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Hendrik Bessembinder

Arizona State University

Professor

PO Box 873906

Tempe, AZ 85207

United States

  • Arizona State University

SCHOLARLY PAPERS

37

DOWNLOADS
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Top 645

in Total Papers Downloads

28,059

CITATIONS
Rank 1,034

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Top 1,034

in Total Papers Citations

522

Scholarly Papers (37)

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1.

Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets

Downloads 2,354 ( 4,249)
Citation 50

Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets

Number of pages: 39 Posted: 17 Feb 1999
Hendrik Bessembinder and Michael L. Lemmon
Arizona State University and University of Utah - Department of Finance
Downloads 2,354 (4,163)
Citation 50

Abstract:

Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets

Journal of Finance, Vol. 57, pp. 1347-1382, 2002
Posted: 29 Nov 2003
Hendrik Bessembinder and Michael L. Lemmon
Arizona State University and University of Utah - Department of Finance

Abstract:

2.

Measuring Abnormal Bond Performance

Downloads 1,490 ( 9,273)
Citation 49

Measuring Abnormal Bond Performance

Review of Financial Studies, Forthcoming
Number of pages: 53 Posted: 19 Jan 2005 Last Revised: 17 Jul 2008
Hendrik Bessembinder, Kathleen M. Kahle, William F. Maxwell and Danielle Xu
Arizona State University, University of Arizona - Department of Finance, SMU - Cox School and Gonzaga University
Downloads 1,490 (9,101)
Citation 49

Abstract:

event study, bond returns, TRACE

Measuring Abnormal Bond Performance

The Review of Financial Studies, Vol. 22, Issue 10, pp. 4219-4258, 2009
Posted: 28 Sep 2009
Hendrik Bessembinder, Kathleen M. Kahle, William F. Maxwell and Danielle Xu
Arizona State University, University of Arizona - Department of Finance, SMU - Cox School and Gonzaga University

Abstract:

G12, G14

3.

Is There a Term Structure of Futures Volatilities? Reevaluating the Samuelson Hypothesis

Number of pages: 28 Posted: 07 Nov 1996
Hendrik Bessembinder, Jay F. Coughenour, Paul J. Seguin and Margaret Smoller
Arizona State University, University of Delaware - Department of Finance, University of Minnesota - Twin Cities - Carlson School of Management and Wayne State University
Downloads 1,466 (8,909)
Citation 8

Abstract:

4.

Transparency and the Corporate Bond Market

Journal of Economic Perspectives, 2008
Number of pages: 30 Posted: 10 Jan 2008
William F. Maxwell and Hendrik Bessembinder
SMU - Cox School and Arizona State University
Downloads 1,039 (14,367)
Citation 25

Abstract:

corporate bonds, transparency, TRACE

5.

Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds

Downloads 934 ( 19,273)
Citation 71

Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds

AFA 2006 Boston Meetings, Forthcoming
Number of pages: 54 Posted: 08 Jan 2005
Hendrik Bessembinder, William F. Maxwell and Kumar Venkataraman
Arizona State University, SMU - Cox School and Southern Methodist University (SMU) - Edwin L. Cox School of Business
Downloads 934 (18,912)
Citation 71

Abstract:

transparency, corporate bonds, trace, microstructure,

Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds

Journal of Financial Economics, Forthcoming
Posted: 02 Nov 2005
Hendrik Bessembinder, William F. Maxwell and Kumar Venkataraman
Arizona State University, SMU - Cox School and Southern Methodist University (SMU) - Edwin L. Cox School of Business

Abstract:

Bonds, microstructure, transparency, liquidity externalities

6.

Liquidity Biases in Asset Pricing Tests

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50 Posted: 17 Mar 2006 Last Revised: 17 Aug 2009
Elena N. Asparouhova, Hendrik Bessembinder and Ivalina Kalcheva
University of Utah - David Eccles School of Business, Arizona State University and University of California, Riverside
Downloads 902 (18,540)
Citation 37

Abstract:

Bid-Ask Spreads, Liquidity, Asset Pricing, Beta Estimation

7.

