Mao Ye

Cornell University

Mao Ye

349 Sage Hall

114 E Ave

ITHACA, NY 148536201

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Cornell SC Johnson College of Business

Ithaca, NY 14850

United States

  • Cornell University

  • National Bureau of Economic Research (NBER)

  • Cornell SC Johnson College of Business

SCHOLARLY PAPERS

22

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19,019

TOTAL CITATIONS
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Top 3,766

in Total Papers Citations

305

Scholarly Papers (22)

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1.

The Externalities of High Frequency Trading

WBS Finance Group Research Paper No. 180
Number of pages: 56 Posted: 26 May 2012 Last Revised: 26 Dec 2019
Mao Ye, Chen Yao and Jiading Gai
Cornell University, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 3,745 (6,176)
Citation 35

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Externality, Positional Game, High-Frequency Trading, Liquidity, Price Efficiency, Quote Stuffing , Supercomputing

2.

What’s Not There: The Odd-Lot Bias in TAQ Data

Downloads 2,158 (14,859)
Citation 20

What’s Not There: The Odd-Lot Bias in TAQ Data

Johnson School Research Paper Series No. 31-2011, Midwest Finance Association 2012 Annual Meetings Paper, WBS Finance Group Research Paper No. 167
Number of pages: 47 Posted: 23 Jul 2011 Last Revised: 26 Dec 2019
Maureen O'Hara, Chen Yao and Mao Ye
Cornell University - Samuel Curtis Johnson Graduate School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Cornell University
Downloads 1,447 (27,151)
Citation 6

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TAQ data, Odd-lots, Price Discovery, Transparency, Order Imbalance, Retail Trading

What’s Not There: The Odd-Lot Bias in TAQ Data

Johnson School Research Paper Series No. 16-2012, AFA 2013 San Diego Meetings Paper, WBS Finance Group Research Paper No. 176
Number of pages: 57 Posted: 17 Mar 2012 Last Revised: 26 Dec 2019
Maureen O'Hara, Chen Yao and Mao Ye
Cornell University - Samuel Curtis Johnson Graduate School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Cornell University
Downloads 711 (73,663)
Citation 14

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3.

A Glimpse into the Dark: Price Formation, Transaction Cost and Market Share of the Crossing Network

Number of pages: 59 Posted: 10 Jan 2010 Last Revised: 19 Jun 2011
Mao Ye
Cornell University
Downloads 1,582 (24,152)
Citation 49

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Crossing Network, Dark Pool, Price Discovery, Liquidity

4.

Sparse Signals in the Cross-Section of Returns

Downloads 1,176 (30,401)
Citation 2

Sparse Signals in the Cross-Section of Returns

Number of pages: 50 Posted: 16 May 2015 Last Revised: 17 Feb 2017
Alex Chinco, Adam D. Clark-Joseph and Mao Ye
City University of NY, Baruch College, Zicklin School of Business, University of Illinois at Urbana-Champaign and Cornell University
Downloads 1,176 (36,790)
Citation 2

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Return Predictability, Out-of-Sample Fit, Sparsity, The LASSO

5.

Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls

Number of pages: 44 Posted: 10 Aug 2014 Last Revised: 13 Aug 2017
Chen Yao and Mao Ye
The Chinese University of Hong Kong (CUHK) - CUHK Business School and Cornell University
Downloads 1,147 (38,740)
Citation 49

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High-Frequency Trading, Liquidity, Tick Size, Price Controls, Queue Rationing

6.

Who Provides Liquidity and When?

Downloads 1,015 (43,856)
Citation 1

Who Provides Liquidity and When?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 54 Posted: 21 Jan 2017 Last Revised: 08 Jun 2020
Sida Li, Xin Wang and Mao Ye
Brandeis University, Nanyang Technological University (NTU) - Division of Banking & Finance and Cornell University
Downloads 1,015 (45,481)
Citation 1

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Algorithmic trading, High-frequency trading, Liquidity, Tick Size

7.

Information Diffusion on Social Media: Does It Affect Trading, Return, and Liquidity?

Number of pages: 45 Posted: 20 Mar 2017 Last Revised: 14 Feb 2022
Nitesh Chawla, Zhi Da, Jian Xu and Mao Ye
University of Notre Dame, University of Notre Dame - Mendoza College of Business, University of Notre Dame and Cornell University
Downloads 1,029 (45,330)
Citation 7

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Information Diffusion, Price Pressure, Social Media, Liquidity

8.

Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures

Review of Financial Studies, 2019
Number of pages: 65 Posted: 26 Nov 2014 Last Revised: 30 Jul 2019
Yong Chao, Chen Yao and Mao Ye
University of Louisville - College of Business - Department of Economics, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Cornell University
Downloads 843 (59,722)
Citation 15

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price dispersion, market fragmentation, make-take fees, exchange competition, two-sided market

9.

Strategic Informed Trading and Dark Pools

Number of pages: 53 Posted: 12 Dec 2018 Last Revised: 02 Feb 2020
Mao Ye and Wei Zhu
Cornell University and University of Illinois at Urbana-Champaign - Department of Accountancy
Downloads 745 (70,398)
Citation 1

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Dark pool, rational expectations equilibrium, price discovery, shareholder activism, Schedule 13D filings

10.

Tick Size Constraints, Market Structure, and Liquidity

WBS Finance Group Research Paper No. 212
Number of pages: 51 Posted: 24 Nov 2013 Last Revised: 26 Dec 2019
Mao Ye and Chen Yao
Cornell University and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 705 (75,636)

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price constraints, high-frequency trading, maker/taker fees, liquidity, tick size non-price competition

11.

