Kerry Back

Rice University - Jones Graduate School of Business and Department of Economics

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

17

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CITATIONS
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Top 12,108

in Total Papers Citations

33

Scholarly Papers (17)

1.
Downloads 1,093 ( 15,387)
Citation 2

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 - Jones Graduate School of Business and Department of Economics, City University of Hong Kong (CityUHK) - Department of Economics & Finance and New York University (NYU) - Department of Finance
Downloads 1,078 (15,418)
Citation 2

Abstract:

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 - Jones Graduate School of Business and Department of Economics, City University of Hong Kong (CityUHK) - Department of Economics & Finance and New York University (NYU) - Department of Finance
Downloads 15 (496,517)
Citation 2

Abstract:

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 - Jones Graduate School of Business and Department of Economics, City University of Hong Kong (CityUHK) - Department of Economics & Finance and New York University (NYU) - Department of Finance
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Citation 2
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Abstract:

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

2.

Identifying Information Asymmetry in Securities Markets

Number of pages: 93 Posted: 16 Feb 2015 Last Revised: 02 Sep 2017
Kerry Back, Kevin Crotty and Tao Li
Rice University - Jones Graduate School of Business and Department of Economics, Rice University and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 441 (53,760)

Abstract:

PIN, Kyle Lambda, Information Asymmetry, Order Flow

3.

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 - Jones Graduate School of Business and Department of Economics and Rice University
Downloads 253 (75,282)
Citation 1

Abstract:

Informed trading, price impact, liquidity

Activism, Strategic Trading, and Liquidity

European Corporate Governance Institute (ECGI) - Finance Working Paper No. 497/2017
Number of pages: 54 Posted: 23 Nov 2016 Last Revised: 18 Oct 2017
Rice University - Jones Graduate School of Business and Department of Economics, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance, City University of Hong Kong (CityUHK) - Department of Economics & Finance and New York University (NYU) - Department of Finance
Downloads 227 (113,530)

Abstract:

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: 20 Dec 2016
Rice University - Jones Graduate School of Business and Department of Economics, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance, City University of Hong Kong (CityUHK) - Department of Economics & Finance and New York University (NYU) - Department of Finance
Downloads 11 (519,804)
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Abstract:

Activism, Strategic Trading, and Liquidity

CEPR Discussion Paper No. DP12372
Number of pages: 51 Posted: 16 Oct 2017
Rice University - Jones Graduate School of Business and Department of Economics, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance, City University of Hong Kong (CityUHK) - Department of Economics & Finance and New York University (NYU) - Department of Finance
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Abstract:

activism, continuous time, economic efficiency, Kyle model, liquidity, market depth, price impact, strategic trading

5.

Slopes as Factors: Characteristic Pure Plays

Number of pages: 41 Posted: 21 Jul 2013
Rice University - Jones Graduate School of Business and Department of Economics, Tulane University - A.B. Freeman School of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 229 (79,296)

Abstract:

factor pricing models, characteristics, anomalies, performance evaluation

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 - Jones Graduate School of Business and Department of Economics and John Street Capital
Downloads 199 (128,747)
Citation 8

Abstract:

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 - Jones Graduate School of Business and Department of Economics and John Street Capital

Abstract:

7.

Working Orders in Limit-Order Markets and Floor Exchanges

Number of pages: 36 Posted: 02 Nov 2005
Kerry Back and Shmuel Baruch
Rice University - Jones Graduate School of Business and Department of Economics and University of Utah - Department of Finance
Downloads 163 (145,825)
Citation 22

Abstract:

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

8.

Testing Factor Models on Characteristic and Covariance Pure Plays

Number of pages: 47 Posted: 24 Jun 2015 Last Revised: 13 Aug 2015
Rice University - Jones Graduate School of Business and Department of Economics, Tulane University - A.B. Freeman School of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 137 (56,538)

Abstract:

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

9.

A Characterization of the Coskewness-Cokurtosis Pricing Model

Number of pages: 9 Posted: 02 Jul 2014
Kerry Back
Rice University - Jones Graduate School of Business and Department of Economics
Downloads 93 (182,846)

Abstract:

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

10.

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 - Jones Graduate School of Business and Department of Economics, Rice University - Jesse H. Jones Graduate School of Business and Rice University
Downloads 56 (114,999)

Abstract:

Performance evaluation, coskewness, skewness, mutual fund

11.

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 - Jones Graduate School of Business and Department of Economics, Rice University, Jesse H. Jones Graduate School of Business, Students and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 40 (152,867)

Abstract:

Risk Aversion, Portfolio Choice

12.

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

Number of pages: 38 Posted: 09 Oct 2016
Kerry Back, Ruomeng Liu and Alberto Teguia
Rice University - Jones Graduate School of Business and Department of Economics, Rice University, Jesse H. Jones Graduate School of Business, Students and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 0 (195,762)

Abstract:

OTC markets, Transparency, Signaling

13.

Martingale Pricing

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

Abstract:

14.

Portfolio Turnpikes

Review of Financial Studies, Vol. 12, No. 1
Posted: 09 Sep 1998
Washington University in St. Louis - John M. Olin Business School, University of Cambridge - Centre for Mathematical Sciences and Rice University - Jones Graduate School of Business and Department of Economics

Abstract:

15.

Long-Lived Information and Intraday Patterns

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

Abstract:

16.

Imperfect Competition Among Informed Traders

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

Abstract:

17.

Yield Curve Models: A Mathematical Review

OLIN-96-04
Posted: 25 Jun 1997
Kerry Back
Rice University - Jones Graduate School of Business and Department of Economics

Abstract: