fox and Paul Tetlock, New York Law School Law Review, 2010
"Discriminatory Limit Order Books, Uniform Price Clearing and Optimality," Advances in
Quantitative Analysis of Finance and Accounting, Volume 3, ESSAYS IN MICROSTRUCTURE IN HONOR OF DAVID K. WHITCOMB, April, 2006
"A
Reconsideration of Tax Shield Valuation,"
with Enrique Arzac, European
Financial Management Volume
11, no. 4 (2005): 453–61
“Is
the Electronic Open Limit Order Book Inevitable?,"
Journal of Finance, September, 1994
"Relations
between the Expected Nominal Stock Excess Return, the Volatility
of the Nominal Excess Return and the Interest Rate," with
R. Jagannathan and D. Runkle, Journal of Finance,
December, 1993
"A
Contingent Claim Approach to Performance Evaluation," (with
Ravi Jagannathan), Journal of Empirical Finance
I, 1994
"Challenges
to Theory Development in Entrepreneurship Research," (with
Raphael Amit and Eitan Muller), Journal of Management
Studies, September, 1993
"Entrepreneurial
Ability, Venture Investments and Risk Sharing" (with
Raphael Amit and Eitan Muller), October, 1990, Management
Science
"Economic
Significance of Predictable Variations in Stock Index Returns," (with
William Breen and Ravi Jagannathan), Dec., 1989, Journal
of Finance; Reprinted in Forecasting Financial
Markets, ed. By Terence C. Mills, Edward Elgar, 2001
"Insider
Trading, Liquidity and the Role of the Monopolist Specialist," April,
1989, Journal of Business
"Estimating
the Components of the Bid/Ask Spread," (with
L. Harris) May, 1988, Journal of Financial Economics;
reprinted in Microstructure : The Organization of Trading
and Short Term Behavior (International Library of Critical
Writings in Financial Economics Series, S02) by Hans R.
Stoll (Editor)
"Components
of the Bid Ask Spread and the Statistical Properties of
Transaction Prices," December, 1987, Journal
of Finance
"Bid,
Ask and Transaction Prices in a Specialist Market with Heterogeneously
Informed Traders," (with P. Milgrom)
March, 1985, Journal of Financial Economics; reprinted
in Microstructure : The Organization of Trading and
Short Term Behavior (International Library of Critical
Writings in Financial Economics Series, S02) by Hans R.
Stoll (Editor)
Book
Reviews and Other Papers
“The
past, present and future of trading stocks”
with Charles Jones Financial Times, 5/14/01. Reprinted in
Mastering Investment, Financial Times, 2002.
"Introductory
Comments: Bloomfield and O’Hara, and Flood, Huisman,
Koedijk, and Mahieu," Review of Financial
Studies, 12 (1) pp 1-3.
"The
Microstructure of Securities Markets," Reviewed
in Journal of Economic Literature, September, 1988.
"Equity
Markets," Reviewed in Journal of Finance,
December, 1988
"Does
Venture Capital Foster the Most Promising Entrepreneurial
Firms?" (with Raphael Amit and Eitan Muller),
Spring, 1990, California Management Review
"Private
Information" Essay in The New Palgrave Dictionary
of Money and Finance
"The
Economics of Market Making," Mid America Institute
for Public Policy Research position paper
Working
Papers
"Flickering Quotes," with Shmuel Baruch, 2013
“Day Trading: Making and Taking Liquidity and Manipulation on the National Stock
Exchange of India,” with Manoj Dalvi, April, 2011
“Market Architecture Redux” Nov. 2002, revised July, 2003
“Precedence Rules” 1998, revised 2006, 2009
"Welfare cost of informed trade," April, 2009
Work
in Progress
"Transaction costs and stock price anomalies" (with Jialin Yu)
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