Maureen O'Hara

Cornell University - Samuel Curtis Johnson Graduate School of Management

Robert W. Purcell Professor of Management

Ithaca, NY 14853

United States

  • Cornell University - Samuel Curtis Johnson Graduate School of Management

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SCHOLARLY PAPERS

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497

Scholarly Papers (69)

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1.

The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading

The Journal of Portfolio Management, Vol. 37, No. 2, pp. 118-128, Winter 2011
Number of pages: 15 Posted: 21 May 2019 Last Revised: 30 May 2019
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 18,821 (288)
Citation 48

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Flash crash, liquidity, flow toxicity, market microstructure, VPIN

2.

Flow Toxicity and Liquidity in a High Frequency World

Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Number of pages: 71 Posted: 23 Oct 2010 Last Revised: 15 Apr 2012
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,198 (344)
Citation 31

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Flash crash, liquidity, flow toxicity, volume imbalance, market microstructure, probability of informed trading, VPIN

3.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 21 May 2019 Last Revised: 30 May 2019
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 16,059 (395)
Citation 21

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high frequency trading, volume clock, low frequency trading, market microstructure

4.

The Corporate Governance of Banks

Economic Policy Review, Vol. 9, No. 1, April 2003
Number of pages: 17 Posted: 07 Sep 2005
Jonathan R. Macey and Maureen O'Hara
Yale Law School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 11,974 (675)
Citation 13

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corporate governance, commercial banks, fiduciary duties

5.

Discerning Information from Trade Data

Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
Number of pages: 56 Posted: 23 Jan 2012 Last Revised: 16 May 2016
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 7,789 (1,427)
Citation 32

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Trade Classification, Bulk Volume Classification, flow toxicity, volume imbalance, market microstructure

6.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011; https://doi.org/10.3905/jot.2011.6.2.008. , Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 17 Jul 2019
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,975 (1,727)
Citation 14

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Liquidity Provision, Flow Toxicity, Market Microstructure, VPIN

7.

Optimal Execution Horizon

Mathematical Finance, 25(3), pp. 640-672. July 2015.
Number of pages: 43 Posted: 12 Apr 2012 Last Revised: 06 Jun 2015
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,254 (3,991)
Citation 8

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liquidity, flow toxicity, broker, VWAP, market microstructure, adverse selection, probability of informed trading, VPIN, OEH

8.

Microstructure in the Machine Age

Number of pages: 63 Posted: 25 Mar 2019
David Easley, Marcos Lopez de Prado, Maureen O'Hara and Zhibai Zhang
Cornell University - Department of Economics, Harvard University, Cornell University - Samuel Curtis Johnson Graduate School of Management and New York University (NYU) - NYU Tandon School of Engineering
Downloads 3,716 (5,016)
Citation 16

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Market Microstructure, Machine Learning, Features Importance, MDI, MDA, Futures

9.

Can ETFs Increase Market Fragility? Effect of Information Linkages in ETF Markets

Number of pages: 55 Posted: 04 Mar 2016 Last Revised: 27 Apr 2018
Ayan Bhattacharya and Maureen O'Hara
Baruch College, The City University of New York and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,379 (5,901)
Citation 52

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ETF, Market stability, Learning, Market fragility, Herding, Market microstructure

10.

VPIN and the Flash Crash: A Comment

Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
Number of pages: 8 Posted: 18 May 2012 Last Revised: 29 Sep 2013
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,313 (6,105)
Citation 5

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Flash crash, liquidity, flow toxicity, market microstructure, probability of informed trading, VPIN

11.

Information and the Cost of Capital

Number of pages: 44 Posted: 17 Feb 2002
Maureen O'Hara and David Easley
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Department of Economics
Downloads 3,310 (6,115)
Citation 401

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12.

Is Information Risk a Determinant of Asset Returns?

EFA 0101
Number of pages: 51 Posted: 07 Dec 2000
David Easley, Soeren Hvidkjaer and Maureen O'Hara
Cornell University - Department of Economics, Copenhagen Business School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,521 (9,356)
Citation 149

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13.

