Frederick H. deB. Harris

Wake Forest University

Prof.

2601 Wake Forest Road

Babcock Graduate School of Management

Winston-Salem, NC 27109

United States

Capital Markets CRC Limited (CMCRC)

Level 3, 55 Harrington Street

Sydney, 2000

Australia

  • Wake Forest University

    • Email
    • Tel: 336-758-5112

  • Capital Markets CRC Limited (CMCRC)

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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9

CROSSREF CITATIONS

3

Scholarly Papers (13)

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1.

Minority Shareholder Expropriation and Asymmetric Information Flows in a Global Registered Share: The Saga of Daimler Chrysler

Number of pages: 46 Posted: 02 Dec 2004
Frederick H. deB. Harris, Sherry L. Jarrell, Thomas H. McInish and Robert Wood
Wake Forest University, Wake Forest University, University of Memphis - Fogelman College of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 1,204 (18,745)
Citation 1

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cross-listing, corporate governance, disclosure, minority shareholder, order flow, trading costs, price discovery

2.

A Worldwide Examination of Exchange Market Quality: Greater Integrity Increases Market Efficiency

Number of pages: 44 Posted: 22 Jul 2011 Last Revised: 22 Apr 2014
Frederick H. deB. Harris, Michael J. Aitken and Shan Ji
Wake Forest University, Macquarie Graduate School of Management and Capital Markets CRC
Downloads 449 (71,508)
Citation 3

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Market integrity, business ethics, security market quality, market manipulation

3.

Fragmentation and Algorithmic Trading: Joint Impact on Market Quality

Number of pages: 45 Posted: 01 Apr 2015 Last Revised: 02 Apr 2015
Michael J. Aitken, Drew Harris and Frederick H. deB. Harris
Macquarie Graduate School of Management, University of New South Wales (UNSW) and Wake Forest University
Downloads 229 (149,404)
Citation 1

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Algorithmic trading, dark trading, market manipulation, fragmentation

4.

Market Fairness: The Poor Country Cousin of Market Efficiency

Number of pages: 61 Posted: 23 May 2014 Last Revised: 02 Apr 2015
Michael J. Aitken, Angelo Aspris, Sean Foley and Frederick H. deB. Harris
Macquarie Graduate School of Management, University of Sydney - Discipline of Finance, Macquarie University and Wake Forest University
Downloads 212 (160,595)
Citation 3

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Market integrity, market fairness, manipulation, information leakage, algorithmic trading

5.

Price Discovery Efficiency and Permanent Information Impounding on Nyse Euronext Paris

Number of pages: 49 Posted: 30 Mar 2012
Frederick H. deB. Harris, Michael J. Aitken and Elisa-Maree Di Marco
Wake Forest University, Macquarie Graduate School of Management and affiliation not provided to SSRN
Downloads 190 (177,916)
Citation 1

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price discovery, Euronext, Chi-X, MTF, MiFID, fragmentation, permanent information impounding, price discovery efficiency

6.

The Changing State of the Market: Common Factors and Impulse Responses for Cointegrated Spreads and Depths

Journal of Trading, Vol. 4, No. 1, pp. 68-94, Winter 2009
Number of pages: 50 Posted: 20 Mar 2006 Last Revised: 05 Apr 2009
Frederick H. deB. Harris, Sugato Chakravarty and Robert Wood
Wake Forest University, Purdue University and University of Memphis - Fogelman College of Business and Economics
Downloads 126 (250,191)
Citation 1

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Resiliency, depth, error correction, impulse response, common factor, refresh rate

7.

A Model of Maker-Taker Fees and Quasi-Natural Experimental Evidence

Number of pages: 45 Posted: 06 Nov 2018 Last Revised: 13 Aug 2020
Yiping Lin, Peter L. Swan and Frederick H. deB. Harris
Capital Markets CRC Limited (CMCRC), University of New South Wales (UNSW Sydney and Wake Forest University
Downloads 36 (488,523)
Citation 4

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Maker-Taker Fee, Exchange Competition, Market Efficiency, RegNMS, Fee Pilot

8.

Fragmentation and Price Discovery: A Comparison of Reg NMS and MiFID1

https://doi.org/10.3905/jot.2014.9.4.006
Posted: 21 May 2019
Frederick H. deB. Harris, Thomas H. McInish, Frank Sensenbrenner and Robert Wood
Wake Forest University, University of Memphis - Fogelman College of Business and Economics, Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS) and University of Memphis - Fogelman College of Business and Economics

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Reg NMS, MiFID1, fragmentation, Chi-X, ARCA, price discovery

9.

Price Discovery in Liquid UK Shares Pre and Post MiFID

Posted: 14 Apr 2013
Michael J. Aitken, Frederick H. deB. Harris and Frank Sensenbrenner
Macquarie Graduate School of Management, Wake Forest University and Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS)

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MiFId, High Frequency Trading

10.

The Need for a Unified Approach to Price Discovery: CFS and IS Metrics Before and After Reg NMS

Posted: 26 Mar 2008 Last Revised: 29 Jul 2014
Frederick H. deB. Harris, Thomas H. McInish and Robert Wood
Wake Forest University, University of Memphis - Fogelman College of Business and Economics and University of Memphis - Fogelman College of Business and Economics

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Reg NMS, price discovery, information share, common factor share, Reg NMS

11.

Closing the Floor: Evidence of Price Discovery on the Sydney Futures Exchange

Babcock School Working Paper 98-022
Posted: 08 Nov 1998
Frederick H. deB. Harris, Alex Frino and Thomas H. McInish
Wake Forest University, The University of Sydney - Discipline of Finance and University of Memphis - Fogelman College of Business and Economics

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12.

Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
Posted: 23 Aug 1998
Frederick H. deB. Harris, Thomas H. McInish, Gary Shoesmith and Robert Wood
Wake Forest University, University of Memphis - Fogelman College of Business and Economics, Wake Forest University - School of Business and University of Memphis - Fogelman College of Business and Economics

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13.

Bids and Asks in Disequilibrium Market Microstructure: The Case of Ibm

Downloads 0 (739,561)

Bids and Asks in Disequilibrium Market Microstructure: The Case of Ibm

JOURNAL OF BANKING AND FINANCE, 1995
Posted: 20 Jul 1998
Frederick H. deB. Harris, Thomas H. McInish and Ranjan R. Chakravarty
Wake Forest University, University of Memphis - Fogelman College of Business and Economics and affiliation not provided to SSRN

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Bids and Asks in Disequilibrium Market Microstructure: The Case of Ibm

Posted: 20 Jul 1998
Frederick H. deB. Harris, Thomas H. McInish and Ranjan R. Chakravarty
Wake Forest University, University of Memphis - Fogelman College of Business and Economics and affiliation not provided to SSRN

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Other Papers (1)

Total Downloads: 110
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1.

What IPO Order Flow Reveals about the Role of the Underwriter

International Journal of Managerial Finance, Vol. 5, No. 1, pp. 16-49, 2009
Number of pages: 51 Posted: 03 Apr 2009
Michael J. Aitken, Frederick H. deB. Harris, Thomas H. McInish and Kathryn Wong
Macquarie Graduate School of Management, Wake Forest University, University of Memphis - Fogelman College of Business and Economics and affiliation not provided to SSRN
Downloads 110 (100,983)

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Initial public offering, IPO, underwriter, venture capitalist