Malay K. Dey

Cornell University

United States

Southern Illinois University at Edwardsville

1 Hairpin Drive

Edwardsville, IL 62026-1102

United States

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 32,946

in Total Papers Downloads

1,330

SSRN RANKINGS

Top 15,757

in Total Papers Citations

22

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Scholarly Papers (12)

1.

Turnover and Return in Global Stock Markets

Emerging Markets Review, Forthcoming
Number of pages: 23 Posted: 08 Oct 2004 Last Revised: 25 Apr 2011
Malay K. Dey
Cornell University
Downloads 498 (54,615)

Abstract:

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Stock exchange, legal systems, return, liquidity, turnover ratio

2.

Turnover and Return in Global Stock Markets: A Time Series and Cross Sectional Analysis

Networks Financial Institute Working Paper No. 2007-WP-15
Number of pages: 44 Posted: 11 Dec 2007
Malay K. Dey
Cornell University
Downloads 404 (70,671)

Abstract:

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Stock exchange, Legal systems, Return, Liquidity, Turnover ratio

3.

Bid Ask Spread in a Competitive Market With Institutions and Order Size

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 21 Posted: 21 Jul 2007 Last Revised: 25 Apr 2011
Malay K. Dey and Hossein B. Kazemi
Cornell University and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 194 (153,579)

Abstract:

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Information asymmetry, Sequential equilibrium, Order size, Security price, Bid-ask spread, Institutions

4.

Return Spread and Liquidity: Evidence from Hong Kong ADRs

Research in International Business and Finance, Forthcoming
Number of pages: 33 Posted: 23 Oct 2011 Last Revised: 20 Jan 2013
Malay K. Dey and Chaoyan Wang
Cornell University and University of York
Downloads 69 (326,223)

Abstract:

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ADR, Return spread, Liquidity

5.

A Case for 'Allied Finance Associations' Meetings

Number of pages: 9 Posted: 15 Sep 2009
Malay K. Dey
Cornell University
Downloads 45 (398,736)

Abstract:

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financial association, annual meetings

6.

Who Trades During Earnings Announcements? Evidence from Torq Data

Journal of Business Finance & Accounting, Forthcoming
Number of pages: 23 Posted: 23 Aug 2006 Last Revised: 23 Oct 2011
Malay K. Dey and B. Radhakrishna
Cornell University and FAV Partners
Downloads 43 (405,946)

Abstract:

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Individual and institutional investors, Trading volume, Earnings announcements, Information, Monte-Carlo simulation, Behavioral finance

7.

Informed Trading, Institutional Trading, and Spread

Journal of Economics and Finance, Forthcoming
Number of pages: 34 Posted: 20 Jan 2013
Malay K. Dey and B. (Radha) Radhakrishna
Cornell University and Independent
Downloads 42 (409,576)

Abstract:

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PIN, Institutional trading, spread decomposition, liquidity

8.

Information Content in Small and Large Trades

Economic Notes, Forthcoming
Number of pages: 45 Posted: 24 Apr 2011
Malay K. Dey, Hal S. Stern and Zhang Hongmei
Cornell University, University of California, Irvine - Department of Statistics and affiliation not provided to SSRN
Downloads 35 (437,143)

Abstract:

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PIN, Trade Size, Institutional trading, Mixture model

9.

Is Information Risk Really a Determinant of Security Returns? Evidence from TORQ

Journal of Trading, Forthcoming, https://doi.org/10.3905/jot.2010.5.3.051
Posted: 21 May 2019
Malay K. Dey
Cornell University

Abstract:

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Information risk, Price risk, Liquidity risk, Institutional trading, PIN, Return

10.

Are Banks and Stock Markets Complements or Substitutes?

Networks Financial Institute Working Paper No. 2007-WP-04
Posted: 21 Jul 2008
Malay K. Dey
Cornell University

Abstract:

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Stock exchange liquidity, growth, bank credit

11.

Order Time, Multiple Shocks, and Short Selling in Security Price Adjustment

Posted: 06 Apr 2001
Malay K. Dey
Cornell University

Abstract:

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Information asymmetry, securities pricing, sequential game

12.

Institutional Trading, Trading Volume, and Spread

Posted: 12 Jan 2001
Malay K. Dey and B. (Radha) Radhakrishna
Cornell University and Independent

Abstract:

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Institutional trading, spread decomposition, information, liquidity