The Active World of Passive Investing

Review of Finance (forthcoming)
Number of pages: 57 Posted: 27 Jul 2018 Last Revised: 15 Jul 2021
David Easley, David Michayluk, Maureen O'Hara and Tālis J. Putniņš
Cornell University - Department of Economics, University of Technology Sydney (UTS) - School of Finance and Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Technology Sydney (UTS)
Downloads 2,457 (9,743)
Citation 5

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exchange-traded fund, ETF, Activeness Index, passive investing, index investing

14.

Factoring Information into Returns

EFA 2004 Maastricht Meetings Paper No. 4118
Number of pages: 27 Posted: 23 Jun 2004
David Easley, Soeren Hvidkjaer and Maureen O'Hara
Cornell University - Department of Economics, Copenhagen Business School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,367 (10,350)
Citation 60

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15.

From Mining to Markets: The Evolution of Bitcoin Transaction Fees

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 56 Posted: 19 Oct 2017 Last Revised: 01 Mar 2019
David Easley, Maureen O'Hara and Soumya Basu
Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Department of Computer Science
Downloads 2,039 (13,170)
Citation 70

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Bitcoin, transaction fees, mining revenue, game theory

16.

What’s Not There: The Odd-Lot Bias in TAQ Data

Downloads 2,022 (13,346)
Citation 7

What’s Not There: The Odd-Lot Bias in TAQ Data

Johnson School Research Paper Series No. 31-2011, Midwest Finance Association 2012 Annual Meetings Paper, WBS Finance Group Research Paper No. 167
Number of pages: 47 Posted: 23 Jul 2011 Last Revised: 26 Dec 2019
Maureen O'Hara, Chen Yao and Mao Ye
Cornell University - Samuel Curtis Johnson Graduate School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Cornell University
Downloads 1,373 (23,838)
Citation 6

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TAQ data, Odd-lots, Price Discovery, Transparency, Order Imbalance, Retail Trading

What’s Not There: The Odd-Lot Bias in TAQ Data

Johnson School Research Paper Series No. 16-2012, AFA 2013 San Diego Meetings Paper, WBS Finance Group Research Paper No. 176
Number of pages: 57 Posted: 17 Mar 2012 Last Revised: 26 Dec 2019
Maureen O'Hara, Chen Yao and Mao Ye
Cornell University - Samuel Curtis Johnson Graduate School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Cornell University
Downloads 649 (67,760)
Citation 14

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17.

Competition in Investment Banking

Number of pages: 34 Posted: 26 Mar 2005
Katrina Ellis, Roni Michaely and Maureen O'Hara
Government of the Commonwealth of Australia - Australian Prudential Regulation Authority (APRA), The University of Hong Kong and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,810 (15,872)
Citation 7

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Investment banking, equity offerings, underwriting, analyst recommendations, market making

18.

Down and Out in the Stock Market: The Law and Finance of the Delisting Process

Number of pages: 51 Posted: 31 Aug 2004
Jonathan R. Macey, Maureen O'Hara and David Pompilio
Yale Law School, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,799 (16,029)
Citation 50

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19.

Time-Varying Arrival Rates of Informed and Uninformed Trades

Downloads 1,762 (16,552)

Time-Varying Arrival Rates of Informed and Uninformed Trades

AFA 2002 Atlanta Meetings
Number of pages: 38 Posted: 21 Dec 2001
David Easley, Liuren Wu, Robert F. Engle and Maureen O'Hara
Cornell University - Department of Economics, City University of New York, CUNY Baruch College - Zicklin School of Business, New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,762 (16,275)
Citation 51

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Time-Varying Arrival Rates of Informed and Uninformed Trades

Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 171-207, 2008
Posted: 10 Jul 2008
David Easley, Robert F. Engle, Maureen O'Hara and Liuren Wu
Cornell University - Department of Economics, New York University (NYU) - Department of Finance, Cornell University - Samuel Curtis Johnson Graduate School of Management and City University of New York, CUNY Baruch College - Zicklin School of Business

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C51, C53, G10, G12, G14, Arrival rates, informed trades, uninformed trades, autoregressive process, market depth, liquidity

20.

