Gautam Kaul

University of Michigan, Stephen M. Ross School of Business

John C. and Sally S. Professor of Finance

701 Tappan Street

Ann Arbor, MI MI 48109-1234

United States

  • University of Michigan, Stephen M. Ross School of Business

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    • Tel: 734-764-9594
    • Fax: 734-647-6861
SCHOLARLY PAPERS

9

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Scholarly Papers (9)

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1.

Informed Trading and Option Spreads

Number of pages: 34 Posted: 19 May 2004
Gautam Kaul, Mahendrarajah Nimalendran and Donghang Zhang
University of Michigan, Stephen M. Ross School of Business, University of Florida - Department of Finance, Insurance and Real Estate and University of South Carolina
Downloads 847 (40,130)
Citation 26

Abstract:

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Options, spreads, informed trading

2.

Momentum is Not an Anomaly

Number of pages: 46 Posted: 04 Nov 2007
Robert F. Dittmar, Gautam Kaul and Qin Lei
University of Michigan, Stephen M. Ross School of Business, University of Michigan, Stephen M. Ross School of Business and University of Michigan at Ann Arbor
Downloads 637 (58,501)
Citation 6

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3.

Aiming at Pin: Order Flow, Information, and Liquidity

Number of pages: 33 Posted: 02 Jan 2006 Last Revised: 14 May 2014
Gautam Kaul, Qin Lei and Noah Stoffman
University of Michigan, Stephen M. Ross School of Business, University of Michigan at Ann Arbor and Indiana University - Kelley School of Business - Department of Finance
Downloads 267 (158,953)
Citation 7

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Stock Liquidity, Information Asymmetry, Information Content, Order Imbalance, PIN

4.

Is it a Factor? Time Series Restrictions on Factors

Number of pages: 43 Posted: 27 Apr 2004
David Heike and Gautam Kaul
Lehman Brothers, Inc. and University of Michigan, Stephen M. Ross School of Business
Downloads 233 (181,527)

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Factors, stock returns, strong exogeneity

5.

Estimation of the Bid-Ask Spread and its Components: A New Approach

Review of Financial Studies, Vol. 4, pp. 623-656, 1991
Posted: 09 Mar 2008
Gautam Kaul, Thomas J. George and Mahendrarajah Nimalendran
University of Michigan, Stephen M. Ross School of Business, University of Houston - Department of Finance and University of Florida - Department of Finance, Insurance and Real Estate

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bid-ask spread, components, microstructure, adverse-selection

6.

Trading Volume and Transaction Costs in Specialist Markets

Journal of Finance, Vol. 49, No. 4, pp. 1489-1505, September 1994
Posted: 09 Mar 2008
Thomas J. George, Gautam Kaul and Mahendrarajah Nimalendran
University of Houston - Department of Finance, University of Michigan, Stephen M. Ross School of Business and University of Florida - Department of Finance, Insurance and Real Estate

Abstract:

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7.

Transactions, Volume and Volatility

Posted: 03 May 2000
Charles M. Jones, Gautam Kaul and Marc L. Lipson
Columbia University, University of Michigan, Stephen M. Ross School of Business and University of Virginia - Darden School of Business

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8.

An Anatomy of Trading Strategies

REVIEW OF FINANCIAL STUDIES Vol. 11, No. 3
Posted: 15 Jun 1998
Jennifer S. Conrad, Jennifer S. Conrad and Gautam Kaul
University of North Carolina at Chapel HillUniversity of North Carolina Kenan-Flagler Business School and University of Michigan, Stephen M. Ross School of Business

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9.

Oil and the Stock Markets

J. OF FINANCE, Vol. 51 No. 2, June 1996
Posted: 10 Oct 1996
Charles M. Jones and Gautam Kaul
Columbia University and University of Michigan, Stephen M. Ross School of Business

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