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

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 1,136

SSRN RANKINGS

Top 1,136

in Total Papers Downloads

18,634

CITATIONS
Rank 639

SSRN RANKINGS

Top 639

in Total Papers Citations

775

Scholarly Papers (23)

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 3,977 (1,330)
Citation 54

Abstract:

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

2.

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 1,897 (5,243)
Citation 129

Abstract:

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

3.
Downloads 1,156 ( 12,829)
Citation 78

Dynamic Volume-Return Relation of Individual Stocks

Number of pages: 45 Posted: 25 Oct 2000
Universidad Autonoma de Madrid, Johnson@Cornell Tech, Cornell University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 969 (16,467)
Citation 3

Abstract:

Dynamic Volume-Return Relation of Individual Stocks

NYU Working Paper No. FIN-00-032
Number of pages: 45 Posted: 04 Nov 2008
Universidad Autonoma de Madrid, Johnson@Cornell Tech, Cornell University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 120 (184,315)
Citation 78

Abstract:

Dynamic Volume-Return Relation of Individual Stocks

NBER Working Paper No. w8312
Number of pages: 55 Posted: 03 Jun 2001
Universidad Autonoma de Madrid, Johnson@Cornell Tech, Cornell University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 67 (270,580)
Citation 3

Abstract:

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
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 743 (24,407)
Citation 27

Abstract:

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
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 348 (65,115)
Citation 27

Abstract:

Individual Investor Trading and Return Patterns Around Earnings Announcements

CEPR Discussion Paper No. DP8259
Number of pages: 55 Posted: 14 Mar 2011
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 (528,306)
Citation 27

Abstract:

earnings announcement, individual investors

5.
Downloads 1,000 ( 15,991)
Citation 129

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 640 (30,042)
Citation 129

Abstract:

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 275 (85,239)
Citation 129

Abstract:

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 85 (234,758)
Citation 129

Abstract:

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 818 (21,186)
Citation 41

Abstract:

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 147 (156,596)
Citation 41

Abstract:

How Noise Trading Affects Markets: An Experimental Analysis

Number of pages: 63 Posted: 20 Jun 2007
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 884 (18,914)
Citation 19

Abstract:

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
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

Abstract:

D03, G12, G14

8.
Downloads 872 ( 19,682)
Citation 4

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: 12 Mar 2012
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 517 (39,976)
Citation 4

Abstract:

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
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 355 (63,599)
Citation 4

Abstract:

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

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 691 (26,986)
Citation 52

Abstract:

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 118 (186,670)
Citation 52

Abstract:

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

Abstract:

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

10.

The 'Make or Take' Decision in an Electronic Market: Evidence on the Evolution of Liquidity

13th Annual Utah Winter Finance Conference; NYU Stern School of Business Working Paper No. FIN-02-029; AFA 2003 Washington, DC Meetings
Number of pages: 56 Posted: 23 Oct 2002
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 792 (21,675)
Citation 77

Abstract:

Market microstructure, experimental economics, experiments, electronic markets, limit order book, liquidity, continuous auctions, limit orders, trading strategies, informed traders, information asymmetry

11.

High-Frequency Trading

Johnson School Research Paper Series No. #20-2013
Number of pages: 15 Posted: 13 Jun 2013
Emory University - Department of Finance, University of Lausanne, University of California, San Diego and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 769 (14,242)
Citation 2

Abstract:

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 598 (32,967)
Citation 51

Abstract:

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 92 (223,177)
Citation 51

Abstract:

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

Abstract:

Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation

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

Abstract:

13.

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 647 (26,536)
Citation 42

Abstract:

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

14.

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
USC Marshall School of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 409 (54,242)
Citation 8

Abstract:

15.

Relative Tick Size and the Trading Environment

Number of pages: 45 Posted: 09 Jul 2014 Last Revised: 30 Jul 2015
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 256 (52,839)
Citation 1

Abstract:

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

16.

The Limits of Noise Trading: An Experimental Analysis

NYU Working Paper No. FIN-05-015
Number of pages: 62 Posted: 03 Nov 2008
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 246 (96,520)

Abstract:

17.
Downloads 234 (101,621)
Citation 6

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 Utah - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 209 (113,350)
Citation 6

Abstract:

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 Utah - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 25 (407,603)
Citation 6

Abstract:

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 Utah - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management

Abstract:

G12, G14, G30

18.

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 133 (157,234)
Citation 5

Abstract:

19.

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 Utah - Department of Finance, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Central Florida
Downloads 121 (138,507)

Abstract:

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

20.

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 91 (215,401)
Citation 17

Abstract:

21.

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
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 46 (290,676)
Citation 33

Abstract:

22.

Correlated High-Frequency Trading

Number of pages: 62 Posted: 10 Mar 2016
Ekkehart Boehmer, Dan Li and Gideon Saar
Singapore Management University - Lee Kong Chian School of Business, The University of Hong Kong - School of Economics and Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 0 (43,057)

Abstract:

high-frequency trading, HFT, competition, market microstructure

23.

How Stock Splits Affect Trading: A Microstructure Approach

Journal of Financial and Quantitative Analysis, Vol. 36, March 2001
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

Abstract:

Stock splits, market microstructure, information asymmetry, optimal tick size, trading range

Other Papers (1)

Total Downloads: 183    Citations: 0
1.

The Limits of Noise Trading: An Experimental Analysis

AFA 2006 Boston Meetings Paper
Number of pages: 46 Posted: 15 Mar 2005
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 0 (96,520)

Abstract:

behavioral finance, noise, limits to arbitrage, day trading, experiments, Tobin tax, securities transactions tax, informational efficiency, liquidity, volatility