Bitcoin and Beyond

Downloads 1,732 (17,037)

Bitcoin and Beyond

Annual Review of Financial Economics, Vol. 14, pp. 95-115, 2022
Posted: 10 Nov 2022
Kose John, Maureen O'Hara and Fahad Saleh
New York University (NYU) - Department of Finance, Cornell University - Samuel Curtis Johnson Graduate School of Management and Wake Forest University - Schools of Business

Abstract:

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Bitcoin and Beyond

Annual Review of Financial Economics, Volume 14, 2022, Pages 95 - 115
Number of pages: 26 Posted: 02 Nov 2021 Last Revised: 21 Feb 2023
Kose John, Maureen O'Hara and Fahad Saleh
New York University (NYU) - Department of Finance, Cornell University - Samuel Curtis Johnson Graduate School of Management and Wake Forest University - Schools of Business
Downloads 1,732 (16,746)
Citation 11

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blockchain, bitcoin, fees, proof-of-work, proof-of-stake

21.

Anatomy of a Liquidity Crisis: Corporate Bonds in the COVID-19 Crisis

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 62 Posted: 31 May 2020 Last Revised: 30 Sep 2020
Maureen O'Hara and Xing (Alex) Zhou
Cornell University - Samuel Curtis Johnson Graduate School of Management and Southern Methodist University (SMU) - Finance Department
Downloads 1,718 (17,255)
Citation 25

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Corporate bonds, liquidity crisis, COVID-19, PDCF, SMCCF, electronic trading, customer-to-customer, market maker of last resort.

22.

Information Risk and Capital Structure

Number of pages: 54 Posted: 25 Oct 2006 Last Revised: 13 Nov 2007
Prasun Agarwal and Maureen O'Hara
Cornell University - Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,452 (22,315)
Citation 10

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Capital Structure, Information Asymmetry, Market Microstructure, Information Risk

23.

The Volcker Rule and Market-Making in Times of Stress

Downloads 1,386 (23,898)
Citation 150

The Volcker Rule and Market-Making in Times of Stress

Journal of Financial Economics (JFE), Forthcoming, Fourth Annual Conference on Financial Market Regulation
Number of pages: 50 Posted: 11 Sep 2016 Last Revised: 26 Jan 2018
Jack Bao, Maureen O'Hara and Xing (Alex) Zhou
University of Delaware - Department of Finance, Cornell University - Samuel Curtis Johnson Graduate School of Management and Southern Methodist University (SMU) - Finance Department
Downloads 1,018 (36,766)
Citation 17

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Volcker Rule, Corporate Bond Illiquidity, Regulation, Capital Commitment, Dealer Inventory, Market-Making, Financial Crisis

The Volcker Rule and Market-Making in Times of Stress

FEDS Working Paper No. 2016-102
Number of pages: 46 Posted: 28 Dec 2016
Jack Bao, Maureen O'Hara and Xing (Alex) Zhou
University of Delaware - Department of Finance, Cornell University - Samuel Curtis Johnson Graduate School of Management and Southern Methodist University (SMU) - Finance Department
Downloads 368 (134,732)
Citation 125

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Volcker Rule, Corporate Bond Illiquidity, Regulation, Capital Commitment, Dealer Inventory, Market-Making, Financial Crisis

24.

A Fractional Solution to a Stock Market Mystery

Number of pages: 51 Posted: 25 Jul 2022 Last Revised: 19 Jul 2023
Robert P. Bartlett, Justin McCrary and Maureen O'Hara
Stanford Law School, Columbia University - Law School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,327 (25,487)
Citation 1

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fractional shares, Berkshire-Hathaway, Robinhood Trading, FINRA, trade reporting

25.

How Noise Trading Affects Markets: An Experimental Analysis

Downloads 1,325 (25,570)

How Noise Trading Affects Markets: An Experimental Analysis

Number of pages: 63 Posted: 20 Jun 2007
Robert J. Bloomfield, Maureen O'Hara and Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,325 (25,135)
Citation 22

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noise traders, liquidity traders, informed traders, experiments, experimental markets, market microstructure, informational efficiency, liquidity, transaction tax, Tobin tax

How Noise Trading Affects Markets: An Experimental Analysis

The Review of Financial Studies, Vol. 22, No. 6, pp. 2275-2302, 2009
Posted: 01 Jun 2009
Robert J. Bloomfield, Maureen O'Hara and Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management

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D03, G12, G14

26.

Is Market Fragmentation Harming Market Quality?

Number of pages: 42 Posted: 12 Mar 2009
Maureen O'Hara and Mao Ye
Cornell University - Samuel Curtis Johnson Graduate School of Management and Hewlett-Packard Laboratories
Downloads 1,317 (25,740)
Citation 8

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market fragmentation, market quality, microstructure

27.

