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/

SCHOLARLY PAPERS

27

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CITATIONS
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SSRN RANKINGS

Top 2,154

in Total Papers Citations

260

Scholarly Papers (27)

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 2,960 (2,631)
Citation 1

Abstract:

Dividend policy, asymmetry, market movements

2.

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 1,023 (14,738)

Abstract:

Dividend policy, asymmetry, market movements

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 838 (22,004)
Citation 67

Abstract:

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

Abstract:

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

Abstract:

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 699 (28,568)
Citation 44

Abstract:

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

Abstract:

G23, G24

5.

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 546 (32,643)
Citation 14

Abstract:

corporate bonds, transparency, liquidity, TRACE, underpricing

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 490 (45,713)

Abstract:

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
Downloads 2 (564,288)
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Abstract:

high‐frequency trading, HFT, algorithmic trading, market liquidity, market efficiency, price volatility, market regulation

7.

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 Syracuse University - Whitman School
Downloads 467 (38,331)
Citation 15

Abstract:

8.
Downloads 435 ( 53,693)
Citation 18

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
Babson College - Finance Division, Wilfrid Laurier University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 435 (53,143)
Citation 18

Abstract:

NASDAQ, Competition

Competition in the Market for Nasdaq Securities

Journal of Financial Markets, Forthcoming
Posted: 18 Apr 2007
Babson College - Finance Division, Wilfrid Laurier University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance

Abstract:

NASDAQ, Competition

9.

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 274 (86,503)
Citation 10

Abstract:

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 Syracuse University - Whitman School
Downloads 214 (118,006)
Citation 71

Abstract:

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 Syracuse University - Whitman School

Abstract:

Tick size, Limit Orders, Depth, Liquidity Provision

11.

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
Babson College - Finance Division, Wilfrid Laurier University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 135 (176,034)
Citation 2

Abstract:

Competition, market microstructure, execution costs

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 128 (186,435)

Abstract:

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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Abstract:

dividend policy, market movement, G‐7, BRICS

13.

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 110 (176,034)
Citation 14

Abstract:

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

14.

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 90 (212,511)

Abstract:

tick size, adverse selection, serial correlation

15.

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 76 (251,382)
Citation 3

Abstract:

market microstructure, price improvement, NYSE, intermarket competition

16.

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 63 (289,262)
Citation 1

Abstract:

Liquidity, Execution Costs, Electronic Markets

17.

Moving Together or Apart? Stock Market Comovements across Eurozone, EU, and Non-EU Economies before, during and after the Financial Crisis

Number of pages: 44 Posted: 09 Apr 2014 Last Revised: 30 Apr 2017
Michael A. Goldstein, Joseph McCarthy and Alexei G. Orlov
Babson College - Finance Division, Bryant University and Securities and Exchange Commission
Downloads 47 (204,252)

Abstract:

Financial comovements, European stock markets, copulas, Brexit, Great Recession

18.

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

Number of pages: 57 Posted: 01 Jun 2017
Michael A. Goldstein and Edith S. Hotchkiss
Babson College - Finance Division and Boston College - Carroll School of Management
Downloads 0 (247,734)

Abstract:

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

19.

High-Frequency Trading Strategies

Number of pages: 68 Posted: 25 May 2017
Michael A. Goldstein, Amy Kwan and Richard Philip
Babson College - Finance Division, University of Sydney Business School and University of Sydney Business School
Downloads 0 (25,524)

Abstract:

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

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 A. Douglas
University of Alaska-Fairbank - Geophysical Institute, Babson College - Finance Division, Huntington Consulting and U.S. Army Corps of Engineers
Downloads 0 (401,927)

Abstract:

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

21.

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

Number of pages: 57 Posted: 28 Oct 2016 Last Revised: 09 May 2017
Haoming Chen, Sean Foley, Michael A. Goldstein and Thomas Ruf
University of New South Wales (UNSW), University of Sydney, Babson College - Finance Division and University of New South Wales (UNSW)
Downloads 0 (42,537)

Abstract:

Market Design, Speed Bump, Quote Fade, Liquidity Provision

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
Downloads 0 (561,134)
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Abstract:

circuit breakers, trading collars, trading halts, NYSE Rule 80A, microstructure, volatility transmission

23.

Moving Together or Apart? Stock Market Comovements across Eurozone, EU, and Non-EU Economies before, during and after the Financial Crisis

Number of pages: 44 Posted: 09 Apr 2014
Michael A. Goldstein, Joseph McCarthy and Alexei G. Orlov
Babson College - Finance Division, Bryant University and Securities and Exchange Commission
Downloads 0 (561,134)

Abstract:

Financial comovements, European stock markets, copulas, Brexit, Great Recession

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

Abstract:

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

Abstract:

26.

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

Real Estate Economics, Vol. 23, No. 1, Spring 1995
Posted: 25 Aug 1998
Drexel University - Department of Finance, Babson College - Finance Division, Federal Reserve Bank of New York and affiliation not provided to SSRN

Abstract:

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

Abstract:

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

Abstract: