Kenneth A. Kavajecz

Affiliation not provided to SSRN
SCHOLARLY PAPERS

14

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5,271

SSRN CITATIONS
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Top 2,483

in Total Papers Citations

173

CROSSREF CITATIONS

245

Scholarly Papers (14)

1.

Technical Analysis and Liquidity Provision

Rodney L. White Center for Financial Research Working Paper No. 11-02
Number of pages: 48 Posted: 25 Jul 2002
Elizabeth R. Odders-White and Kenneth A. Kavajecz
University of Wisconsin - Madison - Department of Finance, Investment and Banking and affiliation not provided to SSRN
Downloads 1,122 (18,400)
Citation 12

Abstract:

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What Does Equity Sector Orderflow Tell Us About the Economy?

Number of pages: 44 Posted: 21 Jun 2008
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 567 (47,046)
Citation 1

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orderflow, macroeconomy, sector rotation, style investing, asset allocation

What Does Equity Sector Orderflow Tell Us About the Economy?

AFA 2010 Atlanta Meetings Paper
Number of pages: 61 Posted: 23 Mar 2009 Last Revised: 05 Nov 2010
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 387 (75,568)
Citation 7

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What Does Equity Sector Orderflow Tell Us about the Economy?

EFA 2009 Bergen Meetings Paper
Number of pages: 51 Posted: 17 Feb 2009
Alessandro Beber, Kenneth A. Kavajecz and Michael W. Brandt
Cass Business School, affiliation not provided to SSRN and Duke University - Fuqua School of Business
Downloads 118 (239,028)
Citation 2

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What Does Equity Sector Orderflow Tell Us About the Economy?

NBER Working Paper No. w16534
Number of pages: 62 Posted: 22 Nov 2010
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 38 (445,749)

Abstract:

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3.

Liquidity Provision During Circuit Breakers and Extreme Market Movements

AFA 2001 New Orleans; Rodney L. White Ctr for Financial Research Working Paper No. 01-00
Number of pages: 49 Posted: 07 Mar 2000
Michael A. Goldstein and Kenneth A. Kavajecz
Babson College - Finance Division and affiliation not provided to SSRN
Downloads 602 (44,072)
Citation 13

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Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Number of pages: 37 Posted: 17 Mar 2006
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 469 (59,914)
Citation 50

Abstract:

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flight-to-quality, flight-to-liquidity, net order flow

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

NBER Working Paper No. w12376
Number of pages: 38 Posted: 26 Jul 2006 Last Revised: 28 Sep 2006
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 44 (420,638)
Citation 4

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Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

The Review of Financial Studies, Vol. 22, Issue 3, pp. 925-957, 2009
Posted: 17 Mar 2009
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN

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G10, G12

On the Formation and Structure of International Exchanges

AFA 2001 New Orleans; NYU Ctr for Law and Business Research Paper No. 00-08; RLW Center Working Paper No. 22-99
Number of pages: 33 Posted: 16 Nov 1999
Matthew J. Clayton, Bjorn Jorgensen and Kenneth A. Kavajecz
University of Virginia - McIntire School of Commerce, London School of Economics & Political Science (LSE) - Department of Accounting and Finance and affiliation not provided to SSRN
Downloads 404 (71,924)
Citation 12

Abstract:

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On the Formation and Structure of International Exchanges

NYU Working Paper No. FIN-99-057
Number of pages: 35 Posted: 11 Nov 2008
Matthew J. Clayton, Bjorn Jorgensen and Kenneth A. Kavajecz
University of Virginia - McIntire School of Commerce, London School of Economics & Political Science (LSE) - Department of Accounting and Finance and affiliation not provided to SSRN
Downloads 49 (401,914)

Abstract:

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6.

Price Discovery in the Treasury Futures Market

Number of pages: 36 Posted: 19 Nov 2006
Michael W. Brandt, Shane Underwood and Kenneth A. Kavajecz
Duke University - Fuqua School of Business, Baylor University and affiliation not provided to SSRN
Downloads 327 (92,444)
Citation 13

Abstract:

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price discovery, futures, order flow

7.

Packaging Liquidity: Blind Auctions and Transaction Cost Efficiencies

Rodney L. White Center Finance Working Paper
Number of pages: 43 Posted: 16 Aug 2002
Donald B. Keim and Kenneth A. Kavajecz
University of Pennsylvania - Wharton School and affiliation not provided to SSRN
Downloads 325 (93,071)
Citation 9

Abstract:

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Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

Rodney L. White Center for Financial Research Working Paper No. 14-02
Number of pages: 38 Posted: 02 Dec 2002
Michael W. Brandt and Kenneth A. Kavajecz
Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 217 (141,405)
Citation 1

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Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

NBER Working Paper No. w9529
Number of pages: 39 Posted: 03 Mar 2003 Last Revised: 31 Oct 2010
Michael W. Brandt and Kenneth A. Kavajecz
Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 45 (416,724)
Citation 5

Abstract:

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Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the Nyse

Rodney L. White Center Working Paper No. 14-98
Number of pages: 32 Posted: 02 Jul 1998
Michael A. Goldstein and Kenneth A. Kavajecz
Babson College - Finance Division and affiliation not provided to SSRN
Downloads 240 (127,931)
Citation 7

Abstract:

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Tick size, Limit Orders, Depth, Liquidity Provision

Eighths, Sixteenths, and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE

Journal of Financial Economics, Vol. 56, No. 1, pp. 125-149, April 2000
Posted: 09 Apr 2007
Michael A. Goldstein and Kenneth A. Kavajecz
Babson College - Finance Division and affiliation not provided to SSRN

Abstract:

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Tick size, Limit Orders, Depth, Liquidity Provision

10.

The Historical Dynamics of Financial Exchanges

Number of pages: 47 Posted: 05 Sep 2011 Last Revised: 07 Feb 2019
Bjorn Jorgensen, Kenneth A. Kavajecz and Scott N. Swisher
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, affiliation not provided to SSRN and Cambridge University - Faculty of Economics
Downloads 200 (153,066)
Citation 1

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Financial exchanges, entry, exit, mergers, hazard model

Mutual Fund Performance: Using Bespoke Benchmarks to Disentangle Mandates, Constraints and Skill

Number of pages: 47 Posted: 31 Jul 2018 Last Revised: 09 Feb 2019
Alessandro Beber, Michael W. Brandt, Jason Cen and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business, University of Essex - Essex Business School and affiliation not provided to SSRN
Downloads 106 (258,212)
Citation 1

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mutual funds, performance evaluation, benchmarks, constraints, active manager skill

Mutual Fund Performance: Using Bespoke Benchmarks to Disentangle Mandates, Constraints and Skill

Number of pages: 23 Posted: 22 Jul 2013
Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 11 (604,991)
Citation 1

Abstract:

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portfolio choice, investment decisions

12.

An Examination of Changes in Specialists' Posted Price Schedules

Rodney L. White Center Working Paper No. 11-97
Posted: 20 Nov 1997
Elizabeth R. Odders-White and Kenneth A. Kavajecz
University of Wisconsin - Madison - Department of Finance, Investment and Banking and affiliation not provided to SSRN

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13.

A Specialist's Quoted Depth and the Limit Order Book

Rodney L. White Center for Financial Research Working Paper No. 4-97
Posted: 08 Oct 1997
Kenneth A. Kavajecz
affiliation not provided to SSRN

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14.

A Specialist's Quoted Depth as a Strategic Choice Variable

12-96
Posted: 18 Sep 1996
Kenneth A. Kavajecz
affiliation not provided to SSRN

Abstract:

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