Research

Working Papers and Current Research:

• “The Role of Reputation in Financial Markets: The Impact of Broker Dark Pool Scandals on Institutional Order Routing,” with Robert Battalio, Robert Jennings, Emanuele Rizzo, and Rafael Zambrana
  Internet Appendix for “The Role of Reputation in Financial Markets”
• “The Changing Nature of Investment Banking Relationships,” with Mike Stegemoller.
• “Investment Bank Mergers: Economies of Scope or Decreasing Competition?” with Mike Stegemoller.

Publications:

• “Investment Banking Relationships and Analyst Affiliation Bias: The Impact of the Global Settlement on Sanctioned and Non-Sactioned Banks,” with Stephannie Larocque and Mike Stegemoller. Journal of Financial Economics 124(3), 2017, 614-631.

• “Unrecognized Odd Lot Liquidity Supply: A Hidden Trading Cost for High Priced Stocks,” with Robert Battalio and Robert Jennings, Journal of Trading 12(1), 2017, 35-41.

• “Can Brokers Have it All? On the Relation between Make Take Fees and Limit Order Execution Quality,” with Robert Battalio, and Robert Jennings. Journal of Finance 71(5), 2016, 2193-2238.
  • 2013 Q-Group Research Grant.
  • Testimony of Robert Battalio before the Senate Permanent Subcommittee on Investigations Hearing on Conflicts of Interest, Investor Loss of Confidence, and High Speed Trading in U.S. Stock Markets, June 17, 2014.
  • Testimony of Robert Battalio before the U.S. Securities and Exchange Commission Equity Market Structure Advisory Committee, October 27, 2015.
  • Regulatory and Legislative citations: Testimony of Erik R. Sirri before the House Subcommittee on Capital Markets and Government Sponsored Enterprises (February 28, 2014), Speech by SEC Commissioner Stein (February 6, 2014), Speech by SEC Commissioner Aguilar (April 2, 2014), Opening Statement by Senator Carl Levin at the Senate Permanent Subcommittee on Investigations Hearing on Conflicts of Interest, Investor Loss of Confidence, and High Speed Trading in U.S. Stock Markets (June 17, 2014), Consumer Federation of America comment letter to the SEC (September 9, 2014), Connor, Clark, Lunn Investment Management comment letter to the Ontario Securities Commission (September 11, 2014), KOR Group comment letter to the Ontario Securities Commission (December 12, 2014).
  • Median mentions: Wall Street Journal (Dec. 17, 2013, April 14, 2014, June 17, 2014, July 8, 2014), Reuters (May 6, 2014, June 17, 2014, July 8, 2014), Bloomberg (January 2, 2014, January 3, 2014), BloombergView (June 17, 2014, July 11, 2014), TABB Forum (December 17, 2013, June 20, 2014), Traders Magazine (June 17, 2014), Themis Trading (December 12, 2013), J.P. Morgan Market Structure Update (January 14, 2014), Markets Media (June 17, 2014), Wall Street on Parade (June 18, 2014), RIABiz (August 12, 2014).
  • Targeted Examination Letters related to FINRA sweep of broker order routing.

• “A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices,” with Paul Schultz , Journal of Finance, 2012, Vol. 67(2), 719-759.
  • Internet Appendix for the Journal of Finance
  • Application 1 – Historical CRSP and Datastream Data
  • Application 2 – Additional Datastream Examples
  • Application 3 – Stock Split Event Study
  • Application 4 – Intraday Data
  • Excel Example
  • Sample SAS program for estimating the high-low spread (and program description).
  • Monthly High-Low Spread Estimates 1926-2018 (and data description).
  • A Note on Dealing with Negative Daily Values in the High-Low Spread Estimator.
• “When a Halt is Not a Halt: An Analysis of Off-NYSE Trading During NYSE Market Closures,” with Bidisha Chakrabarty and Marios Payanides, Journal of Financial Intermediation, 2011, Vol. 20(3), 361-386.
• “Order Characteristics and the Sources of Commonality in Prices and Liquidity,” with Marc L. Lipson, Journal of Financial Markets, 2011, Vol. 14(1), 47-81.
• “Limited Attention and the Allocation of Effort in Securities Trading,” with Jay Coughenour, Journal of Finance, 2008, Vol. 63(6), 3031-3067.
• “The Role of IPO Underwriting Syndicates: Pricing, Information Production, and Underwriter Competition,” with Paul Schultz, Journal of Finance, 2005, Vol. 60(1), 443-486. Nominated for the 2005 Smith Breeden Prize for the best paper in the Journal of Finance.
  • Appendix A – SDC Syndicate Data Corrections
  • Appendix B – Underwriter Mergers and Acquisitions
  • Underwriter Rankings based on shares underwritten (pdf) – includes a comparison to Carter-Manaster and Megginson-Weiss rankings.
• “The Development of Secondary Market Liquidity for NYSE-Listed IPOs,” with Jeffrey H. Harris and Marc L. Lipson, Journal of Finance, 2004, Vol. 59(5), 2339-2373.
• “Specialist Performance and New Listing Allocations on the NYSE: An Empirical Analysis,” Journal of Financial Markets, 2004, Vol. 7(1), 27-51.
• “The Determinants of Underpricing for Seasoned Equity Offers,” Journal of Finance, 2003, Vol. 58(5), 2249-2279.
• “Nasdaq Trading Halts: The Impact of Market Mechamisms on Prices, Trading Activity, and Execution Costs,” with William G. Christie and Jeffrey H. Harris, Journal of Finance, 2002, Vol. 57(3), 1443-1478.
• “The Initial Listing Decisions of Firms that Go Public,” with Jeffrey H. Harris, Financial Management, 2001, Vol. 30(1), 35-55.
• “Order Flow and Liquidity Around NYSE Trading Halts,” with Marc L. Lipson, Journal of Finance, 2000, Vol. 55(4), 1771-1801.
• “Differences in Trading Behavior across NYSE Specialist Firms,” Journal of Finance, 1999, Vol. 54(2), 721-745.