Noisy Prices and Inference Regarding Returns

The Journal of Finance (JF), Forthcoming
Number of pages: 89 Posted: 29 Aug 2010 Last Revised: 10 Oct 2011
Elena N. Asparouhova, Hendrik Bessembinder and Ivalina Kalcheva
University of Utah - David Eccles School of Business, Arizona State University and University of California, Riverside
Downloads 707 (26,972)
Citation 16

Abstract:

Microstructure Noise, Illiquidity, Asset Pricing, Return Premium

8.

Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 53 Posted: 13 Jan 2007 Last Revised: 11 Feb 2009
Hendrik Bessembinder, Marios A. Panayides and Kumar Venkataraman
Arizona State University, University of Pittsburgh - Katz Graduate School of Business and Southern Methodist University (SMU) - Edwin L. Cox School of Business
Downloads 667 (26,053)
Citation 14

Abstract:

Hidden Order, Order Exposure, Limit Order Book, Iceberg Order, Electronic Exchange

9.

Why Designate Market Makers? Affirmative Obligations and Market Quality

Number of pages: 66 Posted: 02 Feb 2012
Hendrik Bessembinder, Jia Hao and Michael L. Lemmon
Arizona State University, CUHK Business School, The Chinese University of Hong Kong and University of Utah - Department of Finance
Downloads 612 (35,076)
Citation 8

Abstract:

designated market maker, affirmative obligation, information asymmetry

10.

Issues in Assessing Trade Execution Costs

Number of pages: 42 Posted: 21 Aug 2000
Hendrik Bessembinder
Arizona State University
Downloads 551 (39,251)
Citation 103

Abstract:

Trade execution costs, dealer versus auction markets, trade reporting lags

11.

Pricing and Gains from Trade in Competitive Electric Power Markets

Number of pages: 28 Posted: 03 Mar 1999
Hendrik Bessembinder and Michael L. Lemmon
Arizona State University and University of Utah - Department of Finance
Downloads 507 (44,086)
Citation 1

Abstract:

12.

Price-Time Priority, Order Routing, and Trade Execution Costs in NYSE-listed Stocks

Number of pages: 40 Posted: 10 Jul 2001
Hendrik Bessembinder
Arizona State University
Downloads 493 (42,516)
Citation 1

Abstract:

Trading Costs, Market Fragmentation, Time-Price Priority, Best Execution

13.

Does an Electronic Stock Exchange Need an Upstairs Market?

Downloads 388 ( 62,280)
Citation 33

Does an Electronic Stock Exchange Need an Upstairs Market?

Number of pages: 44 Posted: 14 Jan 2002
Kumar Venkataraman and Hendrik Bessembinder
Southern Methodist University (SMU) - Edwin L. Cox School of Business and Arizona State University
Downloads 388 (61,686)
Citation 33

Abstract:

Upstairs market, Limit order book, Electronic exchange, Crossing rules

Does an Electronic Stock Exchange Need an Upstairs Market?

Journal of Financial Economics, Forthcoming
Posted: 28 Oct 2003
Kumar Venkataraman and Hendrik Bessembinder
Southern Methodist University (SMU) - Edwin L. Cox School of Business and Arizona State University

Abstract:

Upstairs market, Limit order book, Electronic exchange, Crossing rules

14.

Trade Execution Costs on Nasdaq and the NYSE: A Post-Reform Comparison

Number of pages: 38 Posted: 02 Sep 1998
Hendrik Bessembinder
Arizona State University
Downloads 381 (62,102)
Citation 70

Abstract:

15.

The Degree of Price Resolution and Equity Trading Costs

Number of pages: 37 Posted: 08 Oct 1996
Hendrik Bessembinder
Arizona State University
Downloads 371 (64,432)
Citation 16

Abstract:

16.

Trading Costs and Return Volatility: Evidence from Exchange Listings

Number of pages: 27 Posted: 02 Sep 1998
Hendrik Bessembinder
Arizona State University
Downloads 368 (60,081)
Citation 8

Abstract:

17.

Liquidity, Resiliency and Market Quality Around Predictable Trades: Theory and Evidence

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 23 Mar 2012 Last Revised: 21 Oct 2015
Hendrik Bessembinder, Allen Carrion, Laura A. Tuttle and Kumar Venkataraman
Arizona State University, University of Utah - Department of Finance, U.S. Securities and Exchange Commission - Division of Economic and Risk Analysis and Southern Methodist University (SMU) - Edwin L. Cox School of Business
Downloads 309 (50,691)

Abstract:

predatory trading, sunshine trading, trading costs, resiliency, ETFs, crude oil, energy, commodities, futures

18.

Predictable Corporate Distributions and Stock Returns

Review of Financial Studies, Forthcoming
Number of pages: 67 Posted: 01 Jul 2013 Last Revised: 25 Nov 2014
Hendrik Bessembinder and Feng Zhang
Arizona State University and University of Utah - Department of Finance
Downloads 307 (56,226)

Abstract:

stock dividends, stock splits, special dividends, dividend increases, predictability, return anomaly

19.

Firm Characteristics and Long-Run Stock Returns after Corporate Events

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 03 Jul 2012 Last Revised: 06 Oct 2014
Hendrik Bessembinder and Feng Zhang
Arizona State University and University of Utah - Department of Finance
Downloads 260 (77,069)
Citation 1

Abstract:

firm characteristics, long-run stock returns, BHARs, wealth relative, calendar time portfolio method, event study

20.

Market Making Contracts, Firm Value, and the IPO Decision

Journal of Finance, Forthcoming
Number of pages: 44 Posted: 17 Aug 2012 Last Revised: 18 Feb 2017
Hendrik Bessembinder, Jia Hao and Kuncheng (K.C.) Zheng
Arizona State University, CUHK Business School, The Chinese University of Hong Kong and Northeastern University - D’Amore-McKim School of Business
Downloads 245 (61,746)
Citation 1

Abstract:

designated market maker, affirmative obligation, information asymmetry, firm value

21.

Endogenous Changes in the Minimum Tick: An Analysis of Nasdaq Securities Trading Near Ten Dollars

Number of pages: 37 Posted: 12 Nov 1997
Hendrik Bessembinder
Arizona State University
Downloads 221 (112,161)
Citation 7

Abstract:

22.

Trading Activity and Transaction Costs in Structured Credit Products

Financial Analysts Journal, Vol. 69, No. 6, 2013
Number of pages: 26 Posted: 26 Nov 2012 Last Revised: 22 Feb 2014
Hendrik Bessembinder, William F. Maxwell and Kumar Venkataraman
Arizona State University, SMU - Cox School and Southern Methodist University (SMU) - Edwin L. Cox School of Business
Downloads 211 (66,668)
Citation 2

Abstract:

ABS, MBS, Structured Products, Transparency, mortgage-backed, asset-backed

23.

Predictable ETF Order Flow and Market Quality

Number of pages: 13 Posted: 08 Oct 2014 Last Revised: 21 Aug 2015
Hendrik Bessembinder
Arizona State University
Downloads 201 (38,882)

Abstract:

ETFs, Predictable Order Flow, Frontrunning, Volatility

24.

Characteristic-Based Benchmark Returns and Corporate Events

Number of pages: 93 Posted: 12 Sep 2015 Last Revised: 07 Jul 2017
Hendrik Bessembinder, Michael J. Cooper and Feng Zhang
Arizona State University, University of Utah - David Eccles School of Business and University of Utah - Department of Finance
Downloads 41 (99,547)

Abstract:

abnormal returns after corporate events, predicted returns, firm characteristics

25.

The 'Roll Yield' Myth

Number of pages: 27 Posted: 04 Aug 2017 Last Revised: 15 Aug 2017
Hendrik Bessembinder
Arizona State University
Downloads 0 (261,197)

Abstract:

futures, commodities, roll yield

26.

Do Stocks Outperform Treasury Bills?