Big Data in Finance

Downloads 608 (80,479)

Big Data in Finance

Number of pages: 20 Posted: 22 Mar 2021
Itay Goldstein, Chester S. Spatt and Mao Ye
University of Pennsylvania - The Wharton School - Finance Department, Carnegie Mellon University - David A. Tepper School of Business and Cornell University
Downloads 608 (90,068)

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Big Data

12.

Price Ceilings, Market Structure, and Payout Policies

Number of pages: 79 Posted: 16 Nov 2018 Last Revised: 22 Jan 2024
Xiongshi Li, Mao Ye and Miles Zheng
Guangxi University of Finance and Economics, Cornell University and Texas Christian University - M.J. Neeley School of Business
Downloads 628 (87,553)
Citation 3

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Market Structure, Share Repurchase, Queue Competition, Dark Pool, Regulation

13.

The Effect of Tick Size on Managerial Learning from Stock Prices

Journal of Accounting & Economics (JAE), Forthcoming
Number of pages: 50 Posted: 04 Feb 2020 Last Revised: 19 May 2022
Mao Ye, Miles Zheng and Wei Zhu
Cornell University, Texas Christian University - M.J. Neeley School of Business and University of Illinois at Urbana-Champaign - Department of Accountancy
Downloads 606 (91,640)
Citation 48

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tick size; managerial learning; revelatory price efficiency; investment–q sensitivity; management capex forecast; market feedback

14.

Price Manipulation, Price Discovery and Transaction Costs in the Crossing Network

Number of pages: 57 Posted: 18 Mar 2012
Mao Ye
Cornell University
Downloads 561 (101,053)
Citation 17

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crossing network, dark pool, price manipulation, price discovery, liquidity, rational expectation equilibrium

15.

Designated Market Makers Still Matter: Evidence from Two Natural Experiments

Downloads 555 (102,432)
Citation 22

Designated Market Makers Still Matter: Evidence from Two Natural Experiments

Journal of Financial Economics (JFE), Forthcoming, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 36 Posted: 04 Jun 2016 Last Revised: 16 Nov 2016
Adam D. Clark-Joseph, Mao Ye and Chao Zi
University of Illinois at Urbana-Champaign, Cornell University and University of Illinois at Urbana-Champaign
Downloads 336 (182,083)
Citation 2

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Designated Market Makers, Liquidity, High-Frequency Trading

Designated Market Makers Still Matter: Evidence from Two Natural Experiments

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 36 Posted: 01 Aug 2016 Last Revised: 20 Oct 2016
Adam D. Clark-Joseph, Mao Ye and Chao Zi
University of Illinois at Urbana-Champaign, Cornell University and University of Illinois at Urbana-Champaign
Downloads 219 (282,422)
Citation 20

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Market Makers, HFTs, Liquidity, Obligations, Trading halt

16.

Discrete Pricing and Market Fragmentation: A Tale of Two-Sided Markets

American Economic Review, Vol. 107, No. 5, 2017
Number of pages: 5 Posted: 23 Jan 2017
Yong Chao, Chen Yao and Mao Ye
University of Louisville - College of Business - Department of Economics, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Cornell University
Downloads 554 (102,661)
Citation 19

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Discrete Pricing, Market Fragmentation, Two-Sided Markets

17.

Investment-Horizon Spillovers: Evidence From Decomposing Trading-Volume Variance

Downloads 405 (149,444)
Citation 2

Investment-Horizon Spillovers: Evidence From Decomposing Trading-Volume Variance

Number of pages: 49 Posted: 04 Jan 2015 Last Revised: 02 Jun 2016
Alex Chinco and Mao Ye
City University of NY, Baruch College, Zicklin School of Business and Cornell University
Downloads 275 (225,217)
Citation 2

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Investment Horizon, Trading Volume, Wavelet Variance

Investment-Horizon Spillovers

Number of pages: 36 Posted: 05 Jun 2016 Last Revised: 25 Jul 2017
Alex Chinco and Mao Ye
City University of NY, Baruch College, Zicklin School of Business and Cornell University
Downloads 130 (446,973)

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Investment Horizon, Trading Volume, Wavelet Variance

18.

Non-Execution and Market Share of Crossing Networks

Number of pages: 57 Posted: 04 Dec 2010
Mao Ye
Cornell University
Downloads 369 (165,791)
Citation 11

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Dark Pool, Crossing Network, Non-execution, Execution Probability, Transaction Costs

19.

When Exchanges Are Not Exchanges: Evidence From Two Types of Dark Trading

Number of pages: 45 Posted: 13 Apr 2024
Yunus Topbas and Mao Ye
Peking University HSBC Business School and Cornell University
Downloads 269 (231,865)

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Transparency, Dark Trading, ATSs (Alternative Trading Systems), Non-ATSs, Market Quality, Retail Trading

20.

When A Market Is Not Legally Defined As A Market: Evidence From Two Types of Dark Trading

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023
Number of pages: 46 Posted: 31 Oct 2023
Yunus Topbas and Mao Ye
Northwestern University - Department of Economics and Cornell University
Downloads 138 (424,937)

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21.

Who Supplies Liquidity, and When?

Number of pages: 63 Posted: 15 Aug 2018
Sida Li, Xin Wang and Mao Ye
Brandeis University, Nanyang Technological University (NTU) - Division of Banking & Finance and Cornell University
Downloads 103 (530,367)
Citation 4

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22.

Value versus Values: Can Stock Liquidity Save the Planet?

Number of pages: 71 Posted: 02 Dec 2024
Zhenkai Ran and Mao Ye
University of Cambridge - Judge Business School and Cornell University
Downloads 78 (629,626)

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Stock liquidity, Environment, Institutional investors, Divest, Voice