Jeffrey H. Harris

American University - Department of Finance and Real Estate

Gary Cohn Goldman Sachs Chair

Kogod School of Business

4400 Massachusetts Ave., N.W.

Washington, DC 20016-8044

United States

SCHOLARLY PAPERS

36

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Scholarly Papers (36)

1.
Downloads 5,764 ( 1,817)

Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,764 (1,893)

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non-standard errors, multi-analyst approach, liquidity

2.

Who Drove and Burst the Tech Bubble?

Journal of Finance, Forthcoming
Number of pages: 145 Posted: 24 Oct 2003 Last Revised: 17 Nov 2010
John M. Griffin, Jeffrey H. Harris, Tao Shu and Selim Topaloglu
University of Texas at Austin - Department of Finance, American University - Department of Finance and Real Estate, The Chinese University of Hong Kong, Shenzhen and Queen's University - Smith School of Business
Downloads 3,004 (5,879)
Citation 23

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Stock Market Bubbles, Institutional Trading, Individual Trading

3.

The Role of Speculators in the Crude Oil Futures Market

Number of pages: 40 Posted: 16 Jul 2009
Jeffrey H. Harris and Bahattin Buyuksahin
American University - Department of Finance and Real Estate and CoMeX Consulting and Advising
Downloads 2,029 (11,044)
Citation 5

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Crude Oil, Futures Markets, Speculators, Granger Causality, Hedge Funds, Commodity Index Traders

4.

Fundamentals, Trader Activity and Derivative Pricing

EFA 2009 Bergen Meetings Paper
Number of pages: 56 Posted: 02 Mar 2007 Last Revised: 13 Feb 2009
CoMeX Consulting and Advising, Standard Chartered Bank, American University - Department of Finance and Real Estate, affiliation not provided to SSRN and University of Illinois at Urbana-Champaign
Downloads 1,832 (12,983)
Citation 37

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Crude Oil Futures, Maturity, Segmentation, Cointegration, Trading Activity, Fundamentals

5.

On the Informational Properties of Trading Networks

Trading Networks, 2017, Econometrics Journal 20(3), S126-S149
Number of pages: 29 Posted: 17 Mar 2009 Last Revised: 06 Aug 2019
University of Michigan at Ann ArborXerox Corp. - Palo Alto Research Center, Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and University of Cambridge - Finance
Downloads 1,492 (17,837)
Citation 28

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trading networks, financial networks, limit order book, limit order markets

6.

Off But Not Gone: A Study of Nasdaq Delistings

Fisher College of Business Working Paper No. 2008-03-005 and Dice Center Working Paper No. 2008-6
Number of pages: 55 Posted: 08 Dec 2004 Last Revised: 13 Apr 2008
Jeffrey H. Harris, Venkatesh Panchapagesan and Ingrid M. Werner
American University - Department of Finance and Real Estate, The Goldman Sachs Group, Inc. and The Ohio State University - Fisher College of Business
Downloads 1,110 (27,692)
Citation 29

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delisting, market quality, Nasdaq

7.

Speculators, Prices and Market Volatility

Number of pages: 34 Posted: 10 Jan 2011
Celso Brunetti, Bahattin Buyuksahin and Jeffrey H. Harris
Board of Governors of the Federal Reserve System, CoMeX Consulting and Advising and American University - Department of Finance and Real Estate
Downloads 853 (40,164)
Citation 56

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Speculation, hedge funds, swap dealers, realized volatility, price

8.
Downloads 850 ( 40,337)
Citation 60

The Dynamics of Institutional and Individual Trading

Number of pages: 55 Posted: 11 Jul 2002
John M. Griffin, Selim Topaloglu and Jeffrey H. Harris
University of Texas at Austin - Department of Finance, Queen's University - Smith School of Business and American University - Department of Finance and Real Estate
Downloads 850 (39,775)
Citation 60

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The Dynamics of Institutional and Individual Trading

Journal of Finance, Forthcoming
Posted: 02 Jan 2004
John M. Griffin, Jeffrey H. Harris and Selim Topaloglu
University of Texas at Austin - Department of Finance, American University - Department of Finance and Real Estate and Queen's University - Smith School of Business

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9.

The Prevalence, Sources, and Effects of Herding

Forthcoming, Journal of Futures Markets
Number of pages: 48 Posted: 15 Mar 2009 Last Revised: 28 Aug 2015
West Virginia University, CoMeX Consulting and Advising, Standard Chartered Bank and American University - Department of Finance and Real Estate
Downloads 685 (53,855)
Citation 7

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Herding, Hedge Funds, Futures Markets

10.

The Initial Listing Decisions of Firms that Go Public

Number of pages: 33 Posted: 27 Aug 1998
Shane A. Corwin and Jeffrey H. Harris
University of Notre Dame - Mendoza College of Business and American University - Department of Finance and Real Estate
Downloads 616 (61,653)
Citation 3

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11.