Number of pages: 51 Posted: 19 Jan 2017 Last Revised: 23 Aug 2017
Hendrik Bessembinder
Arizona State University
Downloads 0 (302)

Abstract:

Long horizon returns, return skewness, stock market wealth creation

27.

Liquidity Provision Contracts and Market Quality: Evidence from the New York Stock Exchange

Northeastern U. D’Amore-McKim School of Business Research Paper No. 2899147,
Number of pages: 42 Posted: 15 Jan 2017 Last Revised: 11 Aug 2017
Hendrik Bessembinder, Jia Hao and Kuncheng (K.C.) Zheng
Arizona State University, CUHK Business School, The Chinese University of Hong Kong and Northeastern University - D’Amore-McKim School of Business
Downloads 0 (224,618)

Abstract:

Designated Market Maker, Firm Value, Market Quality, Regression Discontinuity

28.

Frictional Costs of Fossil Fuel Divestment

Number of pages: 48 Posted: 05 Jun 2016
Hendrik Bessembinder
Arizona State University
Downloads 0 (166,676)

Abstract:

29.

Capital Commitment and Illiquidity in Corporate Bonds

Journal of Finance, Forthcoming
Number of pages: 68 Posted: 22 Mar 2016 Last Revised: 29 Aug 2017
Hendrik Bessembinder, Stacey E. Jacobsen, William F. Maxwell and Kumar Venkataraman
Arizona State University, Southern Methodist University (SMU) - Edwin L. Cox School of Business - Department of Finance, SMU - Cox School and Southern Methodist University (SMU) - Edwin L. Cox School of Business
Downloads 0 (25,292)

Abstract:

Capital commitment, corporate bonds, dealer behavior, Dodd-Frank Act, financial crisis, liquidity, microstructure, transparency, TRACE, transaction costs

30.

Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading Near Ten Dollars

Journal of Financial Intermediation, Vol. 9, No. 3
Posted: 30 Jun 2000
Hendrik Bessembinder
Arizona State University

Abstract:

31.

Return Volatility, Cross-Sectional Dispersion, and Trading Activity in the Equity and Futures Markets

Posted: 14 Sep 1999
Hendrik Bessembinder, Kalok Chan and Paul J. Seguin
Arizona State University, CUHK Business School and University of Minnesota - Twin Cities - Carlson School of Management

Abstract:

32.

Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure

Posted: 06 Sep 1999
Hendrik Bessembinder, Jay F. Coughenour, Margaret Smoller and Paul J. Seguin
Arizona State University, University of Delaware - Department of Finance, Wayne State University and University of Minnesota - Twin Cities - Carlson School of Management

Abstract:

33.

Futures Price Volatility and Spot Price Stationarity: Reevaluating the Samuelson Hypothesis

Posted: 10 Oct 1998
Hendrik Bessembinder, Jay F. Coughenour, Paul J. Seguin and Margaret Smoller
Arizona State University, University of Delaware - Department of Finance, University of Minnesota - Twin Cities - Carlson School of Management and Wayne State University

Abstract:

34.

Do the Profits From Technical Trading Rules Reflect Inefficiencies?

Posted: 10 Oct 1998
Hendrik Bessembinder and Kalok Chan
Arizona State University and CUHK Business School

Abstract:

35.

Market Efficiency and the Returns to Technical Analysis

Financial Management, Vol 27, No 2
Posted: 21 Aug 1998
Hendrik Bessembinder and Kalok Chan
Arizona State University and CUHK Business School

Abstract:

36.

A Cross-Exchange Comparison of Execution Costs and Information Flow for NYSE-Listed Stocks

Posted: 21 Feb 1997
Hendrik Bessembinder and Herbert M. Kaufman
Arizona State University and Arizona State University

Abstract:

37.

A Comparison of Trade Execution Costs for NYSE and Nasdaq- Listed Stocks

Posted: 05 Feb 1997
Hendrik Bessembinder and Herbert M. Kaufman
Arizona State University and Arizona State University

Abstract:

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