Hendrik Bessembinder

Arizona State University

Professor

PO Box 873906

Tempe, AZ 85207

United States

SCHOLARLY PAPERS

38

DOWNLOADS
Rank 417

SSRN RANKINGS

Top 417

in Total Papers Downloads

40,354

CITATIONS
Rank 1,029

SSRN RANKINGS

Top 1,029

in Total Papers Citations

524

Scholarly Papers (38)

1.

Do Stocks Outperform Treasury Bills?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 53 Posted: 19 Jan 2017 Last Revised: 03 Jun 2018
Hendrik Bessembinder
Arizona State University
Downloads 20,766 (101)

Abstract:

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Long horizon returns, return skewness, stock market wealth creation

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 2,400 (4,721)
Citation 50

Abstract:

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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:

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3.
Downloads 1,567 ( 9,869)

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, Southern Methodist University (SMU) - Finance Department and Gonzaga University
Downloads 1,567 (9,689)
Citation 49

Abstract:

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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, Southern Methodist University (SMU) - Finance Department and Gonzaga University

Abstract:

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G12, G14

4.

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

Number of pages: 28 Posted: 07 Nov 1996
Arizona State University, University of Delaware - Department of Finance, University of Minnesota - Twin Cities - Carlson School of Management and Wayne State University
Downloads 1,560 (9,940)
Citation 8

Abstract:

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5.

Capital Commitment and Illiquidity in Corporate Bonds

Journal of Finance, Forthcoming
Number of pages: 68 Posted: 22 Mar 2016 Last Revised: 29 Aug 2017
Arizona State University, Southern Methodist University (SMU) - Finance Department, Southern Methodist University (SMU) - Finance Department and Southern Methodist University (SMU) - Finance Department
Downloads 1,204 (14,991)

Abstract:

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

6.

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
Southern Methodist University (SMU) - Finance Department and Arizona State University
Downloads 1,189 (15,275)
Citation 25

Abstract:

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corporate bonds, transparency, TRACE

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, Southern Methodist University (SMU) - Finance Department and Southern Methodist University (SMU) - Finance Department
Downloads 1,003 (19,389)
Citation 71

Abstract:

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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, Southern Methodist University (SMU) - Finance Department and Southern Methodist University (SMU) - Finance Department

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Bonds, microstructure, transparency, liquidity externalities

8.

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 982 (20,379)
Citation 37

Abstract:

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

9.

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 Cyprus - Department of Accounting and Finance and Southern Methodist University (SMU) - Finance Department
Downloads 802 (27,385)
Citation 14

Abstract:

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

10.

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 776 (28,663)
Citation 16

Abstract:

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Microstructure Noise, Illiquidity, Asset Pricing, Return Premium

11.

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 721 (31,670)

Abstract:

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ETFs, Predictable Order Flow, Frontrunning, Volatility

12.

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 656 (36,029)
Citation 9

Abstract:

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designated market maker, affirmative obligation, information asymmetry

13.

Issues in Assessing Trade Execution Costs

Number of pages: 42 Posted: 21 Aug 2000
Hendrik Bessembinder
Arizona State University
Downloads 584 (41,958)
Citation 103

Abstract:

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

14.

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 541 (46,310)
Citation 1

Abstract:

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

15.

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 518 (48,956)
Citation 1

Abstract:

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16.

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) - Finance Department
Downloads 509 (50,048)

Abstract:

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

17.

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 477 (54,332)

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

18.

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 425 (62,595)
Citation 1

Abstract:

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

19.

Trading Costs and Return Volatility: Evidence from Exchange Listings

Number of pages: 27 Posted: 02 Sep 1998
Hendrik Bessembinder
Arizona State University
Downloads 406 (66,123)
Citation 8

Abstract:

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20.

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, Southern Methodist University (SMU) - Finance Department and Southern Methodist University (SMU) - Finance Department
Downloads 398 (67,761)
Citation 2

Abstract:

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

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) - Finance Department and Arizona State University
Downloads 398 (67,143)
Citation 33

Abstract:

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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) - Finance Department and Arizona State University

Abstract:

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

22.

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 397 (67,957)
Citation 70

Abstract:

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23.

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 390 (69,365)
Citation 1

Abstract:

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

24.

The Degree of Price Resolution and Equity Trading Costs

Number of pages: 37 Posted: 08 Oct 1996
Hendrik Bessembinder
Arizona State University
Downloads 384 (70,640)
Citation 16

Abstract:

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25.

Characteristic-Based Benchmark Returns and Corporate Events

Forthcoming, Review of Financial Studies
Number of pages: 104 Posted: 12 Sep 2015 Last Revised: 07 Mar 2018
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 375 (72,661)

Abstract:

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abnormal returns after corporate events, predicted returns, firm characteristics

26.

The 'Roll Yield' Myth

Financial Analysts Journal, Forthcoming
Number of pages: 26 Posted: 04 Aug 2017 Last Revised: 13 Feb 2018
Hendrik Bessembinder
Arizona State University
Downloads 278 (101,692)

Abstract:

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futures, commodities, roll yield

27.

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 234 (121,495)
Citation 7

Abstract:

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28.

Frictional Costs of Fossil Fuel Divestment

Number of pages: 48 Posted: 05 Jun 2016
Hendrik Bessembinder
Arizona State University
Downloads 183 (153,397)

Abstract:

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29.

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: 45 Posted: 15 Jan 2017 Last Revised: 09 Oct 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 168 (165,473)

Abstract:

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

30.

Long Run Stock Returns after Corporate Events Revisited

Critical Finance Review, Forthcoming.
Number of pages: 20 Posted: 21 Dec 2017
Hendrik Bessembinder and Feng Zhang
Arizona State University and University of Utah - Department of Finance
Downloads 63 (325,480)
Citation 1

Abstract:

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31.

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

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32.

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

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33.

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

Posted: 06 Sep 1999
Arizona State University, University of Delaware - Department of Finance, Wayne State University and University of Minnesota - Twin Cities - Carlson School of Management

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34.

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

Posted: 10 Oct 1998
Arizona State University, University of Delaware - Department of Finance, University of Minnesota - Twin Cities - Carlson School of Management and Wayne State University

Abstract:

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35.

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

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36.

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

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37.

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

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38.

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

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