Robert H. Jennings

Indiana University - Kelley School of Business - Department of Finance

Chairperson, Finance Department and Professor of Finance

1309 E. 10th St.

Bloomington, IN 47405

United States

  • Indiana University - Kelley School of Business - Department of Finance

    • Email
    • Tel: 812-855-2696
    • Fax: 812-855-5875
SCHOLARLY PAPERS

17

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183

Scholarly Papers (17)

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1.

Can Brokers Have It All? On the Relation between Make-Take Fees and Limit Order Execution Quality

Number of pages: 52 Posted: 15 Dec 2013 Last Revised: 29 Oct 2015
Robert H. Battalio, Shane A. Corwin and Robert H. Jennings
University of Notre Dame - Department of Finance, University of Notre Dame - Mendoza College of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 2,878 (9,742)
Citation 57

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make take fees, limit order execution quality, best execution

2.

Order Dynamics: Recent Evidence from the NYSE

Journal of Empirical Finance, Vol. 14, No. 636-661, 2007
Number of pages: 40 Posted: 07 Aug 2003 Last Revised: 02 Sep 2017
Andrew Ellul, Pankaj K. Jain, Craig W. Holden and Robert H. Jennings
Indiana University - Kelley School of Business - Department of Finance, University of Memphis - Fogelman College of Business and Economics, Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 780 (68,885)
Citation 18

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Order choice, limit order, market order, automatic execution

3.

Deviations from Time Priority on the NYSE

Number of pages: 43 Posted: 03 Jan 2019
Robert H. Battalio, Robert H. Jennings and Bill McDonald
University of Notre Dame - Department of Finance, Indiana University - Kelley School of Business - Department of Finance and University of Notre Dame - Mendoza College of Business - Department of Finance
Downloads 674 (83,310)

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DMM, Floor Broker, Parity

4.

Wholesaler Execution Quality

Number of pages: 60 Posted: 28 Dec 2022 Last Revised: 19 Dec 2023
Robert H. Battalio and Robert H. Jennings
University of Notre Dame - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 622 (92,336)

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Payment for Order Flow, Execution Quality, Order Routing, Liquidity

5.

Difficulties in obtaining a representative sample of retail trades from public data sources

Number of pages: 59 Posted: 18 Oct 2023 Last Revised: 13 May 2024
Robert H. Battalio, Robert H. Jennings, Mehmet Saglam and Jun Wu
University of Notre Dame - Department of Finance, Indiana University - Kelley School of Business - Department of Finance, University of Cincinnati - Department of Finance - Real Estate and Wharton Research Data Services (WRDS)
Downloads 591 (98,551)
Citation 5

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Retail trades

6.

Public Disclosure and Private Decisions: Equity Market Execution Quality and Order Routing

Downloads 566 (104,089)
Citation 19

Public Disclosure and Private Decisions: Equity Market Execution Quality and Order Routing

Number of pages: 52 Posted: 17 Sep 2003
Robert H. Jennings, Ekkehart Boehmer and Li Wei
Indiana University - Kelley School of Business - Department of Finance, Singapore Management University - Lee Kong Chian School of Business and New York Stock Exchange NYSE - Strategy and Research
Downloads 566 (102,728)
Citation 19

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Disclosure regulation, execution quality, order routing decisions, SEC Rule 11Ac1-5

Public Disclosure and Private Decisions: Equity Market Execution Quality and Order Routing

Review of Financial Studies, Vol. 20, pp. 315-358, 2007
Posted: 21 Mar 2006
Robert H. Jennings, Ekkehart Boehmer and Li Wei
Indiana University - Kelley School of Business - Department of Finance, Singapore Management University - Lee Kong Chian School of Business and New York Stock Exchange NYSE - Strategy and Research

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Disclosure regulation, execution quality, order routing decisions, SEC Rule 11Ac1-5

Public Disclosure and Private Decisions: Equity Market Execution Quality and Order Routing

The Review of Financial Studies, Vol. 20, Issue 2, pp. 315-358, 2007
Posted: 17 Jul 2008
Ekkehart Boehmer, Robert H. Jennings and Li Wei
Singapore Management University - Lee Kong Chian School of Business, Indiana University - Kelley School of Business - Department of Finance and New York Stock Exchange NYSE - Strategy and Research

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7.

Is the Quote Midpoint the Right Point? Empirical Evidence of the Asymmetry of the Effective Spread

Number of pages: 25 Posted: 16 Mar 2006
Pankaj K. Jain, Robert H. Jennings and James E Upson
University of Memphis - Fogelman College of Business and Economics, Indiana University - Kelley School of Business - Department of Finance and University of Memphis - Fogelman College of Business and Economics
Downloads 542 (109,865)

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Effective Spreads, Market Microstructure, TORQ, SOD, midpoint

8.

Reputation Effects in Trading on the New York Stock Exchange

AFA 2006 Boston Meetings Paper
Number of pages: 45 Posted: 17 Mar 2005
Andrew Ellul, Robert H. Battalio and Robert H. Jennings
Indiana University - Kelley School of Business - Department of Finance, University of Notre Dame - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 491 (123,953)
Citation 6

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reputation, relationships

9.