Effects of Central Bank Intervention on the Interbank Market during the Sub-Prime Crisis

Number of pages: 36 Posted: 02 Jul 2009
Celso Brunetti, Mario di Filippo and Jeffrey H. Harris
Board of Governors of the Federal Reserve System, World Bank Group and American University - Department of Finance and Real Estate
Downloads 511 (77,964)
Citation 28

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Central Bank, Interbank Market, Interventions, Volatility

12.

Opinion Divergence and Post-Earnings Announcement Drift

Number of pages: 47 Posted: 13 Mar 2007
Kirsten L. Anderson, Jeffrey H. Harris and Eric C. So
Georgetown University - Department of Accounting and Business Law, American University - Department of Finance and Real Estate and Nasdaq, Inc. - Economic Research
Downloads 449 (91,000)

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Opinion Divergence, Post-earnings announcement drift, Risk, Volume, Volatility

13.

CoMargin

Number of pages: 66 Posted: 14 Oct 2011 Last Revised: 21 Dec 2015
University of Western Ontario, University of Orleans, American University - Department of Finance and Real Estate and HEC Paris - Finance Department
Downloads 406 (102,232)
Citation 2

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Collateral, Counterparty Risk, Derivatives Markets, Extreme Dependence

14.

NASDAQ Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs

Number of pages: 46 Posted: 20 Apr 2000
William G. Christie, Shane A. Corwin and Jeffrey H. Harris
Vanderbilt University - Finance, University of Notre Dame - Mendoza College of Business and American University - Department of Finance and Real Estate
Downloads 380 (110,330)
Citation 4

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15.

The Development of Secondary Market Liquidity for Nyse-Listed Ipos

Number of pages: 45 Posted: 23 Feb 2002
Shane A. Corwin, Jeffrey H. Harris and Marc L. Lipson
University of Notre Dame - Mendoza College of Business, American University - Department of Finance and Real Estate and University of Virginia - Darden School of Business
Downloads 333 (127,667)
Citation 7

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IPO, secondary market, liquidity, limit orders, stabilization

16.

The Sound of Silence

Number of pages: 39 Posted: 26 Mar 2005
Jeffrey H. Harris and Mohsen Saad
American University - Department of Finance and Real Estate and American University of Sharjah
Downloads 317 (134,345)

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Nasdaq, Information, Predictability

17.

The Behavior of Bid-Ask Spreads and Volume in Options Markets During the Competition for Listings in 1999

AFA 2003 Washington, DC Meetings
Number of pages: 38 Posted: 27 Dec 2002
Federal Reserve Bank of Boston - Supervision and Regulation, University of Richmond - E. Claiborne Robins School of Business and American University - Department of Finance and Real Estate
Downloads 277 (154,552)
Citation 30

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Multiple Listing, Option Bid-Ask Spreads, Fragmented Markets

18.

Why are IPO Investors Net Buyers Through Lead Underwriters?

AFA 2005 Philadelphia Meetings Paper, EFA 2005 Moscow Meetings Paper
Number of pages: 60 Posted: 07 Jan 2005
John M. Griffin, Jeffrey H. Harris and Selim Topaloglu
University of Texas at Austin - Department of Finance, American University - Department of Finance and Real Estate and Queen's University - Smith School of Business
Downloads 271 (158,067)
Citation 10

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19.

Error Trades in Futures Markets

Number of pages: 45 Posted: 15 Feb 2009 Last Revised: 27 May 2009
Bahattin Buyuksahin, Michael S. Haigh and Jeffrey H. Harris
CoMeX Consulting and Advising, Standard Chartered Bank and American University - Department of Finance and Real Estate
Downloads 265 (161,624)
Citation 2

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Error Trades, Futures Markets, Market Microstructure

20.

Do Institutional Traders Predict Bull and Bear Markets?

Number of pages: 41 Posted: 19 Sep 2011
Bahattin Buyuksahin, Celso Brunetti and Jeffrey H. Harris
CoMeX Consulting and Advising, Board of Governors of the Federal Reserve System and American University - Department of Finance and Real Estate
Downloads 242 (176,589)
Citation 1

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Markov regime-switching, hedge fund, swap dealer, institutional positions

21.
Downloads 213 (199,335)
Citation 8

Interconnectedness in the Interbank Market

FEDS Working Paper No. 2015-90
Posted: 09 Jul 2021 Last Revised: 30 Jun 2021
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate, affiliation not provided to SSRN and affiliation not provided to SSRN

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Interconnectedness, correlation network, financial crisis, interbank markets, physical network

Interconnectedness in the Interbank Market

FEDS Working Paper No. 2015-090
Number of pages: 49 Posted: 17 Oct 2015
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate, North Carolina State University - Department of Business Management and University of Michigan at Ann Arbor
Downloads 213 (199,104)
Citation 10

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Interconnectedness, correlation network, financial crisis, interbank market, physical network

22.

