Robert A. Van Ness

University of Mississippi - Department of Finance

Oxford, MS 38677

United States

SCHOLARLY PAPERS

69

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Scholarly Papers (69)

1.
Downloads 16,562 ( 458)
Citation 13

Nonstandard Errors

Journal of Finance, Volume 79, Issue 3, June 2024, Pages 2339-2390.
Number of pages: 52 Posted: 23 Nov 2021 Last Revised: 29 Oct 2024
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera Romero, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, National Bureau of Economic Research (NBER), CNRS, University of Oxford, University of Technology Sydney, Dublin City University, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam - Department of Finance and Financial Sector Management, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, The Brattle Group, Faculty of Business and Economics, Dresden University of Technology, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, VU University Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, UNSW Business School, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig Maximilian University of Munich (LMU), Aalto University, University of Birmingham - Department of Economics, Queen's University Belfast - Queen's Management School, Universidad de los Andes, HEC Montreal, University of Adelaide, Chemnitz University of Technology (CUT) - Department of Economics, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, ESCP Europe - ESCP Europe - Turin Campus, Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, Independent, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, Mississippi State University, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz - Institute of Banking and Finance, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington - Department of Finance and Real Estate, University of Basel - Faculty of Business and Economics, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Finance, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Vlerick Business School, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex, Erasmus University Rotterdam, Central Michigan University, Aalto University, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business, NHH Norwegian School of Economics - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Calgary - Haskayne School of Business, Vrije Universiteit Amsterdam, School of Business and Economics, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff Business School, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, State University of New York (SUNY) - University at Buffalo, Southwestern University of Finance and Economics (SWUFE), NGS Super, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 16,562 (485)
Citation 13

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nonstandard errors, multi-analyst study, liquidity

2.

Quote Stuffing

Number of pages: 48 Posted: 12 Nov 2011 Last Revised: 14 Apr 2016
Jared F. Egginton, Bonnie F. Van Ness and Robert A. Van Ness
Boise State University - College of Business & Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 2,156 (14,867)
Citation 12

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Quote Stuffing, High Frequency Trading

3.

Determinants and Effects of Corporate Lobbying

Financial Management, Forthcoming
Number of pages: 53 Posted: 16 Jun 2009 Last Revised: 30 Jul 2013
Arkansas State University, University of Southern Mississippi, Clemson University - Department of Finance and University of Mississippi - Department of Finance
Downloads 1,651 (22,637)
Citation 23

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Corporate Lobbying, Political Connections, Market Value

4.

Aggressive Short Selling and Price Reversals

AFA 2008 New Orleans Meetings Paper
Number of pages: 46 Posted: 21 Mar 2007 Last Revised: 07 Feb 2011
Andriy Shkilko, Bonnie F. Van Ness and Robert A. Van Ness
Wilfrid Laurier University - Finance, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 1,503 (26,065)
Citation 11

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Short selling, price reversals, speculative and predatory trading, order imbalances

5.

On the Marketing of IPOs

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50 Posted: 18 Jan 2006
Douglas O. Cook, Robert L. Kieschnick and Robert A. Van Ness
University of Alabama - Culverhouse College of Commerce & Business Administration, University of Texas at Dallas and University of Mississippi - Department of Finance
Downloads 698 (76,648)
Citation 21

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IPO, underwriting, marketing

6.

Short Selling around Dividend Announcements and Ex-Dividend Days

Number of pages: 34 Posted: 29 May 2008 Last Revised: 17 Nov 2009
Benjamin M. Blau, Kathleen P. Fuller and Robert A. Van Ness
Utah State University - Huntsman School of Business, University of Mississippi - School of Business Administration and University of Mississippi - Department of Finance
Downloads 662 (81,790)
Citation 2

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Dividends, Short Selling

7.

To Pay or Be Paid? The Impact of Taker Fees and Order Flow Inducements on Trading Costs in U.S. Options Markets

Number of pages: 52 Posted: 04 Nov 2011 Last Revised: 29 Nov 2012
Robert H. Battalio, Andriy Shkilko and Robert A. Van Ness
University of Notre Dame - Department of Finance, Wilfrid Laurier University - Finance and University of Mississippi - Department of Finance
Downloads 630 (87,136)
Citation 25

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options markets, payment for order flow, maker-taker model

How Well Do Adverse Selection Components Measure Adverse Selection?