The Relationship Among Market-Making Revenue, Payment for Order Flow, and Trading Costs for Market Orders

Downloads 358 (178,506)

The Relationship Among Market-Making Revenue, Payment for Order Flow, and Trading Costs for Market Orders

Number of pages: 33 Posted: 22 Aug 2001
Robert H. Jennings
Indiana University - Kelley School of Business - Department of Finance
Downloads 358 (176,871)

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Equity market micro-structure, trading costs, payment for order flow, execution quality

The Relationship Among Market-Making Revenue, Payment for Order Flow, and Trading Costs for Market Orders

Posted: 22 Aug 2001
Robert H. Jennings
Indiana University - Kelley School of Business - Department of Finance

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Equity market micro-structure, trading costs, payment for order flow, execution quality

10.

The Option Market's Anticipation of Information Content in Earnings Announcements

Review of Accounting Studies, Forthcoming
Number of pages: 47 Posted: 25 Mar 2011
Mary Brooke Billings and Robert H. Jennings
New York University and Indiana University - Kelley School of Business - Department of Finance
Downloads 328 (196,237)
Citation 10

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information content of earnings announcements, options, volatility, institutional ownership, information environment, return-earnings relation

11.

On Guidance and Volatility

Kelley School of Business Research Paper No. 2014-15
Number of pages: 56 Posted: 12 Jan 2014 Last Revised: 23 Oct 2014
Mary Brooke Billings, Robert H. Jennings and Baruch Lev
New York University, Indiana University - Kelley School of Business - Department of Finance and New York University - Stern School of Business
Downloads 316 (204,214)
Citation 67

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disclosure, earnings guidance, volatility, information environment, material news items, earnings announcements

12.

The Role of Reputation in Financial Markets: The Impact of Broker Dark Pool Scandals on Institutional Order Routing

Number of pages: 67 Posted: 03 Aug 2022 Last Revised: 31 May 2024
Robert H. Battalio, Shane A. Corwin, Robert H. Jennings, Antonino Emanuele Rizzo and Rafael Zambrana
University of Notre Dame - Department of Finance, University of Notre Dame - Mendoza College of Business, Indiana University - Kelley School of Business - Department of Finance, Nova School of Business and Economics and University of Notre Dame - Mendoza College of Business
Downloads 226 (287,577)

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Reputation, Dark Pool, Broker, Institutional Investor, Pension Fund, Mutual Fund, Trust

13.

Evidence of Informed Trading Prior to Earnings Announcements

NYU Working Paper No. FIN-94-001
Number of pages: 22 Posted: 11 Nov 2008
John Affleck-Graves, Robert H. Jennings and Richard R. Mendenhall
University of Notre Dame - Department of Finance, Indiana University - Kelley School of Business - Department of Finance and University of Notre Dame - Department of Finance
Downloads 207 (312,636)
Citation 1

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14.

Advertising for Liquidity on the New York Stock Exchange

Number of pages: 47 Posted: 07 Dec 2007
Robert H. Jennings and Ramabhadran S. Thirumalai
Indiana University - Kelley School of Business - Department of Finance and Indian School of Business
Downloads 157 (400,356)

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Gapped quotes, pre-trade transparency, liquidity

15.

Equity Exchange Fees and Revenues

Kelley School of Business Research Paper No. 19-22
Number of pages: 22 Posted: 07 Jun 2019 Last Revised: 03 Aug 2019
Ike Brannon and Robert H. Jennings
The Jack Kemp Foundation and Indiana University - Kelley School of Business - Department of Finance
Downloads 152 (411,456)

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market data fees, equity exchange revenues

16.

A Comparison of Equity Limit Order Execution Quality Across Trading Venues

Posted: 10 Aug 1998
Robert H. Battalio, Jason T. Greene, Brian C. Hatch and Robert H. Jennings
University of Notre Dame - Department of Finance, The University of Alabama in Huntsville, University of Cincinnati - Department of Finance - Real Estate and Indiana University - Kelley School of Business - Department of Finance

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17.

Soes Trading and Market Volatility

J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, June 1997
Posted: 16 Jul 1997
Robert H. Battalio, Brian C. Hatch and Robert H. Jennings
University of Notre Dame - Department of Finance, University of Cincinnati - Department of Finance - Real Estate and Indiana University - Kelley School of Business - Department of Finance

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Other Papers (1)

Total Downloads: 0
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1.

On the Potential Cost of Mandating Qualified Auctions for Marketable Retail Orders

The Journal of Investing, January 2024, 33 (1) 69-99 DOI: 10.3905/joi.2023.1.287
Posted: 11 Apr 2023 Last Revised: 15 Apr 2024
Robert H. Battalio and Robert H. Jennings
University of Notre Dame - Department of Finance and Indiana University - Kelley School of Business - Department of Finance

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Auctions Proposal, Order Competition Rule, Fade Analysis