Kerry Back

Rice University - Jesse H. Jones Graduate School of Business

J. Howard Creekmore Professor of Finance and Professor of Economics

6100 South Main Street

P.O. Box 1892

Houston, TX 77005-1892

United States

SCHOLARLY PAPERS

21

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6,376

SSRN CITATIONS
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SSRN RANKINGS

Top 10,801

in Total Papers Citations

86

CROSSREF CITATIONS

30

Scholarly Papers (21)

1.
Downloads 1,297 ( 19,101)
Citation 6

Liquidity and Governance

ECGI - Finance Working Paper No. 388
Number of pages: 51 Posted: 06 Nov 2013 Last Revised: 03 Jun 2015
Kerry Back, Tao Li and Alexander Ljungqvist
Rice University - Jesse H. Jones Graduate School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 1,264 (19,541)
Citation 5

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Liquidity, corporate governance, shareholder activism, hedge funds, shareholder proposals, Wall Street walk, Kyle models

Liquidity and Governance

NBER Working Paper No. w19669
Number of pages: 45 Posted: 23 Nov 2013 Last Revised: 03 Dec 2013
Kerry Back, Tao Li and Alexander Ljungqvist
Rice University - Jesse H. Jones Graduate School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 32 (572,996)

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Liquidity and Governance

CEPR Discussion Paper No. DP9739
Number of pages: 46 Posted: 19 Nov 2013
Kerry Back, Tao Li and Alexander Ljungqvist
Rice University - Jesse H. Jones Graduate School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 1 (822,731)
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corporate governance, hedge funds, Kyle models, Liquidity, shareholder activism, shareholder proposals, Wall Street walk

2.

Identifying Information Asymmetry in Securities Markets

Review of Financial Studies, Vol. 31, No. 6, pp. 2277–2325
Number of pages: 93 Posted: 16 Feb 2015 Last Revised: 25 Oct 2018
Kerry Back, Kevin Crotty and Tao Li
Rice University - Jesse H. Jones Graduate School of Business, Rice University - Jesse H. Jones Graduate School of Business and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 802 (38,184)
Citation 17

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PIN, Kyle Lambda, Information Asymmetry, Order Flow

3.
Downloads 724 ( 43,905)
Citation 11

Activism, Strategic Trading, and Liquidity

European Corporate Governance Institute (ECGI) - Finance Working Paper No. 497/2017, Swiss Finance Institute Research Paper No. 18-42
Number of pages: 56 Posted: 23 Nov 2016 Last Revised: 24 May 2018
Rice University - Jesse H. Jones Graduate School of Business, Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 698 (45,467)
Citation 3

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Kyle model, insider trading, strategic trading, asymmetric information, liquidity, price impact, market depth, activism, unobservable effort, economic efficiency, continuous time

Activism, Strategic Trading, and Liquidity

NBER Working Paper No. w22893
Number of pages: 48 Posted: 05 Dec 2016 Last Revised: 30 Aug 2021
Rice University - Jesse H. Jones Graduate School of Business, Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 24 (626,328)

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Activism, Strategic Trading, and Liquidity

CEPR Discussion Paper No. DP12372
Number of pages: 51 Posted: 16 Oct 2017
Rice University - Jesse H. Jones Graduate School of Business, Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 2 (809,377)
Citation 5
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activism, continuous time, economic efficiency, Kyle model, liquidity, market depth, price impact, strategic trading

4.

Testing Factor Models on Characteristic and Covariance Pure Plays

Number of pages: 47 Posted: 24 Jun 2015 Last Revised: 13 Aug 2015
Rice University - Jesse H. Jones Graduate School of Business, Tulane University - Finance & Economics and Rice University - Jesse H. Jones Graduate School of Business
Downloads 689 (46,903)

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factor pricing models, characteristics, Fama-Macbeth, errors-in-variables

5.

Slopes as Factors: Characteristic Pure Plays

Number of pages: 41 Posted: 21 Jul 2013
Rice University - Jesse H. Jones Graduate School of Business, Tulane University - Finance & Economics and Rice University - Jesse H. Jones Graduate School of Business
Downloads 497 (71,096)
Citation 10

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factor pricing models, characteristics, anomalies, performance evaluation

6.

Skewness Consequences of Seeking Alpha

Number of pages: 54 Posted: 03 Jul 2015 Last Revised: 13 May 2017
Kerry Back, Alan D. Crane and Kevin Crotty
Rice University - Jesse H. Jones Graduate School of Business, Rice University - Jesse H. Jones Graduate School of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 430 (84,578)
Citation 7

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Performance evaluation, coskewness, skewness, mutual fund

7.

The Informational Role of Stock and Bond Volume

Number of pages: 71 Posted: 21 Feb 2013 Last Revised: 19 Mar 2014
Kerry Back and Kevin Crotty
Rice University - Jesse H. Jones Graduate School of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 410 (89,390)
Citation 4

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Informed trading, price impact, liquidity

Signaling in OTC Markets: Benefits and Costs of Transparency

Number of pages: 49 Posted: 09 Oct 2016 Last Revised: 06 May 2018
Kerry Back, Ruomeng Liu and Alberto Teguia
Rice University - Jesse H. Jones Graduate School of Business, University of Nebraska at Lincoln and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 356 (104,282)
Citation 5

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OTC markets, Transparency, Signaling

Signaling in Over-the-Counter Markets: Benefits and Costs of Transparency

Number of pages: 40 Posted: 13 Nov 2017
Kerry Back, Ruomeng Liu and Alberto Teguia
Rice University - Jesse H. Jones Graduate School of Business, University of Nebraska at Lincoln and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 49 (486,436)
Citation 1

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OTC markets, Transparency, Signaling

9.

Increasing Risk Aversion and Life-Cycle Investing

Number of pages: 28 Posted: 04 Apr 2015 Last Revised: 27 Jul 2017
Kerry Back, Ruomeng Liu and Alberto Teguia
Rice University - Jesse H. Jones Graduate School of Business, University of Nebraska at Lincoln and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 300 (126,630)
Citation 1

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Risk Aversion, Portfolio Choice

Open Loop Equilibria and Perfect Competition in Option Exercise Games

Number of pages: 34 Posted: 31 May 2008 Last Revised: 13 Jan 2009
Kerry Back and Dirk Paulsen
Rice University - Jesse H. Jones Graduate School of Business and John Street Capital
Downloads 217 (174,628)
Citation 8

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real options, option exercise games, dynamic oligopoly, NPV rule, open loop equilibria, closed loop equilibria, singular control

Open-Loop Equilibria and Perfect Competition in Option Exercise Games

The Review of Financial Studies, Vol. 22, Issue 11, pp. 4531-4552, 2009
Posted: 08 Dec 2009
Kerry Back and Dirk Paulsen
Rice University - Jesse H. Jones Graduate School of Business and John Street Capital

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11.

Working Orders in Limit-Order Markets and Floor Exchanges

Number of pages: 36 Posted: 02 Nov 2005
Kerry Back and Shmuel Baruch
Rice University - Jesse H. Jones Graduate School of Business and University of Rome Tor Vergata, Department of Economics and Finance
Downloads 185 (202,360)
Citation 13

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Market microstructure, working orders, limit-order book, discretionary liquidity traders

12.

A Characterization of the Coskewness-Cokurtosis Pricing Model

Number of pages: 9 Posted: 02 Jul 2014
Kerry Back
Rice University - Jesse H. Jones Graduate School of Business
Downloads 180 (207,274)
Citation 2

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skewness, kurtosis, coskewness, cokurtosis, CAPM, stochastic discount factor

13.

Risk Premium Bounds: Slackness Tests and Return Predictions

Number of pages: 84 Posted: 21 Nov 2020
Rice University - Jesse H. Jones Graduate School of Business, Rice University - Jesse H. Jones Graduate School of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 121 (285,471)
Citation 1

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Risk premia, bounds, conditional tests, predictability

14.

Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading

Number of pages: 39 Posted: 29 Jun 2020 Last Revised: 11 Aug 2021
Rice University - Jesse H. Jones Graduate School of Business, Florida State University, Florida State University and EDHEC Business School and Scientific Beta Research Chair
Downloads 58 (443,491)

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Kyle's model, options, informed trading, optimal transport, asymmetric information, price impact, risk aversion

15.

Mediation and Strategic Delay in Bargaining

Number of pages: 28 Posted: 11 Mar 2021
Kerry Back and Paul Barton
Rice University - Jesse H. Jones Graduate School of Business and Securities and Exchange Commission (SEC)
Downloads 33 (553,493)

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bargaining, mediation, strategic delay

The Asset Pricing Implications of Plausible Deniability

Number of pages: 44 Posted: 04 Mar 2021
Rice University - Jesse H. Jones Graduate School of Business, Rice University and Rice University - Jesse H. Jones Graduate School of Business
Downloads 25 (619,042)

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disclosures, announcement returns

The Asset Pricing Implications of Plausible Deniability

NBER Working Paper No. w28348
Number of pages: 57 Posted: 19 Jan 2021 Last Revised: 17 Jun 2021
Rice University - Jesse H. Jones Graduate School of Business, Rice University and Rice University
Downloads 3 (798,587)
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17.

Martingale Pricing

Annual Review of Financial Economics, Vol. 2, pp. 235-250, 2010
Posted: 12 Nov 2010
Kerry Back
Rice University - Jesse H. Jones Graduate School of Business

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18.

Portfolio Turnpikes

Posted: 09 Sep 1998
Washington University in St. Louis - John M. Olin Business School, University of Cambridge - Centre for Mathematical Sciences and Rice University - Jesse H. Jones Graduate School of Business

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19.

Long-Lived Information and Intraday Patterns

OLIN-96-05
Posted: 09 Jul 1997
Kerry Back and Hal Pedersen
Rice University - Jesse H. Jones Graduate School of Business and affiliation not provided to SSRN

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20.

Yield Curve Models: A Mathematical Review

OLIN-96-04
Posted: 25 Jun 1997
Kerry Back
Rice University - Jesse H. Jones Graduate School of Business

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21.

Imperfect Competition Among Informed Traders

OLIN-96-03
Posted: 25 Jun 1997
Rice University - Jesse H. Jones Graduate School of Business, University of North Carolina (UNC) at Chapel Hill - Finance Area and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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