Marshall E. Blume

University of Pennsylvania - Finance Department

Professor of Financial

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

  • University of Pennsylvania - Finance Department

    • Email
    • Tel: 215-898-7616
    • Fax: 215-573-8084
SCHOLARLY PAPERS

15

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4,630

TOTAL CITATIONS
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Top 20,486

in Total Papers Citations

115

Scholarly Papers (15)

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1.

Institutional Investors and Stock Market Liquidity: Trends and Relationships

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 43 Posted: 18 Sep 2012
Marshall E. Blume and Donald B. Keim
University of Pennsylvania - Finance Department and University of Pennsylvania - Wharton School
Downloads 1,858 (19,850)
Citation 45

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Institutional investors, Institutional stock ownership, SEC 13F filings, Hedge funds

2.

Competition and Fragmentation in the Equity Markets: The Effect of Regulation Nms

Number of pages: 18 Posted: 27 Jan 2007
Marshall E. Blume
University of Pennsylvania - Finance Department
Downloads 628 (92,085)
Citation 15

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3.

The Structure of the Us Equity Markets

Rodney L. White Center for Financial Research Working Paper No. 17-00
Number of pages: 31 Posted: 12 Mar 2001
Marshall E. Blume
University of Pennsylvania - Finance Department
Downloads 452 (138,441)
Citation 3

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4.

Stale or Sticky Prices? Non-Trading, Predictability and Mutual Fund Returns

Rodney L. White Center for Financial Research Working Paper No. 23-06
Number of pages: 34 Posted: 06 Sep 2006
Marshall E. Blume and Donald B. Keim
University of Pennsylvania - Finance Department and University of Pennsylvania - Wharton School
Downloads 419 (151,229)
Citation 2

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5.

S&P 500 Indexers, Delegation Costs, and Liquidity Mechanisms

Rodney L. White Center for Financial Research Working Paper No. 04-03
Number of pages: 36 Posted: 26 May 2003
Roger M. Edelen and Marshall E. Blume
Virginia Tech and University of Pennsylvania - Finance Department
Downloads 351 (184,295)
Citation 7

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6.

The Changing Preferences of Institutional Investors for Common Stocks

Number of pages: 35 Posted: 29 Mar 2014
Marshall E. Blume and Donald B. Keim
University of Pennsylvania - Finance Department and University of Pennsylvania - Wharton School
Downloads 317 (205,717)
Citation 4

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Institutional investors, Institutional stock ownership, SEC 13F filings, Hedge funds

7.

Changing Institutional Preferences for Stocks: Direct and Indirect Evidence

Number of pages: 35 Posted: 18 Mar 2011
Marshall E. Blume and Donald B. Keim
University of Pennsylvania - Finance Department and University of Pennsylvania - Wharton School
Downloads 240 (274,089)
Citation 1

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Institutional investors, Institutional stock ownership, SEC 13f filings, hedge funds

8.

Displayed and Effective Spreads By Market

Rodney L. White Center for Financial Research Working Paper No. 27-92
Number of pages: 41 Posted: 09 Apr 2007
Marshall E. Blume and Michael A. Goldstein
University of Pennsylvania - Finance Department and Babson College - Finance Division
Downloads 237 (277,477)
Citation 26

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effective spreads, displayed spreads, best intermarket quote, NYSE, regionals

9.

Differences in Execution Prices Among the NYSE, the Regionals, and the NASD

Rodney L. White Center for Financial Research Paper No. 4-92
Number of pages: 29 Posted: 09 Apr 2007
Marshall E. Blume and Michael A. Goldstein
University of Pennsylvania - Finance Department and Babson College - Finance Division
Downloads 128 (477,935)
Citation 12

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market microstructure, price improvement, NYSE, intermarket competition

10.

On Replicating the S&P 500 Index

Rodney L. White Center for Financial Research Working Paper No. 08-02
Posted: 06 Sep 2002
Marshall E. Blume and Roger M. Edelen
University of Pennsylvania - Finance Department and Virginia Tech

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11.

Soft Dollars and the Brokerage Industry

Posted: 14 Sep 1999
Marshall E. Blume
University of Pennsylvania - Finance Department

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12.

On the Integration of the Us Equity Markets

Rodney L. White Center for Financial Research Working Paper No. 1-95
Posted: 08 Sep 1999
Marshall E. Blume and Michael A. Goldstein
University of Pennsylvania - Finance Department and Babson College - Finance Division

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13.

An Anatomy of Morningstar Ratings

Rodney L. White Center Working Paper No. 12-97
Posted: 19 Oct 1997
Marshall E. Blume
University of Pennsylvania - Finance Department

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14.

The Declining Credit Quality of Us Corporate Debt: Myth or Reality?

Rodney L. White Center for Financial Research Working Paper #3-98
Posted: 13 Nov 1996
Marshall E. Blume, Felix Lim and A. Craig Mackinlay
University of Pennsylvania - Finance Department, University of Pennsylvania - Finance Department and University of Pennsylvania - The Wharton School, Finance Department

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15.

Quotes, Order Flow, and Price Discovery

Downloads 0 (1,338,282)

Quotes, Order Flow, and Price Discovery

J. OF FINANCE, Vol. 52 No. 1, March 1997
Posted: 18 Dec 1996
Marshall E. Blume and Michael A. Goldstein
University of Pennsylvania - Finance Department and Babson College - Finance Division

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Quotes, Order Flow, and Price Discovery

Rodney L. White Center Working Paper No. 03-96 (Revision of No. 18-95)
Posted: 12 Oct 1995
Marshall E. Blume and Michael A. Goldstein
University of Pennsylvania - Finance Department and Babson College - Finance Division

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