Differential Access to Price Information in Financial Markets

Journal of Financial and Quantitative Analysis (JFQA), 2016, 51(4), 1071–1110, Johnson School Research Paper Series No. 11-2011
Number of pages: 59 Posted: 18 Mar 2011 Last Revised: 21 Nov 2017
David Easley, Maureen O'Hara and Liyan Yang
Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Toronto - Rotman School of Management
Downloads 1,305 (26,081)
Citation 27

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Price Data Selling, Cost of Capital, Liquidity, Volatility, Information Acquisition, Complementarities

28.

Relative Tick Size and the Trading Environment

Review of Asset Pricing Studies, Forthcoming
Number of pages: 52 Posted: 09 Jul 2014 Last Revised: 18 Oct 2018
Maureen O'Hara, Gideon Saar and Zhuo Zhong
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Melbourne - Department of Finance
Downloads 1,060 (35,225)
Citation 26

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tick size, capital formation, liquidity, high-frequency trading, HFT, market makers, exchanges, market microstructure, financial regulation, SEC

29.

Hidden Liquidity: Some New Light on Dark Trading

Downloads 1,060 (35,225)
Citation 13

Hidden Liquidity: Some New Light on Dark Trading

Johnson School Research Paper Series No. 46-2011
Number of pages: 49 Posted: 06 Dec 2011 Last Revised: 19 Aug 2022
Robert J. Bloomfield, Maureen O'Hara and Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 586 (77,161)
Citation 6

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Hidden Liquidity: Some New Light on Dark Trading

Johnson School Research Paper Series No. 15-2012
Number of pages: 63 Posted: 11 Mar 2012 Last Revised: 12 May 2014
Robert J. Bloomfield, Maureen O'Hara and Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 474 (100,332)
Citation 4

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transparency, dark liquidity, hidden liquidity, iceberg markets, experiments, liquidity, informational efficiency, market microstructure

30.

Innovation and Informed Trading: Evidence from Industry ETFs

Number of pages: 87 Posted: 04 Mar 2018 Last Revised: 10 Aug 2020
Shiyang Huang, Maureen O'Hara and Zhuo Zhong
The University of Hong Kong - Faculty of Business and Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Melbourne - Department of Finance
Downloads 1,012 (37,635)
Citation 37

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ETF, hedge funds, short interest, market efficiency, financial innovation

31.

The Market Inside the Market: Odd-Lot Quotes

Number of pages: 60 Posted: 08 Feb 2022 Last Revised: 11 Feb 2022
Robert P. Bartlett, Justin McCrary and Maureen O'Hara
Stanford Law School, Columbia University - Law School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 969 (39,975)

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Odd-lot quotes, inside market, NBBO, round lots, Reg NMS II, machine learning

32.

The 'Make or Take' Decision in an Electronic Market: Evidence on the Evolution of Liquidity

Number of pages: 56 Posted: 23 Oct 2002
Robert J. Bloomfield, Maureen O'Hara and Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 907 (43,860)
Citation 100

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Market microstructure, experimental economics, experiments, electronic markets, limit order book, liquidity, continuous auctions, limit orders, trading strategies, informed traders, information asymmetry

33.

StableFees: A Predictable Fee Market for Cryptocurrencie

Number of pages: 30 Posted: 30 Jan 2019 Last Revised: 01 Apr 2022
Soumya Basu, David Easley, Maureen O'Hara and Emin Sirer
Cornell University - Department of Computer Science, Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University
Downloads 844 (48,472)
Citation 27

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bitcoin, auction, cryptocurrencies, transaction fees

34.

Liquidity and Valuation in an Uncertain World

Johnson School Research Paper Series No. 13-08
Number of pages: 32 Posted: 12 Oct 2008
David Easley and Maureen O'Hara
Cornell University - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 834 (49,295)
Citation 34

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liquidity, uncertainty, subprime crisis, fair value accounting

35.

Taking Stock in Stock Markets: The Changing Governance of Exchanges

Number of pages: 38 Posted: 14 Oct 2003
Maureen O'Hara and Alfredo M. Mendiola
Cornell University - Samuel Curtis Johnson Graduate School of Management and affiliation not provided to SSRN
Downloads 752 (56,618)
Citation 8

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36.

Opaque Trading, Disclosure and Asset Prices: Implications for Hedge Fund Regulation

Review of Financial Studies, 2014, 27(4): 1190-1237, AFA 2013 San Diego Meetings Paper, Rotman School of Management Working Paper No. 1945347, Johnson School Research Paper Series No. 53-2011
Number of pages: 60 Posted: 17 Oct 2011 Last Revised: 26 Feb 2016
David Easley, Maureen O'Hara and Liyan Yang
Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Toronto - Rotman School of Management
Downloads 738 (58,067)
Citation 19

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Opaque trading, asset prices, welfare, regulation

37.

Liquidity and Financial Market Stability

National Bank of Belgium Working Paper No. 55
Number of pages: 19 Posted: 14 Oct 2010
Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 715 (60,577)
Citation 12

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38.

Helping Law Catch Up to Markets: Applying Broker-Dealer Law to Subprime Mortgages

Journal of Corporation Law, Vol. 33, 2009, Yale Law & Economics Research Paper No. 359, Johnson School Research Paper Series No. #12-09
Number of pages: 55 Posted: 23 Nov 2008 Last Revised: 15 Jul 2009
Jonathan R. Macey, Geoffrey P. Miller, Maureen O'Hara and Gabriel D. Rosenberg
Yale Law School, New York University School of Law, Cornell University - Samuel Curtis Johnson Graduate School of Management and Davis Polk & Wardwell LLP
Downloads 715 (60,577)

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securities law, subprime, reves test, crisis, mortgage

39.

Mutual Fund Fragility, Dealer Liquidity Provisions, and the Pricing of Municipal Bonds

Number of pages: 55 Posted: 13 Nov 2020 Last Revised: 27 Feb 2023
Yi Li, Maureen O'Hara and Xing (Alex) Zhou
Board of Governors of the Federal Reserve System, Cornell University - Samuel Curtis Johnson Graduate School of Management and Southern Methodist University (SMU) - Finance Department
Downloads 694 (62,994)
Citation 7

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Municipal Bonds, Mutual Fund Fragility, Dealer, Liquidity, Pricing, COVID-19

40.

The Execution Quality of Corporate Bonds

Journal of Financial Economics (JFE), Vol. 130, No. 2, 2018
Number of pages: 53 Posted: 27 Oct 2015 Last Revised: 03 Jul 2023
Maureen O'Hara, Yihui Wang and Xing (Alex) Zhou
Cornell University - Samuel Curtis Johnson Graduate School of Management, Fordham University and Southern Methodist University (SMU) - Finance Department
Downloads 687 (63,822)
Citation 8

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Best execution, Corporate bonds, Market Microstructure, Dealer market, Trading Network, Transparency

41.

Firm Characteristics and Informed Trading: Implications for Asset Pricing

Journal of Empirical Finance, Vol. 18, No. 5, 2011
Number of pages: 53 Posted: 29 Jan 2009 Last Revised: 11 Aug 2015
Hadiye Aslan, David Easley, Soeren Hvidkjaer and Maureen O'Hara
Georgia State University - Department of Finance, Cornell University - Department of Economics, Copenhagen Business School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 630 (71,327)
Citation 33

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42.

Microstructure and Ambiguity

Journal of Finance, Forthcoming, Johnson School Research Paper Series No. 01-2010
Number of pages: 54 Posted: 21 Jan 2010
David Easley and Maureen O'Hara
Cornell University - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 601 (75,619)
Citation 7

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43.

Bank Corporate Governance: A Proposal for the Post-Crisis World

Economic Policy Review, Issue Aug, pp. 85-105, 2016
Number of pages: 21 Posted: 23 Aug 2016 Last Revised: 16 Dec 2017
Jonathan R. Macey and Maureen O'Hara
Yale Law School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 530 (88,445)
Citation 5

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banks, corporate governance, risk management, bank holding companies, BHC

44.

Tiny Trades, Big Questions: Fractional Shares

Number of pages: 63 Posted: 19 Oct 2022
Robert P. Bartlett, Justin McCrary and Maureen O'Hara
Stanford Law School, Columbia University - Law School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 522 (90,142)

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retail trade, fractional shares, Robinhood Trading, FINRA, trade reporting

45.

Information Flows and Systematic Risk

Society for Financial Studies Cavalcade, Forthcoming
Number of pages: 41 Posted: 08 Jul 2021 Last Revised: 04 Mar 2022
David Easley, David Michayluk, Maureen O'Hara, Vinay Patel and Tālis J. Putniņš
Cornell University - Department of Economics, University of Technology Sydney (UTS) - School of Finance and Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Technology Sydney (UTS) and University of Technology Sydney (UTS)
Downloads 504 (94,125)
Citation 1

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information flows, asset pricing, return premium, systematic risk

46.

Footprints on the Blockchain: Information Leakage in Distributed Ledgers

Number of pages: 19 Posted: 12 Jan 2017
Rune Aune, Maureen O'Hara and Ouziel Slama
Independent, Cornell University - Samuel Curtis Johnson Graduate School of Management and Independent
Downloads 496 (95,848)
Citation 5

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47.

From Orders to Markets

Regulation, Vol. 28, No. 2, pp. 62-70, Summer 2005, Yale Law & Economics Research Paper No. 321
Number of pages: 11 Posted: 10 Aug 2005
Jonathan R. Macey and Maureen O'Hara
Yale Law School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 432 (113,023)

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Brokers, best execution, traders, securities law

48.

The Electronic Evolution of Corporate Bond Dealers

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 59 Posted: 04 Jun 2020
Maureen O'Hara and Xing (Alex) Zhou
Cornell University - Samuel Curtis Johnson Graduate School of Management and Southern Methodist University (SMU) - Finance Department
Downloads 360 (139,164)
Citation 24

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Electronic trading, Voice trading, RFQ, Corporate bond markets, Bond dealers, Transaction costs, Execution quality, Inter-dealer trade, Rating downgrade

49.

Bond Market Illiquidity: Is Portfolio Trading the Solution?

Downloads 183 (144,393)

Bond Market Illiquidity: Is Portfolio Trading the Solution?

This paper subsumes Li (2022) "Frictional Intermediation, Inventory Hedging, and the Rise of Portfolio Trading in the Corporate Bond Market" (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4053987), SMU Cox School of Business Research Paper No. 23-09
Number of pages: 60 Posted: 03 Jul 2023
Jessica S. Li, Maureen O'Hara, Andreas C. Rapp and Xing (Alex) Zhou
University of Chicago - Booth School of Business, Cornell University - Samuel Curtis Johnson Graduate School of Management, Board of Governors of the Federal Reserve System and Southern Methodist University (SMU) - Finance Department
Downloads 183 (271,860)

Abstract:

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Bond Portfolio Trading, Liquidity, Corporate Bonds, Corporate Bond Dealers, Financial Innovation

50.

The Limits of Noise Trading: An Experimental Analysis

NYU Working Paper No. FIN-05-015
Number of pages: 62 Posted: 03 Nov 2008
Robert J. Bloomfield, Maureen O'Hara and Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 326 (154,819)

Abstract:

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51.

ETFs and Systemic Risks

CFA Institute Research Foundation Briefs, January 2020, ISBN 978-1-944960-91-9
Number of pages: 28 Posted: 07 Aug 2020
Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 317 (159,482)

Abstract:

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52.

Financial Market Ethics

Review of Financial Studies
Number of pages: 51 Posted: 09 Jul 2019 Last Revised: 04 Apr 2022
David Easley and Maureen O'Hara
Cornell University - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 253 (201,061)
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ethics, contagion, regulation, market structure

53.

The Value of Value Investors

Number of pages: 52 Posted: 12 Jul 2022 Last Revised: 27 Feb 2023
Maureen O'Hara, Andreas C. Rapp and Xing (Alex) Zhou
Cornell University - Samuel Curtis Johnson Graduate School of Management, Board of Governors of the Federal Reserve System and Southern Methodist University (SMU) - Finance Department
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Corporate Bond, Liquidity, Value Investor, Relationship, COVID-19, Insurance Company, Dealer, Mutual Fund.

54.

How Much Trading Volume is Too Much?

Number of pages: 18 Posted: 12 Jan 2017
David Easley and Maureen O'Hara
Cornell University - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 165 (297,466)

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55.

Things Fall Apart: Fixed Income Markets in the COVID Crisis

Number of pages: 21 Posted: 20 Oct 2022
Maureen O'Hara and Xing (Alex) Zhou
Cornell University - Samuel Curtis Johnson Graduate School of Management and Southern Methodist University (SMU) - Finance Department
Downloads 137 (346,207)

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Covid Crisis, Fixed Income Markets, Federal Reserve, Interventions, Treasury Securities, Corporate Bonds, Municipal Bonds, Fragility, Dealers, Mutual Funds, Hedge Funds, Insurance Companies.

56.

The ¬Smake or Take� Decision in an Electronic Market: Evidence on the Evolution of Liquidity

NYU Working Paper No. FIN-02-029
Number of pages: 44 Posted: 03 Nov 2008
Robert J. Bloomfield, Maureen O'Hara and Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 92 (460,173)

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57.

Ambiguity and Nonparticipation: The Role of Regulation

The Review of Financial Studies, Vol. 22, Issue 5, pp. 1817-1843, 2009
Posted: 13 Apr 2009
David Easley and Maureen O'Hara
Cornell University - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management

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G1, G2, D8

58.

Bubbles: Some Perspectives (and Loose Talk) from History

The Review of Financial Studies, Vol. 21, Issue 1, pp. 11-17, 2008
Posted: 26 Jun 2008
Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management

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59.

Presidential Address: Liquidity and Price Discovery

Posted: 04 Nov 2003
Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management

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60.

Making Market Microstructure Matter

Financial Management, Vol. 28, No. 2, Summer 1999
Posted: 16 Aug 2001
Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management

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61.

How Stock Splits Affect Trading: A Microstructure Approach

Posted: 25 Apr 2001
David Easley, Maureen O'Hara and Gideon Saar
Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management

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Stock splits, market microstructure, information asymmetry, optimal tick size, trading range

62.

The Accuracy of Trade Classification Rules: Evidence from NASDAQ

Posted: 19 Feb 2001
Maureen O'Hara, Katrina Ellis and Roni Michaely
Cornell University - Samuel Curtis Johnson Graduate School of Management, Government of the Commonwealth of Australia - Australian Prudential Regulation Authority (APRA) and The University of Hong Kong

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63.

Can Transparent Markets Survive?

Posted: 01 Feb 2001
Robert J. Bloomfield and Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management

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Market microstructure, experimental economics, stock market competition

64.

Market Value Accounting

Posted: 11 May 2000
Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management

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65.

Market Transparency: Who Wins and Who Loses?

Posted: 08 Sep 1998
Robert J. Bloomfield and Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management

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66.

Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow

Memo 1995-5
Posted: 25 Aug 1998
David Easley, Nicholas M. Kiefer and Maureen O'Hara
Cornell University - Department of Economics, Cornell University and Cornell University - Samuel Curtis Johnson Graduate School of Management

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67.

Option Volume and Stock Prices: Evidence on Where Informed Traders Trade

Journal of Finance, Vol. 53, No. 2, April 1998
Posted: 02 Jul 1998
David Easley, Maureen O'Hara and P. S. Srinivas
Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and World Bank

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68.

The Law and Economics of Best Execution

In the Journal of Financial Intermediation, Vol. 6, No. 3 (1997).
Posted: 08 Oct 1997
Maureen O'Hara and Jonathan R. Macey
Cornell University - Samuel Curtis Johnson Graduate School of Management and Yale Law School

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69.

Liquidity, Information, and Infrequently Traded Stocks

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Liquidity, Information, and Infrequently Traded Stocks

J. OF FINANCE, Vol. 51 No. 4, September 1996
Posted: 06 Nov 1996
David Easley, Nicholas M. Kiefer, Maureen O'Hara and Joseph B. Paperman
Cornell University - Department of Economics, Cornell University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University

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Liquidity, Information, and Infrequently Traded Stocks

Memo 1995-6
Posted: 27 Jul 1995
David Easley, Nicholas M. Kiefer, Maureen O'Hara and Joseph B. Paperman
Cornell University - Department of Economics, Cornell University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University

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Other Papers (1)

Total Downloads: 224
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1.

The Limits of Noise Trading: An Experimental Analysis

AFA 2006 Boston Meetings Paper
Number of pages: 46 Posted: 15 Mar 2005
Robert J. Bloomfield, Maureen O'Hara and Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 224

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behavioral finance, noise, limits to arbitrage, day trading, experiments, Tobin tax, securities transactions tax, informational efficiency, liquidity, volatility