Papers
Does Floor Trading Matter?
(with Jonathan Brogaard and Matthew C. Ringgenberg)
Journal of Finance, forthcoming
Non-Standard Errors
(with Albert J. Menkveld, et few hundreds al)
Journal of Finance, forthcoming
How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective
(with Dion Bongaerts, Richard Roll, Mathijs A. Van Dijk, and Darya Yuferova)
Management Science, 2022, 68 (4), 3071-3089
Investor short-termism and real investment
(with Avanidhar Subrahmanyam and Mathijs A. Van Dijk)
Journal of Financial Markets, 2022, 59 (B), 100645
The impact of arbitrage on market liquidity
(solo authored)
Journal of Financial Economics, 2021, 142 (1), 195-213
Asset Pricing: A Tale of Night and Day
(with Terrence Hendershott and Dmitry Livdan)
Journal of Financial Economics, 2020, 138 (3): 635-662
Tick Size, Liquidity for Small and Large Orders, and Price Informativeness: Evidence from the Tick Size
Pilot Program
(with Kee Chung and Albert Lee)
Journal of Financial Economics, 2020, 136 (3): 879-899
The Dynamics of Market Efficiency
(with Avanidhar Subrahmanyam and Mathijs A. Van Dijk)
Review of Financial Studies, 2017; 30 (4): 1151-1187
