Ryan J. Davies

Babson College - Finance Division

Associate Professor

Tomasso Hall

Babson Park, MA 02457-0310

United States

http://faculty.babson.edu/rdavies/

SCHOLARLY PAPERS

16

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SSRN CITATIONS
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SSRN RANKINGS

Top 10,199

in Total Papers Citations

45

CROSSREF CITATIONS

50

Scholarly Papers (16)

1.

Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach

Cass Business School Research Paper, Journal of Derivatives and Hedge Funds, Vol. 15, No. 2, pp. 91-115, 2009
Number of pages: 33 Posted: 10 May 2004
Ryan J. Davies, Harry M. Kat and Sa Lu
Babson College - Finance Division, Independent and ISMA Centre, University of Reading
Downloads 3,578 (2,774)
Citation 14

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Hedge funds, asset allocation, diversification, skewness, kurtosis, optimisation

2.

MiFID and a Changing Competitive Landscape

Number of pages: 22 Posted: 08 Apr 2008 Last Revised: 31 Jul 2008
Ryan J. Davies
Babson College - Finance Division
Downloads 1,795 (8,926)
Citation 14

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MiFID, RegNMS, European securities regulation, internalization, transparency

3.
Downloads 1,013 ( 21,739)

Cross Hedging with Single Stock Futures

Number of pages: 32 Posted: 04 Nov 2004
Chris Brooks, Ryan J. Davies and Sang Soo Kim
University of Reading - ICMA Centre, Babson College - Finance Division and The Korea Development Bank
Downloads 1,013 (21,364)
Citation 3

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Basis risk, single stock futures, hedging, universal stock futures

Cross Hedging With Single Stock Futures

Assurances et Gestion des Risques, Vol. 74, No. 4, pp. 473-504, 2007
Posted: 16 Oct 2006
Chris Brooks, Ryan J. Davies and Sang Soo Kim
University of Reading - ICMA Centre, Babson College - Finance Division and The Korea Development Bank

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Single stock futures, hedging, Universal Stock Futures, OneChicago

4.
Downloads 648 ( 40,566)
Citation 10

Smart Fund Managers? Stupid Money?

Number of pages: 37 Posted: 10 May 2004 Last Revised: 07 Aug 2008
Dan Bernhardt and Ryan J. Davies
University of Illinois at Urbana-Champaign - Department of Economics and Babson College - Finance Division
Downloads 644 (40,311)

Abstract:

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turn-of-quarter effect, painting the tape, mutual fund performance, investment distortion

Smart Fund Managers? Stupid Money?

Canadian Journal of Economics, Vol. 42, Issue 2, pp. 719-748, May 2009
Number of pages: 30 Posted: 27 Apr 2009
Dan Bernhardt and Ryan J. Davies
University of Illinois at Urbana-Champaign - Department of Economics and Babson College - Finance Division
Downloads 4 (664,007)
Citation 1
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Smart Fund Managers? Stupid Money?

Canadian Journal of Economics, Forthcoming
Posted: 12 Aug 2008
Dan Bernhardt and Ryan J. Davies
University of Illinois at Urbana-Champaign - Department of Economics and Babson College - Finance Division

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turn-of-quarter effect, painting the tape, mutual fund performance, investment distortion

5.

The Economics and Regulation of Secondary Trading Markets

Presented at Initiating Conference 'New Special Study of the Securities Markets', held at Columbia Law School, 23 & 24 March 2017
Number of pages: 101 Posted: 03 Aug 2017
Ryan J. Davies and Erik R. Sirri
Babson College - Finance Division and Babson College
Downloads 382 (78,511)

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Regulation NMS, Regulation SCI, Trade-at Rule, Dark Pools, Tick Size Pilot, High Frequency Trading, Best Execution Obligations, Order Type Complexity, Payment for Order Flow, Maker-Taker Pricing, Flash Crashes, ETFs, Quote Stuffing, Blockchain, Market Data Ownership, Fixed Income Secondary Trading

Using Matched Samples to Test for Differences in Trade Execution Costs

Number of pages: 45 Posted: 03 Jun 2004
Ryan J. Davies and Sang Soo Kim
Babson College - Finance Division and The Korea Development Bank
Downloads 351 (85,961)
Citation 25

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Matched samples, market microstructure, bid-ask spreads

Using Matched Samples to Test for Differences in Trade Execution Costs

Journal of Financial Markets, Vol. 12, No. 2, pp. 173-202, 2009
Posted: 20 Nov 2007 Last Revised: 07 Apr 2009
Ryan J. Davies and Sang Soo Kim
Babson College - Finance Division and The Korea Development Bank

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Matched samples, market microstructure, bid-ask spreads

7.

Trade-Time Measures of Liquidity

The Review of Financial Studies (32)1, 126-179
Number of pages: 67 Posted: 20 Mar 2016 Last Revised: 04 Feb 2019
Yashar H. Barardehi, Dan Bernhardt and Ryan J. Davies
Chapman University - The George L. Argyros School of Business and Economics, University of Illinois at Urbana-Champaign - Department of Economics and Babson College - Finance Division
Downloads 320 (96,054)
Citation 3

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Liquidity, Trading costs, Trade time, Liquidity premium

8.

The Impact of Nonsynchronous Trading on Differences in Portfolio Cross-Autocorrelations

Number of pages: 31 Posted: 18 Apr 2007 Last Revised: 03 Sep 2008
Dan Bernhardt and Ryan J. Davies
University of Illinois at Urbana-Champaign - Department of Economics and Babson College - Finance Division
Downloads 241 (129,728)
Citation 3

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portfolio returns, autocorrelation, non-synchronous trading, market efficiency

Long-Term Information, Short-Lived Securities

Number of pages: 42 Posted: 17 Oct 2003
Dan Bernhardt, Ryan J. Davies and John Spicer
University of Illinois at Urbana-Champaign - Department of Economics, Babson College - Finance Division and European Economic Research Ltd.
Downloads 221 (140,793)
Citation 1

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Private information, Derivative securities, Rolling the hedge, Fixed transaction costs

Long-Term Information, Short-Lived Securities

Journal of Futures Markets, Vol. 26, No. 5, pp. 465-502, 2006
Posted: 08 Sep 2005
Dan Bernhardt, Ryan J. Davies and John Spicer
University of Illinois at Urbana-Champaign - Department of Economics, Babson College - Finance Division and European Economic Research Ltd.

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Private information, Derivative securities, Rolling the hedge, Fixed transaction costs

10.

Financial Intermediaries in the Midst of Market Manipulation: Did They Protect the Fool or Help the Knave?

Number of pages: 62 Posted: 14 Mar 2014 Last Revised: 07 May 2015
William and Mary - Raymond A. Mason School of Business, Babson College - Finance Division and Raymond A. Mason School of Business - William & Mary
Downloads 110 (253,611)
Citation 1

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Market manipulation, Bang the close, NYMEX, Futures contracts, Platinum, Palladium, Floor trading

11.

The Integrity of Closing Prices

Forthcoming, The Handbook of Financial Market Manipulation and Fraud, (Wiley) Edited by Carol Alexander and Douglas Cumming
Number of pages: 27 Posted: 13 Nov 2018
Ryan J. Davies
Babson College - Finance Division
Downloads 71 (333,738)

Abstract:

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painting the tape, portfolio pumping, stock pinning, collusion

12.

Stay-Out Adjustments and Multi-Year Regulatory Rate Plans

Number of pages: 29 Posted: 04 Dec 2015 Last Revised: 04 Sep 2018
Ryan J. Davies and Kathleen T. Hevert
Babson College - Finance Division and Babson College - Finance Division
Downloads 20 (533,068)

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stay-out premium; multi-year rate plans; rate of return regulation; rate freeze; utilities

13.

The Mifid: Competition in a New European Equity Market Regulatory Structure

Posted: 06 Dec 2005
Ryan J. Davies, Alfonso Dufour and Brian Scott-Quinn
Babson College - Finance Division, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre

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securities regulation, fragmentation, internalization, Europe

14.

Painting the Tape: Aggregate Evidence

Economics Letters, Vol. 89, pp. 306-311, 2005
Posted: 08 Sep 2005
Dan Bernhardt and Ryan J. Davies
University of Illinois at Urbana-Champaign - Department of Economics and Babson College - Finance Division

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turn-of-quarter effect, painting the tape, mutual fund performance, investment distortion

15.

Building a Competitive and Efficient European Financial Market

European Capital Markets Institute (ECMI) Short Paper No. 4, 2003
Posted: 01 Aug 2003
Ryan J. Davies, Alfonso Dufour and Brian Scott-Quinn
Babson College - Finance Division, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre

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16.

The Toronto Stock Exchange Preopening Session

Journal of Financial Markets, Vol. 6, No. 4, 2003
Posted: 04 Dec 2002
Ryan J. Davies
Babson College - Finance Division

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Registered trader, Market transparency, Interlisted securities, Price discovery