Number of pages: 33 Posted: 24 Oct 2001
Bonnie F. Van Ness, Robert A. Van Ness and Richard S. Warr
University of Mississippi - Department of Finance, University of Mississippi - Department of Finance and North Carolina State University
Downloads 605 (90,542)
Citation 68

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How Well Do Adverse Selection Components Measure Adverse Selection?

Financial Management, Vol. 30, Iss. 3, Autumn 2001
Posted: 26 Nov 2001
Bonnie F. Van Ness, Robert A. Van Ness and Richard S. Warr
University of Mississippi - Department of Finance, University of Mississippi - Department of Finance and North Carolina State University

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9.
Downloads 603 (92,142)
Citation 50

Limit Orders and the Bid-Ask Spread

Number of pages: 38 Posted: 03 Jun 2003
Kee H. Chung, Bonnie F. Van Ness and Robert A. Van Ness
State University of New York at Buffalo - School of Management, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 603 (90,916)
Citation 50

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Limit order, Bid-ask spread, Specialists

Limit Orders and the Bid-Ask Spread

Journal of Financial Economics, Vol. 53, pp. 255-287, August 1999
Posted: 30 Oct 1998
Kee H. Chung, Bonnie F. Van Ness and Robert A. Van Ness
State University of New York at Buffalo - School of Management, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance

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10.

Are NASDAQ Stocks More Costly to Trade than NYSE Stocks? Evidence after Decimalization

Number of pages: 33 Posted: 27 Jul 2001
Kee H. Chung, Bonnie F. Van Ness and Robert A. Van Ness
State University of New York at Buffalo - School of Management, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 551 (103,283)
Citation 17

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liquidity, spreads, decimal pricing, quote clustering

11.
Downloads 537 (106,640)
Citation 13

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 - Finance, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 537 (105,287)
Citation 13

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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 - Finance, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance

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NASDAQ, Competition

12.

Short Selling and the Weekend Effect for Nyse Securities

Number of pages: 33 Posted: 15 Feb 2007 Last Revised: 29 Aug 2008
Benjamin M. Blau, Bonnie F. Van Ness and Robert A. Van Ness
Utah State University - Huntsman School of Business, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 499 (116,565)
Citation 4

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short selling, short sales, Weekend effect, Monday effect

13.

Short Interest vs. Short Selling

Number of pages: 26 Posted: 20 Sep 2011
Benjamin M. Blau, Bonnie F. Van Ness and Robert A. Van Ness
Utah State University - Huntsman School of Business, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 493 (118,259)
Citation 3

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Short Interest, Short Sales, Informed Trading

14.

Intraday Stealth Trading: Which Trades Move Prices During Periods of High Volume?

Number of pages: 31 Posted: 30 Jul 2008
Benjamin M. Blau, Bonnie F. Van Ness and Robert A. Van Ness
Utah State University - Huntsman School of Business, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 479 (122,423)
Citation 14

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Stealth Trading, intraday, volume, trade size

15.

Short Selling ADRs and Foreign Market Short-Sale Constraints

Number of pages: 37 Posted: 03 Jun 2010
Benjamin M. Blau, Richard S. Warr and Robert A. Van Ness
Utah State University - Huntsman School of Business, North Carolina State University and University of Mississippi - Department of Finance
Downloads 441 (135,578)

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Can the Treatment of Limit Orders Reconcile the Differences in Trading Costs between NYSE and NASDAQ Issues?

Number of pages: 33 Posted: 11 Dec 2000
Kee H. Chung, Bonnie F. Van Ness and Robert A. Van Ness
State University of New York at Buffalo - School of Management, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 435 (135,905)
Citation 13

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Limit order, bid-ask spread, collusion, NYSE specialists, Nasdaq dealers

Can the Treatment of Limit Orders Reconcile the Differences in Trading Costs between NYSE and NASDAQ Issues?

Posted: 25 Jan 2001
Kee H. Chung, Bonnie F. Van Ness and Robert A. Van Ness
State University of New York at Buffalo - School of Management, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance

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Limit order, bid-ask spread, collusion, NYSE specialists, Nasdaq dealers

17.

Determinants of Adverse Selection on the NYSE and NASDAQ: A Paired Comparison

Number of pages: 37 Posted: 21 Jun 2001
Robert A. Van Ness, Bonnie F. Van Ness and Richard S. Warr
University of Mississippi - Department of Finance, University of Mississippi - Department of Finance and North Carolina State University
Downloads 425 (141,196)
Citation 3

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Components of the spread, NYSE, Nasdaq, adverse selection, fragmentation

18.

Spreads, Depths, and Quote Clustering on the NYSE and NASDAQ: Evidence after the 1997 Securities and Exchange Commission Rule Changes

Number of pages: 34 Posted: 13 Aug 2002
Kee H. Chung, Bonnie F. Van Ness and Robert A. Van Ness
State University of New York at Buffalo - School of Management, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 419 (143,495)
Citation 7

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liquidity, spreads, depths, quote clustering, collusion

19.

Locked and Crossed Markets on Nasdaq and the Nyse

Journal of Financial Markets, 2008
Number of pages: 41 Posted: 29 Oct 2004 Last Revised: 03 Nov 2011
Andriy Shkilko, Bonnie F. Van Ness and Robert A. Van Ness
Wilfrid Laurier University - Finance, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 396 (153,043)
Citation 5

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Locked, Crossed, Multi-market trading

Trading Costs and Quote Clustering on the NYSE and NASDAQ after Decimalization

Number of pages: 31 Posted: 02 Oct 2003
Kee H. Chung, Bonnie F. Van Ness and Robert A. Van Ness
State University of New York at Buffalo - School of Management, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 370 (163,632)
Citation 9

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Trading cost, Decimal pricing, Quote clustering, Averaging method

Trading Costs and Quote Clustering on the NYSE and NASDAQ after Decimalization

Posted: 07 Dec 2003
Kee H. Chung, Bonnie F. Van Ness and Robert A. Van Ness
State University of New York at Buffalo - School of Management, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance

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21.

1-Share Orders and Trades

Journal of Banking and Finance, Vol. 75, 2017
Number of pages: 32 Posted: 12 Oct 2014 Last Revised: 26 Apr 2018
Ryan Davis, Brian Roseman, Bonnie F. Van Ness and Robert A. Van Ness
University of Alabama at Birmingham, Oklahoma State University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 367 (166,674)

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One Share trades; One Share orders; trades; orders; NASDAQ

22.

Trade Classification Algorithms for Electronic Communications Network Trades

Journal of Banking and Finance, Forthcoming
Number of pages: 27 Posted: 22 Jan 2007
Saint Louis University - Richard A. Chaifetz School of Business, Shenandoah University - Harry F. Byrd, Jr. School of Business, Morgan State University and University of Mississippi - Department of Finance
Downloads 357 (171,750)
Citation 4

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Trade classification, Lee and Ready algorithms, tick rule, quote rule

23.

Multiple Markets, Algorithmic Trading, and Market Liquidity

Number of pages: 39 Posted: 10 Feb 2014 Last Revised: 19 Feb 2016
James Upson and Robert A. Van Ness
University of Texas at El Paso and University of Mississippi - Department of Finance
Downloads 342 (179,984)
Citation 13

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Algorithmic Traders, High Frequency Traders, HFT, Market Liquidity, Intraday Liquidity, Latency, Thor

24.

An Analysis of the Inventory Holding Components of the Bid-Ask Spread

Number of pages: 34 Posted: 14 May 2009
Birsel T. Pirim, Bonnie F. Van Ness and Robert A. Van Ness
affiliation not provided to SSRN, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 329 (187,652)

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Inventory Holding, spread components

25.

Short Selling in Volatile Markets

Number of pages: 30 Posted: 12 Jan 2009
Utah State University - Huntsman School of Business, University of Mississippi - Department of Finance, University of Mississippi - Department of Finance and University of Memphis - Fogelman College of Business and Economics
Downloads 313 (198,535)
Citation 2

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26.

An Analysis of the FMA Annual Meetings: Presentation Activity of Institutions and Individuals, 1996 - 2012

Number of pages: 20 Posted: 15 Jan 2010 Last Revised: 16 Jan 2013
Jared F. Egginton, Bonnie F. Van Ness and Robert A. Van Ness
Boise State University - College of Business & Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 289 (215,352)

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FMA, author productivity, Finance research, institutional productivity

27.

