Hendrik Bessembinder

Arizona State University

Professor

PO Box 873906

Tempe, AZ 85207

United States

SCHOLARLY PAPERS

37

DOWNLOADS
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Top 645

in Total Papers Downloads

28,059

CITATIONS
Rank 1,034

SSRN RANKINGS

Top 1,034

in Total Papers Citations

522

Scholarly Papers (37)

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.
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
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

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

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
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
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
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: