Gideon Saar

Cornell University - Samuel Curtis Johnson Graduate School of Management

Assistant Professor of Finance

431 Sage Hall

Ithaca, NY 14853

United States

https://www.johnson.cornell.edu/Faculty-And-Research/Profile?id=gs25

  • Cornell University - Samuel Curtis Johnson Graduate School of Management

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    • Tel: 607-255-7484
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SCHOLARLY PAPERS

25

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SSRN CITATIONS
Rank 719

SSRN RANKINGS

Top 719

in Total Papers Citations

1,158

CROSSREF CITATIONS

688

Scholarly Papers (25)

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1.

Low-Latency Trading

Johnson School Research Paper Series No. 35-2010, AFA 2012 Chicago Meetings Paper
Number of pages: 56 Posted: 22 Oct 2010 Last Revised: 22 May 2013
Joel Hasbrouck and Gideon Saar
New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,868 (2,293)
Citation 183

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low latency, high frequency trading, HFT, market quality, algorithmic trading, algorithms

2.

High-Frequency Trading

Johnson School Research Paper Series No. #20-2013
Number of pages: 15 Posted: 13 Jun 2013
Tarun Chordia, Amit Goyal, Bruce N. Lehmann and Gideon Saar
Emory University - Department of Finance, University of Lausanne, University of California, San Diego and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,638 (8,729)
Citation 19

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3.

Individual Investor Trading and Stock Returns

AFA 2005 Philadelphia Meetings, Johnson School Research Paper Series No. 13-06
Number of pages: 55 Posted: 06 Oct 2004
Ron Kaniel, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 2,257 (11,198)
Citation 161

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Individual investor sentiment, return predictability, behavioral finance, liquidity provision, NYSE, contrarian, market efficiency

4.

The Competitive Landscape of High-Frequency Trading Firms

Forthcoming in the Review of Financial Studies
Number of pages: 60 Posted: 10 Mar 2016 Last Revised: 10 Mar 2018
Ekkehart Boehmer, Dan Li and Gideon Saar
Singapore Management University - Lee Kong Chian School of Business, Chinese University of Hong Kong, Shenzhen and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,410 (23,291)
Citation 16

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high-frequency trading, HFT, competition, market microstructure, product market competition, trading strategies; product differentiation

5.

Dynamic Volume-Return Relation of Individual Stocks

Downloads 1,377 (24,146)
Citation 170

Dynamic Volume-Return Relation of Individual Stocks

Number of pages: 45 Posted: 25 Oct 2000
Guillermo Llorente, Roni Michaely, Gideon Saar and Jiang Wang
Universidad Autonoma de Madrid, The University of Hong Kong, Cornell University - Samuel Curtis Johnson Graduate School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,137 (31,515)

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Dynamic Volume-Return Relation of Individual Stocks

NYU Working Paper No. FIN-00-032
Number of pages: 45 Posted: 04 Nov 2008
Guillermo Llorente, Roni Michaely, Gideon Saar and Jiang Wang
Universidad Autonoma de Madrid, The University of Hong Kong, Cornell University - Samuel Curtis Johnson Graduate School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 142 (337,567)
Citation 89

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Dynamic Volume-Return Relation of Individual Stocks

NBER Working Paper No. w8312
Number of pages: 55 Posted: 03 Jun 2001 Last Revised: 04 Apr 2022
Guillermo Llorente, Roni Michaely, Gideon Saar and Jiang Wang
Universidad Autonoma de Madrid, The University of Hong Kong, Cornell University - Samuel Curtis Johnson Graduate School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 98 (445,181)
Citation 4

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6.

How Noise Trading Affects Markets: An Experimental Analysis

Downloads 1,326 (25,529)

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 1,326 (25,125)
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

7.

Individual Investor Sentiment and Stock Returns

Downloads 1,312 (25,919)
Citation 8

Individual Investor Sentiment and Stock Returns

NYU Working Paper No. FIN-04-023
Number of pages: 45 Posted: 03 Nov 2008
Ron Kaniel, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 753 (55,857)

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Individual Investor Sentiment and Stock Returns

NYU Working Paper No. SC-CFE-04-04
Number of pages: 46 Posted: 07 Nov 2008
Ron Kaniel, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 344 (145,289)
Citation 1

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Individual Investor Sentiment and Stock Returns

NYU Working Paper No. FIN-04-012
Number of pages: 45 Posted: 03 Nov 2008
Ron Kaniel, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 215 (234,677)

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8.

Individual Investor Trading and Return Patterns Around Earnings Announcements

Downloads 1,257 (27,616)
Citation 105

Individual Investor Trading and Return Patterns Around Earnings Announcements

AFA 2010 Atlanta Meetings Paper
Number of pages: 53 Posted: 16 Feb 2009 Last Revised: 02 Jan 2011
Ron Kaniel, Shuming Liu, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, San Francisco State University, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 845 (47,717)
Citation 29

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individual investors, earnings, liquidity, private information

Individual Investor Trading and Return Patterns Around Earnings Announcements

EFA 2009 Bergen Meetings Paper, Johnson School Research Paper No. 07-09
Number of pages: 53 Posted: 23 Jan 2009 Last Revised: 02 Jan 2011
Ron Kaniel, Shuming Liu, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, San Francisco State University, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 409 (119,367)
Citation 11

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Individual Investor Trading and Return Patterns Around Earnings Announcements

CEPR Discussion Paper No. DP8259
Number of pages: 55 Posted: 14 Mar 2011
Ron Kaniel, Shuming Liu, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, San Francisco State University, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 3 (1,045,287)
Citation 10
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earnings announcement, individual investors

9.

Limit Orders and Volatility in a Hybrid Market: The Island Ecn

Downloads 1,194 (29,880)
Citation 44

Limit Orders and Volatility in a Hybrid Market: The Island Ecn

Stern School of Business Dept. of Finance Working Paper FIN-01-025
Number of pages: 50 Posted: 26 Jul 2002
Joel Hasbrouck and Gideon Saar
New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 943 (41,197)
Citation 56

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Island ECN, electronic communications networks, alternative trading systems, limit order book, volatility, limit orders, market microstructure, hidden orders, fleeting orders

Limit Orders and Volatility in a Hybrid Market: The Island Ecn

NYU Working Paper No. FIN-01-025
Number of pages: 54 Posted: 03 Nov 2008
Joel Hasbrouck and Gideon Saar
New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 251 (201,946)

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10.

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 (35,258)
Citation 26

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

11.

Hidden Liquidity: Some New Light on Dark Trading

Downloads 1,060 (35,258)
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 (77,213)
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 (100,401)
Citation 4

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

12.

Technology and Liquidity Provision: The Blurring of Traditional Definitions

Number of pages: 46 Posted: 20 Jun 2007 Last Revised: 30 Apr 2008
Joel Hasbrouck and Gideon Saar
New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 955 (40,872)
Citation 53

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fleeting orders, INET, limit orders, ECN, trading strategies, hidden liquidity, dark liquidity, supplying liquidity, demanding liquidity, technology, active trading, market fragmentation, duration analysis, survival analysis, limit order cancellation, proportional hazards model

13.

Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE

Downloads 913 (43,529)
Citation 82

Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE

Leonard N. Stern School of Business Dept. of Finance Working Paper No. 03-002
Number of pages: 45 Posted: 09 Apr 2003
Ekkehart Boehmer, Gideon Saar and Lei Yu
Singapore Management University - Lee Kong Chian School of Business, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Notre Dame
Downloads 771 (54,028)
Citation 11

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Market microstructure, informational efficiency, liquidity, market design, New York Stock Exchange, OpenBook, transparency, trading strategies, limit orders, specialists

Lifting the Veil: An Analysis of Pre-Trade Transparency at the Nyse

NYU Working Paper No. S-DRP-03-06
Number of pages: 42 Posted: 07 Nov 2008
Ekkehart Boehmer, Gideon Saar and Lei Yu
Singapore Management University - Lee Kong Chian School of Business, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Notre Dame
Downloads 142 (337,567)
Citation 19

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Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE

Journal of Finance, Vol. 60, pp. 783-815, 2005
Posted: 07 Mar 2004
Ekkehart Boehmer, Gideon Saar and Lei Yu
Singapore Management University - Lee Kong Chian School of Business, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Notre Dame

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Market microstructure, informational efficiency, liquidity, market design, New York Stock Exchange, OpenBook, transparency, trading strategies, limit orders, specialists

14.

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 (43,898)
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

15.

Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation

Downloads 793 (52,782)
Citation 61

Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation

Number of pages: 39 Posted: 11 Dec 2000
Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 662 (66,079)
Citation 1

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Market microstructure, institutional trading, permanent price impact, block trades, information asymmetry

Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation

NYU Working Paper No. FIN-99-030
Number of pages: 34 Posted: 07 Nov 2008
Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 131 (359,681)
Citation 7

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Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation

Review of Financial Studies, Vol. 14, Issue 4, pp. 1153-1181, 2001
Posted: 29 Feb 2008
Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management

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Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation

Posted: 25 Apr 2001
Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management

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16.

From Market Making to Matchmaking: Does Bank Regulation Harm Market Liquidity?

Number of pages: 69 Posted: 16 Jun 2019 Last Revised: 03 Aug 2022
Gideon Saar, Jian Sun, Ron Yang and Haoxiang Zhu
Cornell University - Samuel Curtis Johnson Graduate School of Management, Lee Kong Chian School of Business, Singapore Management University, Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 601 (75,675)
Citation 8

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bank regulation, financial crisis, corporate bonds, liquidity, over-the-counter markets, broker-dealers, Basel 2.5, Basel III, Volcker Rule, post-crisis regulation, market making, matchmaking, market microstructure

17.

Lack of Anonymity and the Inference from Order Flow

CRSP Working Paper, Johnson School Research Paper Series No. 02-2010, Chicago Booth Research Paper No. 10-03, EFA 2011 Stockholm Meetings Paper
Number of pages: 59 Posted: 28 Jan 2010 Last Revised: 17 Oct 2011
Juhani T. Linnainmaa and Gideon Saar
Dartmouth College - Tuck School of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 472 (101,902)
Citation 9

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18.

Limit Order Markets under Asymmetric Information

Number of pages: 63 Posted: 12 Oct 2020 Last Revised: 30 Aug 2021
Ayan Bhattacharya and Gideon Saar
Baruch College, The City University of New York and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 440 (110,699)
Citation 7

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limit order book, asymmetric information, sequential trade models, limit order markets, limit orders, market orders, informed traders, cancellations, time-to-execution

19.

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 (154,954)

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20.

News, Influence, and the Evolution of Prices in Financial Markets

Number of pages: 63 Posted: 25 Jun 2014
Shmuel Baruch, Gideon Saar and Xiaodi Zhang
University of Rome Tor Vergata, Department of Economics and Finance, Cornell University - Samuel Curtis Johnson Graduate School of Management and Shanghai University of Finance and Economics
Downloads 312 (162,292)
Citation 1

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news, influence, media, wisdom of the crowds, pricing errors, earnings announcements

21.

Asset Returns and the Listing Choice of Firms

Downloads 312 (162,292)
Citation 10

Asset Returns and the Listing Choice of Firms

Johnson School Research Paper Series No. 12-06
Number of pages: 50 Posted: 19 Mar 2004
Shmuel Baruch and Gideon Saar
University of Rome Tor Vergata, Department of Economics and Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 254 (199,558)
Citation 8

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Listing, exchanges, market microstructure, information asymmetry, return patterns, corporate decision making, NYSE, NASDAQ

Asset Returns and the Listing Choice of Firms

NYU Working Paper No. FIN-04-005
Number of pages: 42 Posted: 03 Nov 2008
Shmuel Baruch and Gideon Saar
University of Rome Tor Vergata, Department of Economics and Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 58 (605,091)

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Asset Returns and the Listing Choice of Firms

The Review of Financial Studies, Vol. 22, Issue 6, pp. 2239-2274, 2009
Posted: 01 Jun 2009
Shmuel Baruch and Gideon Saar
University of Rome Tor Vergata, Department of Economics and Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management

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G12, G14, G30

22.

Information Asymmetry About the Firm and the Permanent Price Impact of Trades: Is There a Connection?

NYU Working Paper No. FIN-01-009
Number of pages: 48 Posted: 03 Nov 2008 Last Revised: 15 Jan 2011
Gideon Saar and Lei Yu
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Notre Dame
Downloads 204 (246,796)

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23.

Investor Uncertainty and Order Flow Information

NYU Working Paper No. FIN-01-063
Number of pages: 44 Posted: 03 Nov 2008
Gideon Saar
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 148 (325,941)

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24.

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 93 (457,323)

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25.

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

Other Papers (1)

Total Downloads: 224
Actions:
Email selected abstracts
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