Do (Should) Brokers Route Standing Limit Orders Seeking to Trade U.S. Equity Options to Wholesalers?

12th Annual Mid-Atlantic Research Conference in Finance (MARC)
Number of pages: 57 Posted: 16 Nov 2016 Last Revised: 08 Jun 2017
Robert H. Battalio, Todd Griffith and Robert A. Van Ness
University of Notre Dame - Department of Finance, Utah State University and University of Mississippi - Department of Finance
Downloads 286 (217,626)
Citation 1

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Maker-Taker, Payment-For-Order-Flow, Order Execution Quality

28.

The Role of HFTs in Order Flow Toxicity and Stock Price Variance, and Predicting Changes in HFTs’ Liquidity Provisions

Number of pages: 38 Posted: 25 Feb 2016
Serhat Yildiz, Robert A. Van Ness and Bonnie F. Van Ness
University of Nevada, Reno, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 285 (218,449)

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High frequency trading, HFT, Volume-synchronized probability of informed trading, VPIN, liquidity, order flow toxicity

29.

Are All Odd-Lots the Same? Odd-Lot Transactions by Order Submission and Trader Type

Number of pages: 40 Posted: 17 Jul 2013 Last Revised: 19 Feb 2016
Hardy Johnson, Bonnie F. Van Ness and Robert A. Van Ness
Kansas State University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 282 (220,811)
Citation 11

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odd-lots, high frequency trading, price contribution, price discovery

30.

Cancelling Liquidity

Number of pages: 46 Posted: 08 Jun 2013 Last Revised: 13 Aug 2014
Bonnie F. Van Ness, Robert A. Van Ness and Ethan Watson
University of Mississippi - Department of Finance, University of Mississippi - Department of Finance and University of North Carolina (UNC) at Wilmington
Downloads 264 (236,139)
Citation 5

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Cancelled Orders, Cancellations, Limit Orders

31.

Odd-Lot Trading in U.S. Equities

Quarterly Review of Economics and Finance, Vol. 69, 2018
Number of pages: 29 Posted: 28 Aug 2015 Last Revised: 14 Dec 2018
Brian Roseman, Bonnie F. Van Ness and Robert A. Van Ness
Oklahoma State University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 254 (245,424)
Citation 2

Abstract:

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odd-lot trading, exchanges

Hidden Liquidity Puzzle: Bond Etfs Versus Equity Etfs

Number of pages: 64 Posted: 19 Sep 2024
Cindy Pan, Robert A. Van Ness and Bonnie F. Van Ness
Susquehanna University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 139 (423,058)

Abstract:

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Hidden Liquidity, Dark Trading, ETFs

Hidden Liquidity Puzzle: Bond ETFs versus Equity ETFs

Number of pages: 60 Posted: 15 Apr 2024
Cindy Pan, Bonnie F. Van Ness and Robert A. Van Ness
Susquehanna University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 107 (519,342)

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Hidden Liquidity, Dark Trading, ETFs

33.

Increasing the Tick: Examining the Impact of the Tick Size Change on Market Fee Venues

Number of pages: 54 Posted: 11 Oct 2017 Last Revised: 26 Oct 2017
Justin Cox, Bonnie F. Van Ness and Robert A. Van Ness
Appalachian State University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 243 (256,546)
Citation 3

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Tick Size, Maker-Taker, Algorithmic Trading, Hidden Liquidity

34.

Archipelago's Move Towards Exchange Status: An Analysis of Archipelago Trading in NYSE and NASDAQ Stocks

Number of pages: 28 Posted: 13 May 2005
Vanthuan Nguyen, Bonnie F. Van Ness and Robert A. Van Ness
Morgan State University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 240 (259,680)

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Electronic Communication Networks, NASDAQ, NYSE, Archipelago, Limit Order Book Fragmentation

35.

Information in Short Selling: Comparing NASDAQ and the NYSE

Number of pages: 31 Posted: 03 Dec 2008 Last Revised: 23 Mar 2009
Benjamin M. Blau, Bonnie F. Van Ness and Robert A. Van Ness
Utah State University - Huntsman School of Business, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 233 (267,206)
Citation 1

Abstract:

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36.

