Michael A. Goldstein

Babson College - Finance Division

Professor of Finance

320 Tomasso Hall

Babson Park, MA 02457-0310

United States

http://faculty.babson.edu/goldstein/

  • Babson College - Finance Division

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    • Tel: 781-239-4402
    • Fax: 781-239-5004
SCHOLARLY PAPERS

28

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262

Scholarly Papers (28)

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1.

Dividend Policy and Market Movements

Number of pages: 40 Posted: 04 Jan 2006
Kathleen P. Fuller and Michael A. Goldstein
University of Mississippi - School of Business Administration and Babson College - Finance Division
Downloads 3,163 (3,219)
Citation 1

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Dividend policy, asymmetry, market movements

2.

High-Frequency Trading Strategies

Number of pages: 74 Posted: 25 May 2017 Last Revised: 20 Feb 2019
Michael A. Goldstein, Amy Kwan and Richard Philip
Babson College - Finance Division, University of Sydney Business School and University of Sydney Business School
Downloads 1,862 (7,941)

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High-frequency trading, institutional traders, retail traders, limit order book

3.

Do Dividends Matter More in Declining Markets?

Journal of Corporate Finance, Vol. 17, No. 3, June 2011, pp. 457-473, June 2011
Number of pages: 44 Posted: 20 Mar 2005 Last Revised: 06 May 2011
Kathleen P. Fuller and Michael A. Goldstein
University of Mississippi - School of Business Administration and Babson College - Finance Division
Downloads 1,157 (16,945)

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Dividend policy, asymmetry, market movements

4.

Transparency and Liquidity: A Controlled Experiment on Corporate Bonds

Downloads 896 ( 24,808)
Citation 67

Transparency and Liquidity: A Controlled Experiment on Corporate Bonds

AFA 2006 Boston Meetings Paper
Number of pages: 53 Posted: 19 Mar 2005
Edith S. Hotchkiss, Michael A. Goldstein and Erik R. Sirri
Boston College - Carroll School of Management, Babson College - Finance Division and Babson College
Downloads 896 (24,393)
Citation 67

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corporate bonds, transparency, transaction costs, TRACE

Transparency and Liquidity: A Controlled Experiment on Corporate Bonds

Review of Financial Studies, Vol. 20, No. 2, pp. 235-273, March 2007
Posted: 13 Apr 2007
Michael A. Goldstein, Edith S. Hotchkiss and Erik R. Sirri
Babson College - Finance Division, Boston College - Carroll School of Management and Babson College

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transparency, liquidity, corporate bonds

Transparency and Liquidity: A Controlled Experiment on Corporate Bonds

The Review of Financial Studies, Vol. 20, No. 2, pp. 235-273, 2007
Posted: 17 Jul 2008
Michael A. Goldstein, Edith S. Hotchkiss and Erik R. Sirri
Babson College - Finance Division, Boston College - Carroll School of Management and Babson College

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5.

The Value of a Millisecond: Harnessing Information in Fast, Fragmented Markets

Number of pages: 66 Posted: 28 Oct 2016 Last Revised: 20 Nov 2017
Haoming Chen, Sean Foley, Michael A. Goldstein and Thomas Ruf
University of New South Wales (UNSW), University of Sydney Business School, Babson College - Finance Division and University of New South Wales (UNSW)
Downloads 863 (26,142)

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Market Design, Speed Bump, Quote Fade, Liquidity Provision

6.

Brokerage Commissions and Institutional Trading Patterns

Downloads 733 ( 32,766)

Brokerage Commissions and Institutional Trading Patterns

Number of pages: 46 Posted: 12 Apr 2004 Last Revised: 04 Aug 2008
Paul J. Irvine, Michael A. Goldstein, Eugene Kandel and Zvi Wiener
Neeley School of Business, Babson College - Finance Division, Hebrew University of Jerusalem - Department of Economics and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 733 (32,267)
Citation 44

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Commissions, Brokers, Institutional Trading, bunching

Brokerage Commissions and Institutional Trading Patterns

The Review of Financial Studies, Vol. 22, Issue 12, pp. 5175-5212, 2009
Posted: 24 Nov 2009
Michael A. Goldstein, Paul J. Irvine, Eugene Kandel and Zvi Wiener
Babson College - Finance Division, Neeley School of Business, Hebrew University of Jerusalem - Department of Economics and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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G23, G24

7.

Dealer Behavior and the Trading of Newly Issued Corporate Bonds

AFA 2009 San Francisco Meetings Paper
Number of pages: 38 Posted: 19 Oct 2007 Last Revised: 20 Mar 2008
Michael A. Goldstein and Edith S. Hotchkiss
Babson College - Finance Division and Boston College - Carroll School of Management
Downloads 719 (33,636)
Citation 14

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corporate bonds, transparency, liquidity, TRACE, underpricing

8.

Liquidity Provision During Circuit Breakers and Extreme Market Movements

AFA 2001 New Orleans; Rodney L. White Ctr for Financial Research Working Paper No. 01-00
Number of pages: 49 Posted: 07 Mar 2000
Michael A. Goldstein and Kenneth A. Kavajecz
Babson College - Finance Division and affiliation not provided to SSRN
Downloads 599 (42,939)
Citation 15

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9.

Computerized and High-Frequency Trading

Downloads 577 ( 45,107)

Computerized and High-Frequency Trading

Forthcoming, The Financial Review, May 2014, Vol. 49, No. 2
Number of pages: 35 Posted: 18 Jan 2014
Michael A. Goldstein, Pavitra K. Kumar and Frank C Graves
Babson College - Finance Division, The Brattle Group and The Brattle Group
Downloads 575 (44,694)

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High-frequency Trading, HFT, Algorithmic Trading, High Speed Trading, Market Liquidity, Market Efficiency, Price Volatility, Market Regulation

Computerized and High‐Frequency Trading

Financial Review, Vol. 49, Issue 2, pp. 177-202, 2014
Number of pages: 26 Posted: 08 Apr 2014
Michael A. Goldstein, Pavitra K. Kumar and Frank C Graves
Babson College - Finance Division, The Brattle Group and The Brattle Group
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high‐frequency trading, HFT, algorithmic trading, market liquidity, market efficiency, price volatility, market regulation

10.

Competition in the Market for Nasdaq Securities

Downloads 443 ( 62,870)

Competition in the Market for Nasdaq Securities

Journal of Financial Markets, Vol. 11, No. 2, 2008
Number of pages: 39 Posted: 15 Sep 2004 Last Revised: 17 Dec 2009
Michael A. Goldstein, Andriy Shkilko, Robert A. Van Ness and Bonnie F. Van Ness
Babson College - Finance Division, Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 443 (62,255)
Citation 18

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NASDAQ, Competition

Competition in the Market for Nasdaq Securities

Journal of Financial Markets, Forthcoming
Posted: 18 Apr 2007
Michael A. Goldstein, Andriy Shkilko, Bonnie F. Van Ness and Robert A. Van Ness
Babson College - Finance Division, Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance

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NASDAQ, Competition

11.

Purchasing Ipos with Commissions

AFA 2007 Chicago Meetings
Number of pages: 65 Posted: 15 Mar 2006 Last Revised: 06 May 2011
Andy Puckett, Paul J. Irvine and Michael A. Goldstein
University of Tennessee, Knoxville, Neeley School of Business and Babson College - Finance Division
Downloads 298 (99,244)
Citation 10

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12.

Providing Liquidity in an Illiquid Market: Dealer Behavior in U.S. Corporate Bonds

Number of pages: 66 Posted: 01 Jun 2017 Last Revised: 21 Jul 2018
Michael A. Goldstein and Edith S. Hotchkiss
Babson College - Finance Division and Boston College - Carroll School of Management
Downloads 297 (99,977)

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Corporate Bond Illiquidity, Capital Commitment, Dealer Inventory, Market-Making, transparency, TRACE, transaction costs

13.

Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the Nyse

Downloads 237 (126,694)
Citation 73

Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the Nyse

Rodney L. White Center Working Paper No. 14-98
Number of pages: 32 Posted: 02 Jul 1998
Michael A. Goldstein and Kenneth A. Kavajecz
Babson College - Finance Division and affiliation not provided to SSRN
Downloads 237 (126,226)
Citation 73

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Tick size, Limit Orders, Depth, Liquidity Provision

Eighths, Sixteenths, and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE

Journal of Financial Economics, Vol. 56, No. 1, pp. 125-149, April 2000
Posted: 09 Apr 2007
Michael A. Goldstein and Kenneth A. Kavajecz
Babson College - Finance Division and affiliation not provided to SSRN

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Tick size, Limit Orders, Depth, Liquidity Provision

14.

Displayed and Effective Spreads By Market

Rodney L. White Center for Financial Research Working Paper No. 27-92
Number of pages: 41 Posted: 09 Apr 2007
Marshall E. Blume and Michael A. Goldstein
University of Pennsylvania - Finance Department and Babson College - Finance Division
Downloads 144 (197,711)
Citation 14

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effective spreads, displayed spreads, best intermarket quote, NYSE, regionals

15.

The Global Preference for Dividends in Declining Markets

Downloads 143 (198,872)

The Global Preference for Dividends in Declining Markets

Financial Review, 2015, Forthcoming
Number of pages: 43 Posted: 10 Nov 2014 Last Revised: 01 Sep 2015
Michael A. Goldstein, Abhinav Goyal, Brian M. Lucey and Cal B. Muckley
Babson College - Finance Division, University of Liverpool - Management School (ULMS), Trinity Business School, Trinity College Dublin and University College Dublin
Downloads 143 (199,409)

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Dividend policy, market movement, G-7, BRICS

The Global Preference for Dividends in Declining Markets

Financial Review, Vol. 50, Issue 4, pp. 575-609, 2015
Number of pages: 35 Posted: 26 Oct 2015
Michael A. Goldstein, Abhinav Goyal, Brian M. Lucey and Cal B. Muckley
Babson College - Finance Division, University of Liverpool - Management School (ULMS), Trinity Business School, Trinity College Dublin and University College Dublin
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dividend policy, market movement, G‐7, BRICS

16.

Inter-Market Competition for NYSE-Listed Securities under Decimals

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 32 Posted: 13 Apr 2007 Last Revised: 07 Feb 2011
Michael A. Goldstein, Andriy Shkilko, Bonnie F. Van Ness and Robert A. Van Ness
Babson College - Finance Division, Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 140 (202,217)
Citation 2

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Competition, market microstructure, execution costs

17.

Tick Size and Adverse Selection: Spurious Effects Arising from Serial Correlation

Number of pages: 48 Posted: 17 Mar 2009 Last Revised: 30 Mar 2012
Lynn Doran, Michael A. Goldstein, Evgenia V. Golubeva and Eric N. Hughson
McDonough School of Business, Babson College - Finance Division, University of Oklahoma - Division of Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 116 (233,815)

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tick size, adverse selection, serial correlation

18.

Differences in Execution Prices Among the NYSE, the Regionals, and the NASD

Rodney L. White Center for Financial Research Paper No. 4-92
Number of pages: 29 Posted: 09 Apr 2007
Marshall E. Blume and Michael A. Goldstein
University of Pennsylvania - Finance Department and Babson College - Finance Division
Downloads 87 (283,634)
Citation 3

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market microstructure, price improvement, NYSE, intermarket competition

19.

An Analysis of Liquidity Across Markets: Execution Costs on the NYSE versus Electronic Markets

LIQUIDITY, INTEREST RATES AND BANKING, Chapter 7, pp. 139-167, Jeffrey Morrey, Alexander Guyton, eds., Nova Publishers, New York, 2009
Number of pages: 37 Posted: 23 Nov 2010
Michael A. Goldstein, Gang Hu and J. Ginger Meng
Babson College - Finance Division, Hong Kong Polytechnic University - School of Accounting and Finance and Stonehill College - Department of Business Administration
Downloads 66 (332,453)
Citation 1

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Liquidity, Execution Costs, Electronic Markets

20.

Using an Option Pricing Approach to Evaluate Strategic Decisions in a Rapidly Changing Climate: Black–Scholes and Climate Change

Climatic Change DOI 10.1007/s10584-016-1860-5
Number of pages: 32 Posted: 07 Dec 2016
Matthew Sturm, Michael A. Goldstein, Henry Huntington and Thomas Douglas
University of Alaska-Fairbank - Geophysical Institute, Babson College - Finance Division, Huntington Consulting and U.S. Army Corps of Engineers
Downloads 36 (430,815)

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climate change, option pricing, climate variance, drought, ice roads

21.

The Core, Periphery, and Beyond: Stock Market Comovements Among EU and Non‐EU Countries

Financial Review, Vol. 54, Issue 1, pp. 5-56, 2019
Number of pages: 52 Posted: 08 Jan 2019
Michael A. Goldstein, Joseph McCarthy and Alexei G. Orlov
Babson College - Finance Division, Bryant University and Securities and Exchange Commission
Downloads 1 (632,999)
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financial interdependence, comovements, European stock markets, PIIGS, Brexit, copulas, global financial crisis

22.

Circuit Breakers, Trading Collars, and Volatility Transmission Across Markets: Evidence from NYSE Rule 80A

Financial Review, Vol. 50, Issue 3, pp. 459-479, 2015
Number of pages: 21 Posted: 17 Jul 2015
Michael A. Goldstein
Babson College - Finance Division
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circuit breakers, trading collars, trading halts, NYSE Rule 80A, microstructure, volatility transmission

23.

The Core, Periphery, and Beyond: Stock Market Comovements among EU and non-EU Countries

Posted: 09 Apr 2014 Last Revised: 17 Sep 2018
Michael A. Goldstein, Joseph McCarthy and Alexei G. Orlov
Babson College - Finance Division, Bryant University and Securities and Exchange Commission
Downloads 0 (650,385)

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Financial interdependence, comovements, European stock markets, PIIGS, Brexit, copulas, global financial crisis

24.

On the Integration of the Us Equity Markets

Rodney L. White Center for Financial Research Working Paper No. 1-95
Posted: 08 Sep 1999
Marshall E. Blume and Michael A. Goldstein
University of Pennsylvania - Finance Department and Babson College - Finance Division

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25.

Market Making and Trading in NASDAQ Stocks

Financial Review, February 1999
Posted: 26 Dec 1998
Edward Nelling and Michael A. Goldstein
Drexel University - Department of Finance and Babson College - Finance Division

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26.

Real Estate Investment Trusts, Small Stocks, and Bid-Ask Spreads

Real Estate Economics, Vol. 23, No. 1, Spring 1995
Posted: 25 Aug 1998
Edward Nelling, Michael A. Goldstein, James M. Mahoney and Terry L. Hilderbrand
Drexel University - Department of Finance, Babson College - Finance Division, Federal Reserve Bank of New York and affiliation not provided to SSRN

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27.

Quotes, Order Flow, and Price Discovery

Downloads 0 (650,385)

Quotes, Order Flow, and Price Discovery

J. OF FINANCE, Vol. 52 No. 1, March 1997
Posted: 18 Dec 1996
Marshall E. Blume and Michael A. Goldstein
University of Pennsylvania - Finance Department and Babson College - Finance Division

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Quotes, Order Flow, and Price Discovery

Rodney L. White Center Working Paper No. 03-96 (Revision of No. 18-95)
Posted: 12 Oct 1995
Marshall E. Blume and Michael A. Goldstein
University of Pennsylvania - Finance Department and Babson College - Finance Division

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28.

Secondary Market Liquidity and Primary Market Pricing of Corporate Bonds

Journal of Risk and Financial Management
Number of pages: 22
Michael A. Goldstein, Edith S. Hotchkiss and David Pedersen
Babson College - Finance Division, Boston College - Carroll School of Management and Rutgers School of Business-Camden
Downloads 0

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Corporate bonds, liquidity, primary market pricing