Bidisha Chakrabarty

Saint Louis University - Richard A. Chaifetz School of Business

Edward Jones Endowed Chair Professor of Finance

3674 Lindell Blvd

St. Louis, MO MO 63108-3397

United States

http://business.slu.edu/departments/finance/faculty-staff/bidisha-chakrabarty

SCHOLARLY PAPERS

28

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8,770

SSRN CITATIONS
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Top 11,743

in Total Papers Citations

61

CROSSREF CITATIONS

44

Scholarly Papers (28)

1.

Evaluating Trade Classification Algorithms: Bulk Volume Classification versus the Tick Rule and the Lee-Ready Algorithm

Journal of Financial Markets, Forthcoming
Number of pages: 59 Posted: 30 Nov 2012 Last Revised: 17 Jun 2015
Bidisha Chakrabarty, Roberto Pascual and Andriy Shkilko
Saint Louis University - Richard A. Chaifetz School of Business, Universidad de las Islas Baleares and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 1,240 (20,497)
Citation 22

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trade classification, bulk volume classification, tick rule, Lee and Ready, VPIN

2.

Momentum Strategies and Financial Databases: An Investigation of Intraday Pattern in Price Momentum

Number of pages: 31 Posted: 22 Oct 2004 Last Revised: 31 Mar 2017
Bidisha Chakrabarty and Charles Trzcinka
Saint Louis University - Richard A. Chaifetz School of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 854 (35,088)

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Momentum strategies, Financial Databases, Market Timing, CRSP, TAQ, Intraday Prices

3.

Attention: How High-Frequency Trading Improves Price Efficiency Following Earnings Announcements

Journal of Financial Markets, Forthcoming
Number of pages: 58 Posted: 25 Jul 2015 Last Revised: 21 Sep 2021
Bidisha Chakrabarty, Pamela C. Moulton and Xu (Frank) Wang
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Saint Louis University - Chaifetz School of Business
Downloads 683 (47,548)
Citation 7

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High-frequency trading, limited attention, price efficiency, earnings announcements

4.

The Performance of Short-term Institutional Trades

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 52 Posted: 16 Feb 2013 Last Revised: 19 May 2016
Bidisha Chakrabarty, Pamela C. Moulton and Charles Trzcinka
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 539 (64,329)
Citation 12

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Institutional trading, short-term trades, trading skill, information

5.

Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5

Management Science, Forthcoming
Number of pages: 38 Posted: 21 Sep 2013 Last Revised: 31 Jul 2019
Saint Louis University - Richard A. Chaifetz School of Business, University of Memphis - Fogelman College of Business and Economics, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 502 (70,329)
Citation 5

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Liquidity; Unfiltered Market Access; Picking Off Risk; Latency-Sensitive Trading

6.

High-Frequency Traders and Price Informativeness during Earnings Announcements

Review of Accounting Studies, Forthcoming
Number of pages: 63 Posted: 09 Jul 2016 Last Revised: 26 May 2020
Neil Bhattacharya, Bidisha Chakrabarty and Xu (Frank) Wang
Singapore Management University - School of Accountancy, Saint Louis University - Richard A. Chaifetz School of Business and Saint Louis University - Chaifetz School of Business
Downloads 488 (72,788)
Citation 5

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High Frequency Trading; earnings announcements; earnings response coefficient; price impact of trades; analyst forecast

7.

Information transfers and learning in financial markets: Evidence from short selling around insider sales

Journal of Banking and Finance, Forthcoming
Number of pages: 43 Posted: 15 Jan 2008 Last Revised: 07 Jan 2013
Bidisha Chakrabarty and Andriy Shkilko
Saint Louis University - Richard A. Chaifetz School of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 415 (88,245)
Citation 7

Abstract:

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Insider trading; Short selling; Information transfers; Brokerage effect

8.

A New Approach to Estimating the Relation between Audit Fees and Financial Misconduct

Number of pages: 45 Posted: 03 Nov 2015 Last Revised: 05 Sep 2019
Bidisha Chakrabarty, Scott Duellman and Michael Hyman
Saint Louis University - Richard A. Chaifetz School of Business, Saint Louis University - Department of Accounting and Syracuse University - Joseph I. Lubin School of Accounting
Downloads 392 (94,257)

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Audit Fees; Benford Score; Financial Misconduct; Fraud

9.

A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market

CAEPR Working Paper No. 2006-015
Number of pages: 52 Posted: 04 Oct 2006
Bidisha Chakrabarty, Konstantin Tyurin, Zhaohui Han and Xiaoyong Zheng
Saint Louis University - Richard A. Chaifetz School of Business, ITG Inc., Financial Engineering, Financial Engineering Group, ITG Inc. and North Carolina State University
Downloads 382 (97,226)
Citation 3

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Market microstructure, limit order, competing risks, hazard rate, frailty

10.