Capitalizing on Catastrophe: Short Selling Insurance Stocks Around Hurricanes Katrina and Rita

Number of pages: 40 Posted: 06 Feb 2007 Last Revised: 05 Sep 2008
Benjamin M. Blau, Robert A. Van Ness and Chip Wade
Utah State University - Huntsman School of Business, University of Mississippi - Department of Finance and University of Mississippi
Downloads 233 (267,206)

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short selling, short sales, hurricane, castastrophe

37.

The Optimal Trade Size Choice of Informed Short Sellers

Number of pages: 31 Posted: 15 May 2008 Last Revised: 05 Aug 2009
Benjamin M. Blau, Bonnie F. Van Ness and Robert A. Van Ness
Utah State University - Huntsman School of Business, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 217 (285,949)
Citation 1

Abstract:

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Stealth Trading, Short Selling

38.

Is Information Risk Priced for Nasdaq-Listed Stocks?

Number of pages: 21 Posted: 11 Feb 2007
Kathleen P. Fuller, Bonnie F. Van Ness and Robert A. Van Ness
University of Mississippi - School of Business Administration, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 202 (305,856)
Citation 2

Abstract:

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PIN, NASDAQ, Trading

39.

Information and Liquidity in the Modern OTC Marketplace

Number of pages: 32 Posted: 23 Nov 2016
Ryan Davis, Bonnie F. Van Ness and Robert A. Van Ness
University of Alabama at Birmingham, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 190 (323,567)
Citation 1

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OTC Markets, Penny Stocks, Tiers, Liquidity, Market Quality

40.

Trade-Size and Price Clustering: The Case of Short Sales

Number of pages: 42 Posted: 30 Oct 2008
Benjamin M. Blau, Bonnie F. Van Ness and Robert A. Van Ness
Utah State University - Huntsman School of Business, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 179 (341,540)

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Short Selling, Clustering, price clustering, trade size clustering

41.

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 - Finance, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 178 (343,245)
Citation 1

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Competition, market microstructure, execution costs

42.

Securities Lending Around Proxies: Is the Increase in Lending Due to Proxy Abuse, or a Result of Dividends?

Number of pages: 24 Posted: 06 Dec 2011
Shane Moser, Bonnie F. Van Ness and Robert A. Van Ness
University of Mississippi, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 177 (344,902)
Citation 1

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Short Lending, Short Selling, Dividends

43.

Short- and Long-Term Effects of Multimarket Trading

Number of pages: 35 Posted: 22 Jan 2007
Vanthuan Nguyen, Bonnie F. Van Ness and Robert A. Van Ness
Morgan State University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 160 (376,240)

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Exchange Traded Funds, Multimarket Trading, Competition, Fragmentation, Consolidation

44.

An Examination of the Dissemination of Island Trades Through the Cincinnati Stock Exchange

Number of pages: 23 Posted: 22 Jul 2003
Robert A. Van Ness, Bonnie F. Van Ness and Vanthuan Nguyen
University of Mississippi - Department of Finance, University of Mississippi - Department of Finance and Morgan State University
Downloads 160 (376,240)

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Nasdaq, Cincinnati, Island

45.

Cubes to Quads: The Move of Qqq from Amex to Nasdaq

Number of pages: 32 Posted: 09 Feb 2007
Kevin Broom, Robert A. Van Ness and Richard S. Warr
University of Mississippi - School of Business Administration, University of Mississippi - Department of Finance and North Carolina State University
Downloads 150 (397,311)
Citation 1

Abstract:

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QQQ, ETF, NASDAQ

46.

Do Investors Avoid Odd-Eighth Prices? Evidence from NYSE Limit Orders

Number of pages: 38 Posted: 05 Feb 2001
John Cooney, Bonnie F. Van Ness and Robert A. Van Ness
Texas Tech University - Rawls College of Business, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 149 (399,493)
Citation 2

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47.

Does it Matter if Ticker Symbols are 3 or 4 Characters on NASDAQ?

Number of pages: 18 Posted: 13 Aug 2009
Jared F. Egginton, Bonnie F. Van Ness and Robert A. Van Ness
Boise State University - College of Business & Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 145 (408,307)
Citation 1

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NASDAQ, Ticker Symbol lenght

48.

The Information Content of the 1999 Announcement of Funds from Operation Changes for Real Estate Investment Trusts

Journal of Real Estate Research, Vol. 28, No. 3, 2006
Number of pages: 16 Posted: 13 Dec 2006
Eric James Higgins, Richard Ott and Robert A. Van Ness
Kansas State University - College of Business Administration, Kansas State University - Department of Accounting and University of Mississippi - Department of Finance
Downloads 139 (422,152)
Citation 1

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Funds from Operations, FFO, REITs, real estate investment trust, bid-ask spread

49.

An Analysis of Market Efficiency in Response to Short Sale Information

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 76 Posted: 14 Sep 2011
Guo Kai, John Conlon and Robert A. Van Ness
University of Pittsburgh - Johnstown Campus, affiliation not provided to SSRN and University of Mississippi - Department of Finance
Downloads 135 (431,924)

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efficient market hypothesis, rational expectations, short sales volume ratio, short sales constraints, short sales surprise, SEC Reg SHO

50.

The Dark Side of IPOs: Examining Where and Who Trades in the IPO Secondary Market

Number of pages: 46 Posted: 22 Apr 2018
Justin Cox, Bonnie F. Van Ness and Robert A. Van Ness
Appalachian State University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 131 (442,323)
Citation 1

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Dark Trading, Lit Fragmentation, Hidden Trading, Algorithmic Trading, IPOs

51.

Exchange Entrances, Mergers and the Evolution of Order Flow on NASDAQ 1993-2010

Number of pages: 34 Posted: 14 Oct 2011 Last Revised: 06 Dec 2011
University of Notre Dame - Department of Finance, Boise State University - College of Business & Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 123 (464,496)

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Nasdaq, trading, trading costs, canceled orders

Fly the Friendly Skynet: Reaction to a False-News Event for United Airlines

Journal of Applied Finance, Fall/Winter 2012, Volume 22, No. 2
Number of pages: 25 Posted: 16 Jul 2013 Last Revised: 29 Jul 2013
Mary Funck, Bonnie F. Van Ness and Robert A. Van Ness
Sam Houston State University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 73 (662,502)

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exchange-mandated trading halt, firm-specific trading halt, post-halt volatility

Fly the Friendly Skynet: Reaction to a False-News Event for United Airlines

Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 22, No. 2, 2012
Number of pages: 12 Posted: 12 Nov 2015
Mary Funck, Bonnie F. Van Ness and Robert A. Van Ness
Sam Houston State University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 49 (806,642)

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Fly the Friendly Skynet: Reaction to a False-News Event for United Airlines

Journal of Applied Finance, Fall/Winter 2012, Volume 22, No.2
Posted: 11 Sep 2012
Bonnie F. Van Ness, Robert A. Van Ness and Mary Funck
University of Mississippi - Department of Finance, University of Mississippi - Department of Finance and Sam Houston State University

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exchange-mandated trading halt, firm-specific trading halt, post-halt volatility

53.

Dealers and Changing Obligations: The Case of Stub Quoting

Number of pages: 35 Posted: 22 Dec 2012 Last Revised: 01 Aug 2014
Jared F. Egginton, Bonnie F. Van Ness and Robert A. Van Ness
Boise State University - College of Business & Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 117 (482,645)
Citation 1

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Stub quoting, dealers, NASDAQ

54.

Clustering of College Football Spreads

Number of pages: 19 Posted: 11 Oct 2011
Adam Schwartz, Bonnie F. Van Ness and Robert A. Van Ness
Washington and Lee University - Department of Business Administration, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 103 (529,850)

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College Football, Betting Spreads, Clustering

55.

Order Cancellations, Fees, and Execution Quality in U.S. Equity Options

Number of pages: 48 Posted: 18 Dec 2017 Last Revised: 22 May 2019
Todd Griffith and Robert A. Van Ness
Utah State University and University of Mississippi - Department of Finance
Downloads 97 (551,823)
Citation 2

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Limit Orders, Cancellation Rates, Fees, Execution Quality

56.

Re-Exploring the Bond and Equity ETF Hidden Liquidity Puzzle: An Intraday Analysis

Number of pages: 33 Posted: 16 Apr 2024
Cindy Pan, Bonnie F. Van Ness and Robert A. Van Ness
Susquehanna University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 82 (611,683)

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Hidden Volume; Hidden Liquidity; ETFs; Exchange Traded Funds; Trading Costs; Probability of Informed Trading; Pinging; Algorithmic Trading

57.

