Mark S. Seasholes

Hong Kong University of Science & Technology (HKUST)

Associate Professor

Clear Water Bay, Kowloon

Hong Kong

http://www.seasholes.com

SCHOLARLY PAPERS

21

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CITATIONS
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599

Scholarly Papers (21)

1.

Market Maker Inventories and Liquidity

AFA 2008 New Orleans Meetings Paper
Number of pages: 38 Posted: 09 Nov 2006
Terrence Hendershott, Pamela C. Moulton and Mark S. Seasholes
University of California, Berkeley - Haas School of Business, Cornell University and Hong Kong University of Science & Technology (HKUST)
Downloads 2,373 (3,726)
Citation 23

Abstract:

inventory, market makers, capital constraints

2.

The Assumptions and Math Behind Wacc and Apv Calculations

Number of pages: 19 Posted: 05 Nov 2005 Last Revised: 24 Nov 2008
Richard Stanton and Mark S. Seasholes
University of California, Berkeley - Finance Group and Hong Kong University of Science & Technology (HKUST)
Downloads 2,242 (3,747)
Citation 4

Abstract:

WACC, APV, Cost of Capital

3.

Market Maker Inventories and Stock Prices

Number of pages: 46 Posted: 15 Mar 2006
Terrence Hendershott and Mark S. Seasholes
University of California, Berkeley - Haas School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 1,828 (5,768)
Citation 31

Abstract:

Market Maker, Inventory, Liquidity Provision

4.

Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues

Journal of Finance, Forthcoming
Number of pages: 59 Posted: 31 Dec 2008
University of Melbourne - Department of Finance, University of California, Berkeley - Haas School of Business, Columbia Business School - Finance and Economics, Cornell University and Hong Kong University of Science & Technology (HKUST)
Downloads 1,528 (8,150)
Citation 31

Abstract:

Liquidity, Market-Makers

5.

Predictable Behavior, Profits, and Attention

AFA 2006 Boston Meetings Paper
Number of pages: 41 Posted: 22 Mar 2005
Mark S. Seasholes and Guojun Wu
Hong Kong University of Science & Technology (HKUST) and University of Houston
Downloads 1,229 (11,387)
Citation 16

Abstract:

Attention, statistical arbitrage, behavioral finance

6.
Downloads 933 ( 18,235)
Citation 4

Market Predictability and Non-Informational Trading

Number of pages: 37 Posted: 21 Nov 2008 Last Revised: 27 Apr 2009
Terrence Hendershott and Mark S. Seasholes
University of California, Berkeley - Haas School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 828 (21,342)
Citation 4

Abstract:

Return Predictability, Liquidity, Comovement

Market Predictability and Non-Informational Trading

Number of pages: 37 Posted: 14 Mar 2009
Terrence Hendershott and Mark S. Seasholes
University of California, Berkeley - Haas School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 105 (207,858)
Citation 4

Abstract:

Return Predictability, Liquidity, Comovement

7.

When Good News Means Higher Risk. . .

Number of pages: 50 Posted: 03 Oct 2004
Jacob S. Sagi and Mark S. Seasholes
University of North Carolina Kenan-Flagler Business School and Hong Kong University of Science & Technology (HKUST)
Downloads 852 (20,646)

Abstract:

Expected Returns, asset pricing, real options, momentum

8.

Do Investor Sophistication and Trading Experience Eliminate Behavioral Biases in Financial Markets?

Number of pages: 55 Posted: 25 Sep 2005
Mark S. Seasholes and Lei Feng
Hong Kong University of Science & Technology (HKUST) and Harvard Business School
Downloads 824 (19,533)
Citation 73

Abstract:

Experience, behavioral biases, disposition effect

9.

Individual Investors and Local Bias

Journal of Finance, Forthcoming
Number of pages: 66 Posted: 12 Oct 2005 Last Revised: 15 Dec 2009
Mark S. Seasholes and Ning Zhu
Hong Kong University of Science & Technology (HKUST) and China Academy of Financial Research (CAFR)
Downloads 427 (48,172)
Citation 110

Abstract:

Information Aggregation, Individual Investors, Home Bias

Information Precision, Noise, and the Cross-Section of Stock Returns

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 42 Posted: 28 Jul 2008
University of Grenoble 2 - ESA - CERAG, French National Center for Scientific Research (CNRS) - Centre de Recherches Appliquées à la Gestion (CERAG), Hong Kong University of Science & Technology (HKUST) and Eurofidai (CNRS and University of Grenoble 2)
Downloads 274 (87,442)
Citation 1

Abstract:

Risk Premia, Cross-Sectional Asset Pricing, REE Models

Information Precision, Noise, and the Cross-Section of Stock Returns

Number of pages: 42 Posted: 26 Mar 2009
University of Grenoble 2 - ESA - CERAG, Eurofidai (CNRS and University of Grenoble 2), Grenoble Institute of Technology and CERAG and Hong Kong University of Science & Technology (HKUST)
Downloads 87 (236,247)
Citation 1

Abstract:

Risk Premia, Cross-Sectional Asset Pricing, REE Models

11.

Uninformed Trading and Asset Prices

Number of pages: 46 Posted: 26 Apr 2005 Last Revised: 03 Jan 2009
Sandro C. Andrade, Charles Chang and Mark S. Seasholes
University of Miami - Department of Finance, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Hong Kong University of Science & Technology (HKUST)
Downloads 361 (63,711)
Citation 1

Abstract:

Asset pricing, return predictability, limits of arbitrage

12.

Correlated Trading and Location

13th Annual Utah Winter Finance Conference; 5th Annual Texas Finance Festival
Number of pages: 45 Posted: 31 Jul 2003
Lei Feng and Mark S. Seasholes
Harvard Business School and Hong Kong University of Science & Technology (HKUST)
Downloads 341 (64,136)
Citation 57

Abstract:

Individual Investors, Behavioral Finance, Herding

13.

Asset Price Dynamics with Limited Attention

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 56 Posted: 01 Aug 2010 Last Revised: 10 Jan 2014
University of California, Berkeley - Haas School of Business, VU University Amsterdam, VU University Amsterdam and Hong Kong University of Science & Technology (HKUST)
Downloads 319 (64,555)
Citation 7

Abstract:

Transitory Volatility, Limited Attention, Individuals, Institutions, Market Makers

14.

Dual-Listed Shares and Trading

Posted: 15 Mar 2012
Clark Liu and Mark S. Seasholes
Tsinghua University - PBC School of Finance and Hong Kong University of Science & Technology (HKUST)

Abstract:

Dual-Listed Shares, Trading Imbalances, Cost of a Short-Sale Ban

15.

Trading Imbalances and the Relative Prices of Stock Pairs

Number of pages: 26 Posted: 18 Mar 2011
Mark S. Seasholes and Clark Liu
Hong Kong University of Science & Technology (HKUST) and Tsinghua University - PBC School of Finance
Downloads 262 (88,685)

Abstract:

Liquidity, Dual-Class Stocks

16.

Information and Cross-Border Equity Holdings

AFA 2009 San Francisco Meetings Paper
Number of pages: 47 Posted: 21 Mar 2008 Last Revised: 25 Nov 2008
Hong Kong University of Science & Technology (HKUST), California State University, Northridge - Department of Finance, Financial Planning and Insurance, French National Center for Scientific Research (CNRS) - Centre de Recherches Appliquées à la Gestion (CERAG) and Eurofidai (CNRS and University of Grenoble 2)
Downloads 253 (92,645)
Citation 1

Abstract:

Information Asymmetry, REE Models, Home Bias

17.

Trading Imbalances, Liquidity, and the Law of One Price

Number of pages: 29 Posted: 19 Mar 2010
Mark S. Seasholes and Clark Liu
Hong Kong University of Science & Technology (HKUST) and Tsinghua University - PBC School of Finance
Downloads 94 (212,427)
Citation 1

Abstract:

Law of One Price, Cross-Listings, Order Imbalances

18.

Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues

Journal of Finance, Vol. 65, No. 1, pp. 295-331, 2010
Number of pages: 59 Posted: 26 Oct 2011 Last Revised: 03 Dec 2012
University of Melbourne - Department of Finance, University of California, Berkeley - Haas School of Business, Columbia Business School - Finance and Economics, Cornell University and Hong Kong University of Science & Technology (HKUST)
Downloads 67 (250,657)
Citation 30

Abstract:

19.

The Portfolio Flows of International Investors, I

NBER Working Paper No. w6687
Number of pages: 38 Posted: 12 Jun 2000
Kenneth Froot, Paul G.J. O'Connell and Mark S. Seasholes
National Bureau of Economic Research (NBER), FDO Partners, LLC and Hong Kong University of Science & Technology (HKUST)
Downloads 53 (294,161)
Citation 210

Abstract:

20.

Information Production, Volume, and Return Dynamics

Number of pages: 48 Posted: 02 Dec 2015 Last Revised: 11 Jan 2016
Clark Liu, Lei Mao and Mark S. Seasholes
Tsinghua University - PBC School of Finance, University of Warwick - Finance Group and Hong Kong University of Science & Technology (HKUST)
Downloads 0 (299,250)

Abstract:

information content of volume, high volume return premium, cross-sectional returns

21.

Investing in What You Know: The Case of Individual Investors and Local Stocks

Journal Of Investment Management (JOIM), First Quarter 2013
Posted: 20 May 2013
Mark S. Seasholes and Ning Zhu
Hong Kong University of Science & Technology (HKUST) and Independent

Abstract:

Individual investors, investing locally, household finance