Ryan J. Davies

Babson College - Finance Division

Professor of Finance

220 Tomasso Hall

Babson Park, MA 02457-0310

United States

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

SCHOLARLY PAPERS

19

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56

CROSSREF CITATIONS

50

Scholarly Papers (19)

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 3,652 (3,692)
Citation 15

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

2.

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 29 Nov 2021
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, West Virginia University, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Management School, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Norwegian School of Economics (NHH), HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg - Luxembourg School of Finance, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Stockholm School of Economics, University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, Aalto University, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Aalto University
Downloads 2,430 (7,602)

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non-standard errors, multi-analyst approach, liquidity

3.

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 1,867 (11,198)
Citation 15

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MiFID, RegNMS, European securities regulation, internalization, transparency

4.
Downloads 1,073 ( 26,143)

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 1,073 (25,737)
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

5.
Downloads 667 ( 50,328)
Citation 11

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 663 (50,076)

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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 (804,699)
Citation 2
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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

6.

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 463 (79,561)

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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

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: 18 Dec 2020
Yashar H. Barardehi, Dan Bernhardt and Ryan J. Davies
Chapman University - The George L. Argyros School of Business & Economics, University of Illinois at Urbana-Champaign - Department of Economics and Babson College - Finance Division
Downloads 374 (102,053)
Citation 3

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Liquidity, Trading costs, Trade time, Liquidity premium

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 362 (104,994)
Citation 27

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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

9.

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 254 (154,110)
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 223 (174,446)
Citation 2

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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

11.

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 125 (285,582)
Citation 4

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

12.

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 117 (299,393)

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painting the tape, portfolio pumping, stock pinning, collusion

13.

Trading Costs and Priced Illiquidity in High Frequency Trading Markets

Number of pages: 56 Posted: 09 Jun 2015
Yashar H. Barardehi, Dan Bernhardt and Ryan J. Davies
Chapman University - The George L. Argyros School of Business & Economics, University of Illinois at Urbana-Champaign - Department of Economics and Babson College - Finance Division
Downloads 111 (310,765)

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liquidity, bid-ask spreads, Amihud, trading costs

14.

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 28 (595,046)

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

15.

Smart Fund Managers? Stupid Money? - Malins Gestionnaires De Fonds? Investisseurs Stupides?

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 42, Issue 2, pp. 719-748, 2009
Number of pages: 30 Posted: 05 May 2020
Dan Bernhardt and Ryan J. Davies
University of Illinois at Urbana-Champaign - Department of Economics and Babson College - Finance Division
Downloads 0 (818,233)
Citation 1
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16.

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

17.

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

18.

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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19.

The Toronto Stock Exchange Preopening Session

Posted: 04 Dec 2002
Ryan J. Davies
Babson College - Finance Division

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Registered trader, Market transparency, Interlisted securities, Price discovery