CFO Gender and Financial Statement Irregularities

Forthcoming, Academy of Management Journal
Number of pages: 58 Posted: 06 Jun 2019
University of Alabama - Department of Management, University of Alabama - Culverhouse College of Commerce & Business Administration, Saint Louis University - Richard A. Chaifetz School of Business, University of Alabama and University of Missouri - Department of Management
Downloads 364 (102,665)
Citation 1

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Executive Gender, Upper Echelon, Female, Corporate Governance, CFO, Financial Misreporting

11.

Catch Me If You Can: Improving the Scope and Accuracy of Fraud Prediction

Number of pages: 51 Posted: 09 Apr 2019 Last Revised: 15 Feb 2020
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business, Saunders College of Business and Saint Louis University - Chaifetz School of Business
Downloads 352 (106,540)
Citation 4

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fraud; accounting quality; Benford’s Law; F-score; earnings manipulation; earnings misstatement

12.

Management Risk Incentives and the Readability of Corporate Disclosures

Financial Management, Forthcoming
Number of pages: 54 Posted: 09 Feb 2014 Last Revised: 11 Feb 2021
Saint Louis University - Richard A. Chaifetz School of Business, Saint Louis University - Department of Accounting, University of Central Oklahoma and Saint Louis University - Chaifetz School of Business
Downloads 282 (135,351)

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Executive Compensation; Disclosure Obfuscation; Option Vega; Textual Analysis

13.

Order Exposure in High Frequency Markets

Number of pages: 50 Posted: 21 Nov 2017 Last Revised: 13 Dec 2020
Saint Louis University - Richard A. Chaifetz School of Business, University of California, Berkeley - Haas School of Business, Indian Institute of Management Udaipur and Universidad de las Islas Baleares
Downloads 265 (144,308)
Citation 1

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Hidden orders, high frequency trading, order exposure

14.

When a Halt is Not a Halt: An Analysis of Off-NYSE Trading During NYSE Market Closures

Journal of Financial Intermediation, Forthcoming
Number of pages: 45 Posted: 20 Mar 2007 Last Revised: 15 Jun 2011
Bidisha Chakrabarty, Shane A. Corwin and Marios A. Panayides
Saint Louis University - Richard A. Chaifetz School of Business, University of Notre Dame - Mendoza College of Business and University of Cyprus - Department of Accounting and Finance
Downloads 242 (157,764)
Citation 2

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Trading halt, Price discovery, Off-NYSE trading, ECN

Earnings Announcements and Attention Constraints: The Role of Market Design

Number of pages: 53 Posted: 11 Mar 2009 Last Revised: 12 Jan 2012
Bidisha Chakrabarty and Pamela C. Moulton
Saint Louis University - Richard A. Chaifetz School of Business and Cornell University - SC Johnson College of Business
Downloads 238 (159,893)
Citation 8

Abstract:

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earnings announcements, disclosure, attention constraints, limited attention, dedicated market makers, liquidity

Earnings Announcements and Attention Constraints: The Role of Market Design

Journal of Accounting & Economics (JAE), Forthcoming
Posted: 22 Jan 2012
Bidisha Chakrabarty and Pamela C. Moulton
Saint Louis University - Richard A. Chaifetz School of Business and Cornell University - SC Johnson College of Business

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earnings announcements, liquidity, attention constraints, market microstructure

Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited

Number of pages: 42 Posted: 07 Feb 2011 Last Revised: 12 Jan 2012
Bidisha Chakrabarty, Pamela C. Moulton and Andriy Shkilko
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 211 (179,553)
Citation 11

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Trade Classification, Short Sales, Lee-Ready, Trade Initiation

Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited

Journal of Financial Markets, Forthcoming
Posted: 22 Jan 2012
Bidisha Chakrabarty, Pamela C. Moulton and Andriy Shkilko
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics

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trade classification, short sales, long sales, Lee-Ready algorithm, short sale aggressiveness

17.

Effects of a Speed Bump on Market Quality and Exchange Competition

Number of pages: 64 Posted: 08 Nov 2018 Last Revised: 26 Oct 2020
Bidisha Chakrabarty, Jianning Huang and Pankaj K. Jain
Saint Louis University - Richard A. Chaifetz School of Business, Saint Francis Xavier University and University of Memphis - Fogelman College of Business and Economics
Downloads 206 (183,843)
Citation 1

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Speed bump; High-speed trading; Stock-exchange performance; Multi market trading; Market quality

18.

Trade Classification Algorithms for Electronic Communications Network Trades

Journal of Banking and Finance, Forthcoming
Number of pages: 27 Posted: 22 Jan 2007
Bidisha Chakrabarty, Bingguang Li, Vanthuan Nguyen and Robert A. Van Ness
Saint Louis University - Richard A. Chaifetz School of Business, Shenandoah University - Harry F. Byrd, Jr. School of Business, Morgan State University and University of Mississippi - Department of Finance
Downloads 203 (186,386)
Citation 4

Abstract:

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Trade classification, Lee and Ready algorithms, tick rule, quote rule

19.

Do Dealers Infer Information from Order Flow?

Number of pages: 40 Posted: 22 Oct 2004
Bidisha Chakrabarty
Saint Louis University - Richard A. Chaifetz School of Business
Downloads 187 (200,762)

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Dealer Market, Quote Leadership, Error Correction, Co-Integration, NASDAQ, Information Signal

20.

Can Sub-Penny Pricing Reduce Trading Costs?

Number of pages: 37 Posted: 22 Oct 2004
Bidisha Chakrabarty and Kee H. Chung
Saint Louis University - Richard A. Chaifetz School of Business and State University of New York at Buffalo - School of Management
Downloads 179 (208,616)
Citation 2

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Decimalization, Sub-penny Quotation, Markov Chain Monte Carlo, Quote Aggressiveness, Spreads, Electronic Communications Networks

21.

The Effect of Regulatory Reforms on Institutional and Retail Investors: Evidence from Restatements before and after the Sarbanes-Oxley Act

Number of pages: 41 Posted: 14 Jan 2011 Last Revised: 27 Feb 2012
Bidisha Chakrabarty, Ananth Seetharaman and Weimin Wang
Saint Louis University - Richard A. Chaifetz School of Business, Saint Louis University - Department of Accounting and Saint Louis University
Downloads 133 (266,451)

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Restatement, Sarbanes-Oxley, Retail and Institutional Investors

22.

Effects of a Speed Bump on Market Quality and Exchange Competition

Number of pages: 64 Posted: 19 Jun 2018 Last Revised: 26 Oct 2020
Bidisha Chakrabarty, Jianning Huang and Pankaj K. Jain
Saint Louis University - Richard A. Chaifetz School of Business, Saint Francis Xavier University and University of Memphis - Fogelman College of Business and Economics
Downloads 125 (279,086)
Citation 1

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Speed bump; High-speed trading; Stock-exchange performance; Multi market trading; Market quality

23.

The Effect of Disclosure Opacity on Trading Opacity: New Evidence from ADR Trades in Dark Pools

Pace University Finance Research Paper No. 2019/01
Number of pages: 64 Posted: 07 May 2019 Last Revised: 24 Oct 2020
Thomas J. Boulton, Marcus V. Braga-Alves and Bidisha Chakrabarty
Miami University, Pace University - Lubin School of Business and Saint Louis University - Richard A. Chaifetz School of Business
Downloads 92 (343,877)

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Accounting quality, Disclosure, Dark pools, Liquidity, Opacity

24.

Tick Size Pilot Program and the Information Structure of US Stock Markets

Number of pages: 43 Posted: 15 Oct 2019 Last Revised: 02 Mar 2021
Bidisha Chakrabarty, Justin Cox and James Upson
Saint Louis University - Richard A. Chaifetz School of Business, Appalachian State University and University of Texas at El Paso
Downloads 75 (388,577)

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Tick size pilot program, Information structure, ISO, Price Discovery

25.

Trading System Upgrades and Short-Sale Bans: Uncoupling the Effects of Technology and Regulation

Journal of Empirical Finance, Forthcoming
Number of pages: 43 Posted: 27 Jan 2016 Last Revised: 24 May 2017
Bidisha Chakrabarty, Pamela C. Moulton and Roberto Pascual
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Universidad de las Islas Baleares
Downloads 68 (409,917)
Citation 1

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Technological Upgrades, SIBE-Smart, Colocation, Short-Sale Ban, High-Speed Trading, Equity Market Liquidity

26.

Stock Liquidity and Algorithmic Market Making During the COVID-19 Crisis

Number of pages: 45 Posted: 10 Jun 2021
Bidisha Chakrabarty and Roberto Pascual
Saint Louis University - Richard A. Chaifetz School of Business and Universidad de las Islas Baleares
Downloads 51 (470,665)

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COVID-19, algorithmic trading, liquidity, efficiency, competition

Hidden Liquidity: Order Exposure Strategies Around Earnings Announcements

Journal of Business Finance & Accounting, Vol. 35, Issue 9-10, pp. 1220-1244, November/December 2008
Number of pages: 25 Posted: 21 Nov 2008
Bidisha Chakrabarty and Kenneth W. Shaw
Saint Louis University - Richard A. Chaifetz School of Business and University of Missouri at Columbia - School of Accountancy
Downloads 2 (810,199)
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Hidden Liquidity: Order Exposure Strategies Around Earnings Announcements

Journal of Business, Finance and Accounting, Forthcoming
Posted: 08 Jul 2008
Bidisha Chakrabarty and Kenneth W. Shaw
Saint Louis University - Richard A. Chaifetz School of Business and University of Missouri at Columbia - School of Accountancy

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Hidden Orders, ECNs, Earnings announcement

28.

Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders

Posted: 25 Mar 2008
Konstantin Tyurin and Bidisha Chakrabarty
ITG Inc., Financial Engineering and Saint Louis University - Richard A. Chaifetz School of Business

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Fleeting Orders, Quote Aggressiveness, Competing Risks, Principal Components, Order cancellation