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

26

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6,929

CITATIONS
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Top 13,176

in Total Papers Citations

56

Scholarly Papers (26)

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 938 (23,579)
Citation 11

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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 821 (28,540)

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

3.

Attention Effects in a High-Frequency World

Number of pages: 64 Posted: 25 Jul 2015 Last Revised: 11 Apr 2019
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 536 (50,384)
Citation 3

Abstract:

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Limited attention, price efficiency, earnings announcements, high-frequency trading,

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 496 (55,586)
Citation 4

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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 443 (64,000)
Citation 3

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

6.

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 398 (72,802)
Citation 3

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Insider trading; Short selling; Information transfers; Brokerage effect

7.

Earnings Announcements in High Speed Markets: Do High Frequency Traders Bring Fundamental Information into Prices?

Number of pages: 58 Posted: 09 Jul 2016 Last Revised: 21 Apr 2018
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 367 (79,999)
Citation 1

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

8.

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 361 (81,526)
Citation 3

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

9.

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

Number of pages: 57 Posted: 03 Nov 2015 Last Revised: 30 Aug 2018
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 336 (88,505)

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Audit Fees, Misconduct; Resignations; Benford Score

10.

Management Risk Incentives and the Readability of Corporate Disclosures

Financial Management, Forthcoming
Number of pages: 54 Posted: 09 Feb 2014 Last Revised: 02 Jan 2018
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 264 (114,861)

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Executive Compensation; Disclosure Obfuscation; Option Vega; Textual Analysis

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 226 (134,036)
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

12.

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 223 (136,182)
Citation 1

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

13.

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 186 (161,410)

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

14.

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 181 (165,427)

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

15.

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 180 (166,255)

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

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 178 (167,961)
Citation 6

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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.

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 170 (174,903)
Citation 2

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

18.

Order Exposure in High Frequency Markets

Number of pages: 68 Posted: 21 Nov 2017 Last Revised: 10 May 2019
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 144 (201,009)

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Hidden orders, high frequency trading, order exposure

19.

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

Number of pages: 61 Posted: 09 Apr 2019
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business, University of Oklahoma - Michael F. Price College of Business, Students and Saint Louis University - Chaifetz School of Business
Downloads 139 (208,014)

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

20.

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 129 (219,504)

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Restatement, Sarbanes-Oxley, Retail and Institutional Investors

21.

Effects of a Speed Bump on Market Quality and Exchange Competition

Number of pages: 54 Posted: 19 Jun 2018 Last Revised: 18 Apr 2019
Bidisha Chakrabarty, Jianning Huang and Pankaj K. Jain
Saint Louis University - Richard A. Chaifetz School of Business, University of Memphis - Fogelman College of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 82 (299,184)

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

22.

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 63 (346,331)

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

23.

Effects of a Speed Bump on Market Quality and Exchange Competition

Number of pages: 54 Posted: 08 Nov 2018 Last Revised: 18 Apr 2019
Bidisha Chakrabarty, Jianning Huang and Pankaj K. Jain
Saint Louis University - Richard A. Chaifetz School of Business, University of Memphis - Fogelman College of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 43 (410,953)

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

24.

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

Pace University Finance Research Paper
Number of pages: 54 Posted: 07 May 2019
Thomas Jason Boulton, Marcus V. Braga-Alves and Bidisha Chakrabarty
Miami University, Pace University and Saint Louis University - Richard A. Chaifetz School of Business
Downloads 23 (501,848)

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Accounting quality, Disclosure, Dark pools, Liquidity, Opacity

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 (666,826)
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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

26.

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