Loan Syndication Networks

Number of pages: 72 Posted: 23 Dec 2018 Last Revised: 29 Jul 2022
Jeffrey H. Harris, Ioannis Spyridopoulos and Morad Zekhnini
American University - Department of Finance and Real Estate, American University, Kogod School of Business and Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management
Downloads 192 (219,146)

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Bank networks, Underwriter syndicates, Loan terms, information asymmetry

Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry

Number of pages: 40 Posted: 11 May 2020 Last Revised: 02 Mar 2021
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and North Carolina State University - Department of Business Management
Downloads 95 (376,977)

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banking networks, interconnectedness, liquidity

Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry

FEDS Working Paper No. 2021-17
Number of pages: 42 Posted: 14 Jun 2021 Last Revised: 30 Jun 2021
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and North Carolina State University - Department of Business Management
Downloads 13 (788,078)

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24.

Bank Holdings and Systemic Risk

FEDS Working Paper No. 2018-63
Number of pages: 52 Posted: 17 Sep 2018 Last Revised: 21 Feb 2019
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and North Carolina State University - Department of Business Management
Downloads 77 (424,136)

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25.

Clearing House, Margin Requirements, and Systemic Risk

Review of Futures Markets, Vol. 19 (2011)
Number of pages: 17 Posted: 21 Apr 2018
Jorge Cruz Lopez, Jeffrey H. Harris and Christophe Pérignon
University of Western Ontario, American University - Department of Finance and Real Estate and HEC Paris - Finance Department
Downloads 65 (463,972)
Citation 2

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derivatives, tail risk, default risk, extreme dependence, copulas

26.

Sidedness in the Interbank Market

Journal of Financial Markets, Vol. 59, 100663, 2022
Number of pages: 30 Posted: 12 May 2020 Last Revised: 06 Jun 2022
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and North Carolina State University - Department of Business Management
Downloads 34 (610,641)
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Sidedness, Liquidity, Credit Default Swaps

27.

The Urgency to Borrow in the Interbank Market

Number of pages: 15 Posted: 13 Jun 2022
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and North Carolina State University - Department of Business Management
Downloads 10 (788,624)

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Trading Urgency, Credit Default Swaps, ECB Operations, Liquidity

28.

An Update on Speculation and Financialization in Commodity Markets

Journal of Commodity Markets 10, 91-104 (2018)
Posted: 15 Mar 2021
Naomi E. Boyd, Jeffrey H. Harris and Bingxin Li
West Virginia University, American University - Department of Finance and Real Estate and West Virginia University

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29.

The Role of Speculators During Times of Financial Distress

Journal of Alternative Investments, Vol. 14, No. 1, 2011, https://doi.org/10.3905/jai.2011.14.1.010
Posted: 22 May 2019
Naomi E. Boyd, Jeffrey H. Harris and Arkadiusz Nowak
West Virginia University, American University - Department of Finance and Real Estate and Cornerstone Research

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Hedge Funds, Speculators, Futures Markets

30.

Informed Trading and Market Structure

European Financial Management, Vol. 21, Issue 1, pp. 148-177, 2015
Number of pages: 30 Posted: 29 Jan 2015
Charlie X. Cai, Jeffrey H. Harris, Robert Hudson and Kevin Keasey
University of Bradford - School of Management, American University - Department of Finance and Real Estate, University of Newcastle and University of Leeds - Division of Accounting and Finance
Downloads 0 (905,910)
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market structure, informed trading, trading systems, London stock exchange

31.

Do Speculators Drive Crude Oil Futures Prices?

The Energy Journal, Vol. 32, No. 2, pp. 167-202, 2011
Posted: 20 Dec 2010
Bahattin Buyuksahin and Jeffrey H. Harris
CoMeX Consulting and Advising and American University - Department of Finance and Real Estate

Abstract:

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32.

How New Entry in Options Markets Affected Market Making and Trading Costs

Journal of Investment Management, Vol. 3, No. 2, Second Quarter 2005
Posted: 29 Apr 2005
Federal Reserve Bank of Boston - Supervision and Regulation, University of Richmond - E. Claiborne Robins School of Business and American University - Department of Finance and Real Estate

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Bid-ask spreads, option markets, multiple

33.

NASDAQ Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs

Journal of Finance, Vol. 57, pp. 1443-1478, 2002
Posted: 29 Nov 2003
William G. Christie, Shane A. Corwin and Jeffrey H. Harris
Vanderbilt University - Finance, University of Notre Dame - Mendoza College of Business and American University - Department of Finance and Real Estate

Abstract:

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34.

Why Did NASDAQ Market Makers Stop Avoiding Odd-Eighth Quotes?

Posted: 02 May 2000
William G. Christie, Jeffrey H. Harris and Paul H. Schultz
Vanderbilt University - Finance, American University - Department of Finance and Real Estate and University of Notre Dame - Department of Finance

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35.

The Trading Profits of Soes Bandits

Journal of Financial Economics, Vol. 50, No. 2, Oct. 1998
Posted: 30 Oct 1998
Jeffrey H. Harris and Paul H. Schultz
American University - Department of Finance and Real Estate and University of Notre Dame - Department of Finance

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36.

The Costs of Trading NASDAQ Issues: The Impact of Limit Orders and Ecn Quotes

Posted: 10 Feb 1998
University of Rochester - Simon School (Deceased), Vanderbilt University - Finance, American University - Department of Finance and Real Estate, Hebrew University of Jerusalem - Department of Economics and University of Notre Dame - Department of Finance

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