Lawrence Harris

University of Southern California - Marshall School of Business - Finance and Business Economics Department

Prof.

Marshall School of Business

Los Angeles, CA 90089

United States

Institute for Quantitative Research in Finance (the Q-Group)

Director of the Selected Funds, and Research Coordinator

Q Group

P.O. Box 1540

Valley Stream, NY 11582

United States

http://www.q-group.org

Financial Economists Roundtable

Executive Director

United States

http://www.financialeconomistsroundtable.com/

Interactive Brokers, Inc. (IBKR)

Lead Independent Director

209 South LaSalle Street

10th Floor

Chicago, IL 60604

United States

SCHOLARLY PAPERS

17

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14,681

SSRN CITATIONS
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SSRN RANKINGS

Top 7,698

in Total Papers Citations

69

CROSSREF CITATIONS

104

Scholarly Papers (17)

1.

Equity Trading in the 21st Century

Marshall School of Business Working Paper No. FBE 09-10
Number of pages: 54 Posted: 11 May 2010 Last Revised: 08 Aug 2015
James Angel, Lawrence Harris and Chester S. Spatt
Georgetown University - Department of Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and Carnegie Mellon University - David A. Tepper School of Business
Downloads 4,049 (3,048)
Citation 51

Abstract:

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Equity markets, transactions costs, dark pools, bid-ask spread

2.

Corporate Bond Market Transparency and Transaction Costs

Fifteenth Annual Utah Winter Finance Conference
Number of pages: 41 Posted: 22 Sep 2004
Amy K. Edwards, Lawrence Harris and Michael S. Piwowar
Securities and Exchange Commission (SEC), University of Southern California - Marshall School of Business - Finance and Business Economics Department and Government of the United States of America - Banking Committee
Downloads 2,871 (5,478)
Citation 27

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Corporate bonds, fixed income, liquidity, transaction cost measurement, effective spreads, TRACE, price transparency, market microstructure, dealers

3.

Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets

Number of pages: 79 Posted: 18 Sep 2015 Last Revised: 24 Oct 2015
Lawrence Harris
University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 2,342 (7,638)
Citation 39

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Bond market liquidity, transaction costs, riskless principal trades, trade throughs, effective bid/ask spreads, dealers, brokers, pre-trade transparency, TRACE

4.

Municipal Bond Liquidity

Number of pages: 59 Posted: 17 Feb 2004
Lawrence Harris and Michael S. Piwowar
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Government of the United States of America - Banking Committee
Downloads 1,471 (16,094)
Citation 19

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Municipal bonds, fixed income, liquidity, transaction cost measurement, effective spreads, Municipal Securities Rulemaking Board, MSRB, transparency, market microstructure, dealers

5.

Juicing the Dividend Yield: Mutual Funds and the Demand for Dividends

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 17 Oct 2014
Lawrence Harris, Samuel M. Hartzmark and David H. Solomon
University of Southern California - Marshall School of Business - Finance and Business Economics Department, University of Chicago - Booth School of Business and Boston College - Carroll School of Management
Downloads 935 (31,335)
Citation 5

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Dividends, Mutual Funds, Behavioral Finance, Payout Policy, Catering, Dividend Clienteles

Price Inflation and Wealth Transfer During the 2008 SEC Short-Sale Ban

The Journal of Investment Management, Second Quarter, 2013, Harry M. Markowitz Special Distinction Award 2013
Number of pages: 43 Posted: 23 Mar 2009 Last Revised: 09 May 2014
Lawrence Harris, Ethan Namvar and Blake Phillips
University of Southern California - Marshall School of Business - Finance and Business Economics Department, University of California, Berkeley - Haas School of Business and University of Waterloo
Downloads 801 (38,348)
Citation 34

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Short-sale Ban, SEC, Securities and Exchange Commission, Short-Sale Constraints, Financial Crisis

Price Inflation and Wealth Transfer During the 2008 SEC Short-Sale Ban

Journal Of Investment Management (JOIM), Second Quarter 2013
Posted: 15 Jun 2013
Lawrence Harris, Ethan Namvar and Blake Phillips
University of Southern California - Marshall School of Business - Finance and Business Economics Department, University of California, Berkeley - Haas School of Business and University of Waterloo

Abstract:

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Short selling, short-sale ban, short-sale constraints, financial crisis

7.

Illiquidity and Stock Returns: Cross-Section and Time-Series Effects: A Replication

Marshall School of Business Working Paper No. 17-13
Number of pages: 27 Posted: 22 Jan 2017
Lawrence Harris and Andrea Amato
University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of California, Berkeley - Haas School of Business
Downloads 636 (52,878)
Citation 4

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Liquidity, illiquidity, Amihud measure, asset pricing

8.

Trading and Electronic Markets: What Investment Professionals Need to Know

CFA Institute Research Foundation 2015-3
Number of pages: 94 Posted: 19 Nov 2015
Lawrence Harris
University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 581 (59,280)

Abstract:

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trading, electronic markets, high frequency trading, bid offer spread, trading costs, trading implementation costs

9.

The Economics of Flash Orders and Trading

Journal of Investment Management, Fourth Quarter, 2016
Number of pages: 17 Posted: 03 Nov 2011 Last Revised: 11 Apr 2017
Lawrence Harris and Ethan Namvar
University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of California, Berkeley - Haas School of Business
Downloads 531 (66,348)
Citation 2

Abstract:

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flash orders, high frequency trading, algorithmic trading, volatility

10.

Specialist Profits and the Minimum Price Increment

Number of pages: 46 Posted: 30 Apr 2004
Jay F. Coughenour and Lawrence Harris
University of Delaware - Department of Finance and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 355 (106,789)
Citation 1

Abstract:

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NYSE Specialists, Decimalization, Trading Profits, Spectral Analysis

11.

Riskless Principal Trades in Corporate Bond Markets

Number of pages: 26 Posted: 16 Oct 2020
Lawrence Harris and Anindya Mehta
University of Southern California - Marshall School of Business - Finance and Business Economics Department and USC Marshall School of Business
Downloads 67 (417,364)
Citation 2

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Bond Market Liquidity, Transaction Costs, Riskless Principal Trades, Trade Throughs, Dealers, Brokers, Pre-Trade Transparency, Trace, Market Micro-structure

12.

Statement on Evidence-Based Regulation and the Limits of Pilot Studies

Number of pages: 12 Posted: 10 Jul 2020
University of Southern California - Marshall School of Business - Finance and Business Economics Department, University of Illinois, Urbana-Champaign, Northwestern University - Kellogg School of Management and Carnegie Mellon University - David A. Tepper School of Business
Downloads 42 (514,450)

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Pilot studies, financial market regulation and policy, Securities and Exchange Commission

13.

Everybody's Doing it: Short Volatility Strategies and Shadow Financial Insurers

Forthcoming, Financial Analysts Journal, Vol. 74, No. 2, 2018
Posted: 17 Nov 2017 Last Revised: 09 Nov 2020
Vineer Bhansali and Lawrence Harris
LongTail Alpha, LLC and University of Southern California - Marshall School of Business - Finance and Business Economics Department

Abstract:

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volatility strategies, options, market crashes, short VIX carry trade, volatility risk premium, risk-parity fund, risk premium harvesters, target volatility funds

14.

Corporate Bond Market Transaction Costs and Transparency

Journal of Finance, Vol. 62, No. 3, June 2007
Posted: 27 Dec 2007
Amy K. Edwards, Lawrence Harris and Michael S. Piwowar
Securities and Exchange Commission (SEC), University of Southern California - Marshall School of Business - Finance and Business Economics Department and Government of the United States of America - Banking Committee

Abstract:

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Corporate bonds, fixed income, liquidity, transaction cost measurement, effective spreads, TRACE, price transparency, market microstructure, dealers

15.

Program Trading and Intraday Volatility

Posted: 14 May 2000
Lawrence Harris and George Sofianos
University of Southern California - Marshall School of Business - Finance and Business Economics Department and affiliation not provided to SSRN

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16.

Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems

Posted: 10 Sep 1999
Lawrence Harris
University of Southern California - Marshall School of Business - Finance and Business Economics Department

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17.

Market vs. Limit Orders: The Superdot Evidence on Order Submission Strategy

J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, June 1996
Posted: 25 Sep 1996
Lawrence Harris and Joel Hasbrouck
University of Southern California - Marshall School of Business - Finance and Business Economics Department and New York University (NYU) - Department of Finance

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