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Research

Selected Publications

  • An Examination of Own Account Trading by Dual Traders in Futures Markets. Forthcoming (2002) Journal of Financial Economics
  • A Bayesian Analysis of Dual Trader Informativeness in Futures Markets.
    Forthcoming (2002) Journal of Empirical Finance
  • Supply Contraction and Trading Protocol: An Examination of Recent Changes in the U.S. Treasury Market: A Comment .  Forthcoming (2002) Journal of Money Credit and Banking
  • A model of broker's trading with applications to order flow internalization.
    Review of Financial Economics. 11(2002), 19-36.
  • Stealth trading: Which traders' trades move stock prices?
    Journal of Financial Economics, 61 (2001), 289-307.
  • Relationships and Rationing in Consumer Loans.
    Journal of Business, 72(1999), 523-544.
  • Does Insider Trading Really Move Stock Prices?
    Journal of Financial and Quantitative Analysis , 34 (1999), 191-209.
     
  • Liquidity in the U.S. Fixed Income Markets: Comparative Evidence from Transactions in the Corporate, Government and Municipal Bond Markets.
     Staff Reports, 1997, Federal Reserve Bank of New York, Number 73.

      • The results of the above research on Bond market bid-ask spreads were debated on the House floor and introduced officially into the Congressional records by House Commerce Committee Chairman Congressman Tom Bliley as evidence in the hearings of the House Commerce Committee investigating the lack of transparency in the U.S. Fixed Income Markets, on March 18, 1999.

  • Information Asymmetry and the Pricing of Cross-Listed Stocks: Evidence from Chinese A- and B-Shares. Journal of International Financial Markets, Institutions and Money, 8 (1998), 325-355.
  • An Analysis of Prices, Bid/Ask Spreads, and Bid and Ask Depths Surrounding Ivan Boesky's Illegal Trading in Carnation's Stock.
    Financial Management, 26 (2), (1997), 18-34.
  • An Integrated Model of Market and Limit Orders. Journal of Financial Intermediation , 4(3), (1995), 215-241.
     
  • Should Actively Traded Futures Contracts Come Under the Dual-Trading Ban? The Journal of Futures Markets , 1994, 14(4), 661-684.

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