Is Smaller Better? Examining the Decrease in Trade Sizes in Financial Markets

Number of pages: 48 Posted: 04 Nov 2024
Michael Coccia, Robert A. Van Ness and Bonnie F. Van Ness
University of Mississippi - Department of Finance, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 75 (642,563)

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58.

An Analysis of the Fma Meetings: Presentation Activity of Institutions and Individuals, 1996-2012

Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 23, No. 2, 2013
Number of pages: 14 Posted: 07 Nov 2015
Jared F. Egginton, Bonnie F. Van Ness and Robert A. Van Ness
Boise State University - College of Business & Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 65 (691,937)

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59.

The Reporting of Island Trades on the Cincinnati Stock Exchange

Number of pages: 10 Posted: 22 Feb 2005
Vanthuan Nguyen, Bonnie F. Van Ness and Robert A. Van Ness
Morgan State University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 53 (761,771)

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60.

Municipal Bond Trading, Information Relatedness, and Natural Disasters

Posted: 27 Sep 2017
Brittany Cole, Bonnie F. Van Ness and Robert A. Van Ness
Tennessee Technological University, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 0 (1,272,709)

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municipal bonds; natural disasters

61.

NASDAQ Trading and Trading Costs: 1993-2002

Posted: 22 May 2005
Bonnie F. Van Ness, Robert A. Van Ness and Richard S. Warr
University of Mississippi - Department of Finance, University of Mississippi - Department of Finance and North Carolina State University

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Bid-ask spread, liquidity, market microstructure, Nasdaq, order handling rules

62.

The Impact of Market Maker Concentration on Adverse-Selection Costs for NASDAQ Stocks

Posted: 11 Oct 2004
Bonnie F. Van Ness, Robert A. Van Ness and Richard S. Warr
University of Mississippi - Department of Finance, University of Mississippi - Department of Finance and North Carolina State University

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Market microstructure, adverse selection costs, bid-ask spreads

63.

Specialists, Limit-Order Traders, and the Components of the Bid-Ask Spread

Posted: 06 Feb 2004
Kee H. Chung, Bonnie F. Van Ness and Robert A. Van Ness
State University of New York at Buffalo - School of Management, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance

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Limit-order, bid-ask spread, NYSE specialists, spread components

64.

Decimals and Liquidity: A Study of the NYSE

Posted: 22 Jul 2003
Sugato Chakravarty, Robert Wood and Robert A. Van Ness
Krannert School of Management, University of Memphis - Fogelman College of Business and Economics and University of Mississippi - Department of Finance

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65.

The First of Many? The Microstructure Effects of Aeroflex Corporation's Move from the NYSE to the NASDAQ

Journal of Applied Finance, Vol. 12, No. 2, Fall/Winter 2002
Posted: 14 Feb 2003
Stephen W. Pruitt, Bonnie F. Van Ness and Robert A. Van Ness
affiliation not provided to SSRN, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance

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66.

NASDAQ and the Chicago Stock Exchange: An Analysis of Multiple Market Trading

Posted: 25 Oct 1999
Bonnie F. Van Ness, Wen-Liang Hseih and Robert A. Van Ness
University of Mississippi - Department of Finance, Tamkang University and University of Mississippi - Department of Finance

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67.

Clientele Trading in Response to Published Information: Evidence from the 'Dartboard' Column

Posted: 17 Aug 1999
Stephen W. Pruitt, Bonnie F. Van Ness and Robert A. Van Ness
affiliation not provided to SSRN, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance

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68.

The Effect of the Sec's Order Handling Rules on NASDAQ

Posted: 19 Jul 1998
Robert A. Van Ness, Thomas H. McInish and Bonnie F. Van Ness
University of Mississippi - Department of Finance, University of Memphis - Fogelman College of Business and Economics and University of Mississippi - Department of Finance

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69.

Property-Liability Insurance Company Market Pullout Announcements and Shareholder Wealth

Journal of Risk and Insurance, Vol. 64 No. 3, September 1997
Posted: 18 Mar 1998
University of Memphis - Fogelman College of Business and Economics, Nanyang Technological University (NTU), affiliation not provided to SSRN and University of Mississippi - Department of Finance

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