Dr. Bonnie F. Van Ness

bvanness@bus.olemiss.edu

PUBLISHED PAPERS

Moser, S. S., Van Ness, B. F., & Van Ness, R. A. (2013).  Securities lending around proxies: Is the increase in lending due to proxy abuse, or a result of dividends?Journal of Financial Research, 36 (1), 1-17.  

Blau, B., Van Ness, B., & Van Ness, R. (2012).  Do short sellers trade in anticipation of short interest announcements?  Journal of Trading, 7 (4), 35-46..  

Egginton, J., Van Ness, B., & Van Ness, R. (2012).  Exchange entrances, mergers and the evolution of order flow on NASDAQ 1993-2010.  Journal of Accounting and Finance, 12 (4), 66-85..  

Funck, M., Van Ness, B. F., & Van Ness, R. A. (2012).  Fly the friendly Skynet: Reaction to a false-news event for United Airlines.  Journal of Applied Finance, 22 (2), 101-112.  

Spurlin, P. P., Van Ness, B. F., & Van Ness, R. A. (2012).  Short sales in the NYSE batch open and Nasdaq opening cross.  International Journal of Managerial Finance, 8 (3), 159-182.  

Shkilko, A., Van Ness, B. F., & Van Ness, R. A. (2012).  Short selling and intraday price pressures.  Financial Management, 41 (2), 345-370.  

Blau, B., Van Ness, B. F., & Van Ness, R. A. (2012).  Trade size and price clustering: The case of short sales and the suspension of price tests.  Journal of Financial Research, 35 (2), 159-182.  

Pirim, B., Van Ness, B. F., Van Ness, R. A., & Kugele, L. P. (2011).  An analysis of the inventory component of the bid-ask spread.  Banking and Finance Review, 2 (2), 1-20.  

Blau, B., Van Ness, B. F., & Van Ness, R. A. (2011).  Information in short selling: Comparing the NASDAQ and the NYSE.  Review of Financial Economics, 20, 1-10.  

Goldstein, M., Shkilko, A., Van Ness, B. F., & Van Ness, R. A. (2010).  Inter-Market Competition for NYSE-listed Securities.  Review of Quantitative Finance and Accounting, 35 (4), 371-391.  

Fuller, K. P., Van Ness, B. F., & Van Ness, R. A. (2010).  Is information risk priced for NASDAQ-listed securities?  Review of Quantitative Finance and Accounting, 34 (3), 301-312.  

Blau, B., Van Ness, B. F., Van Ness, R. A., & Wood, R. (2010).  Short selling during extreme market movements.  Journal of Trading, 4 (4), 14-27.  

Blau, B., Van Ness, B. F., & Van Ness, R. A. (2009).  Information and trade sizes: The case of short sales.  Quarterly Review of Economics and Finance, 49 (4), 1371-1388.  

Blau, B., Van Ness, B. F., & Van Ness, R. A. (2009).  Intraday stealth trading: Which trades move prices during high volume?  Journal of Financial Research, 32 (1), 1-21.  

Mai, L., Van Ness, R., & Van Ness, B. (2009).  Short sales around M&A announcements.  Journal of Financial Economic Policy, 1 (2), 177 - 197.  

Blau, B., Van Ness, B. F., & Van Ness, R. A. (2009).  Short selling and the weekend effect for NYSE securities.  Financial Management, 38 (3), 603-630.  

Goldstein, M., Shkilko, A., Van Ness, B. F., & Van Ness, R. A. (2008).  Competition in the market for NASDAQ securities.  Journal of Financial Markets, 11 (2), 245-257.  

Shkilko, A., Van Ness, B. F., & Van Ness, R. A. (2008).  Locked and crossed markets on NASDAQ and the NYSE.  Journal of Financial Markets, 11 (3), 308-337.  

Spurlin, W. P., Van Ness, B. F., & Van Ness, R. A. (2008).  Open volume and time to open on option expiration days.  The International Journal of Economics and Finance, 17 (2), 245-257.  

Nguyen, V. T., Van Ness, B. F., & Van Ness, R. A. (2007).  Inter-market competition for exchange traded funds.  Journal of Economics and Finance, 31 (2), 251-267.  

Danielsen, B., Van Ness, B. F., & Warr, R. S. (2007).  Reassessing the impact of options introductions on market quality: A less restrictive test for event-date effects.  Journal of Financial and Quantitative Analysis, 42 (4), 1041-1062.  

Nguyen, V. T., Van Ness, B. F., & Van Ness, R. A. (2007).  Short- and long-term effects of multimarket trading.  The Financial Review, 42 (3), 349-372.  

Blau, B. M., Van Ness, B. F., & Van Ness, R. A. (2006).  An analysis of short selling in NYSE-listed securities.  Journal of Trading, 1 (4), 14-21.  

Pirim, B., Van Ness, B. F., & Van Ness, R. A. (2006).  Can security characteristics and market structure explain the differences in trading costs between NYSE and NASDAQ securities.  International Research Journal of Finance and Economics (2), 6-25.  

Goldstein, M., Van Ness, B. F., & Van Ness, R. A. (2006).  The intraday probability of informed trading on the NYSE.  Advances in Quantitative Analysis of Finance and Accounting, 3, 139-158.  

Elliot, W., Van Ness, B. F., Walker, M., & Warr, R. S. (2006).  What drives the S&P 500 inclusion effect: An analytic survey.  Financial Management, 35 (4), 31-48.  

Nguyen, V., Van Ness, B., & Van Ness, R. (2005).  Archipelago's move towards exchange status: An analysis of Archipelago trading in NYSE and NASDAQ stocks.  Journal of Economics and Business, 57 (6), 541-554..  

Li, Y., Van Ness, B., & Van Ness, R. (2005).  Daily and intraday patterns in spread and depth for limit orders and specialists.  Quarterly Journal of Business and Economics, 44 (3 & 4), 3-14.  

Nguyen, V. T., Van Ness, B. F., & Van Ness, R. A. (2005).  Intraday trading of Island (as reported to the Cincinnati Stock Exchange) and NASDAQ.  Advances in Quantitative Analysis of Finance and Accounting, 2, 89-104.  

Shkilko, A., Van Ness, B. F., & Van Ness, R. A. (2005).  Locked and crossed markets on NASDAQ and the NYSE.  Journal of Financial Markets.  

Van Ness, B., Van Ness, R., & Warr, R. (2005).  NASDAQ Trading and trading costs: 1993-2002.  The Financial Review, 40 (3), 381-304.  

Malone, P., Van Ness, B., & Van Ness, R. (2005).  Online and in-class student evaluations.  Journal of Financial Education, 31, 15-22.  

Danielsen, B., Van Ness, B. F., & Warr, R. S. (2005).  Reassessing the impact of options introductions on market quality: a less restrictive test for even-date effects.  Journal of Financial and Quantitative Analysis.  

Chakravarty, S., Van Ness, B., & Van Ness, R. (2005).  The effect of decimalization on trade size and adverse selection costs .  Journal of Business Finance & Accounting, 32 (5 & 6), 1063-1081.  

Van Ness, B. , Van Ness, R. , & Warr, R. (2005).  The impact of market-maker concentration on adverse selection costs for NASDAQ stocks .  Journal of Financial Research, 28 (3), 461-485.  

Van Ness, B. F., Van Ness, R. A., & Warr, R. S. (2005).  The impact of the introduction of index securities on the underlying stocks: The case of the Diamonds and the Dow 30.  Advances in Quantitative Analysis of Finance and Accounting, 2, 105-128.  

Nguyen, V., Van Ness, B., & Van Ness, R. (2004).  An examination of the dissemination of Island trades through the Cincinnati Stock Exchange.  Journal of Applied Finance, 14 (2), 30-39.  

Schwartz, A. L., Van Ness, B., & Van Ness, R. A. (2004).  Clustering in the futures market: Evidence from S & P 500 futures contracts.  Journal of Futures Markets, 24 (5), 413-428.  

Chung, K. , Van Ness, B. , & Van Ness, R. (2004).  Specialists, limit-order traders, and the components of the bid-ask spread.  The Financial Review, 39 (2), 255-270.  

Chung, K., Van Ness, B., & Van Ness, R. (2004).  Trading costs and quote clustering on the NYSE and NASDAQ after decimalization.  Journal of Financial Research, 27, 309-328.  

Cooney, J., Van Ness, B., & Van Ness, R. (2003).  Do investors prefer even-eighth prices? Evidence from NYSE limit orders .  Journal of Banking and Finance, 27, 719-748.  

Desai, A., Van Ness, B. , & Van Ness, R. (2003).  Spreads and trading activity surrounding September 11th 2001 .  Finance Letters, 1 (4).  

McInish, T., Van Ness, B., & Van Ness, R. (2002).  After-hours trading of NYSE stocks on the regional exchanges .  Review of Financial Economics, 11 (4), 287-297.  

McInish, T. & Van Ness, B. (2002).  An intraday examination of the components of the bid-ask spread.  The Financial Review, 37 (4), 507-524.  

Van Ness, B., Van Ness, R., & Warr, R. (2002).  Is the adverse selection component really higher on the NYSE/Amex than on the Nasdaq?  Journal of Business Finance & Accounting, 29 (5 & 6), 807-824.  

Chung, K., Van Ness, B., & Van Ness, R. (2002).  Spreads, depth, and quote clustering on the NYSE and Nasdaq: Evidence after the 1997 SEC's rule changes.  The Financial Review, 37 (4), 481-505.  

Pruitt, S. , Van Ness, B., & Van Ness, R. (2002).  The first of many? The microstructure effects of Aeroflex Corporation's move from the NYSE to the Nasdaq.  Journal of Applied Finance, 12 (2), 46-54.  

Wright, P., Kroll, M., Lado, A., & Van Ness, B. (2002).  The structure of ownership and corporate acquisition strategies.  Strategic Management Journal, 23 (1), 41-53.  

Chung, K., Van Ness, B., & Van Ness, R. (2001).  Can the treatment of limit orders reconcile the differences in trading costs between NYSE and Nasdaq issues? .  Journal of Financial and Quantitative Analysis, 36 (2), 267-286.  

Van Ness, B., Van Ness, R., & Warr, R. (2001).  How well do adverse selection components measure adverse selection?  Financial Management, 30 (3), 77-98.  

McInish, T., Van Ness, B. , & Van Ness, R. (2001).  Market changes and spread components, implications for international markets .  Journal of International Financial Markets, Institutions and Money, 11, 65-73.  

Newsome, M., Van Ness, B. , & Van Ness, R. (2000).  A relevant financial principles assignment using credit card purchase-payment variations.  Journal of Financial Education, 26 (1), 60-67.  

Pruitt, S. , Van Ness, B., & Van Ness, R. (2000).  Clientele trading in response to published information: Evidence from the dartboard column.  Journal of Financial Research, 23 (1), 1-13.  

Kugele, L., McInish, T., Van Ness, B. , & Van Ness, R. (2000).  Competition from the limit order book and NYSE spreads.  Journal of International Financial Markets, Institutions and Money, 10, 31-42.  

Wood, R., McCorry, M., Van Ness, B. F., & Van Ness, R. A. (2000).  Portfolio formation methods: Linear programming as an alternative to ranking.  Advances in Investment Analysis and Portfolio Management, 7, 105-115.  

Van Ness, B., Van Ness, R., & Adkins, R. (2000).  Student performance in principles of finance: differences between traditional and internet settings.  Financial Practice and Education, 10 (2), 160-166.  

Van Ness, B., Van Ness, R., & Pruitt, S. (2000).  The impact of the reduction in tick increments in major U.S. markets on spreads, depth, and volatility.  Review of Quantitative Finance and Accounting, 15 (2), 153-167.  

Van Ness, B., Van Ness, R., & Pruitt, S. (1999).  An empirical examination of the Nasdaq/CHX dual-trading experiment.  The Financial Review, 34, 65-77.  

Chung, K., Van Ness, B. , & Van Ness, R. (1999).  Limit orders and the bid-ask spread.  Journal of Financial Economics, 53 (2), 255-287.  

Van Ness, B. , Van Ness, R., & Hsieh, W. (1999).  NASDAQ and the Chicago Stock Exchange: An analysis of multiple market trading.  The Financial Review, 34, 145-158.  

Van Ness, B., Van Ness, R., & Kamery, R. (1999).  The effect of part-time instruction on grades in principles of economics.  Journal of Business Research, 2 (1), 68-76.  

Van Ness, B., Van Ness, R., & Kamery, R. (1999).  The effect of part-time instruction on grades in principles of finance .  Financial Practice and Education, 9 (2), 105-110.  

McInish, T., Van Ness, B., & Van Ness, R. (1998).  The effect of the SEC's Order-Handling Rules on NASDAQ.  Journal of Financial Research, 21 (3), 247-254.  

Book Chapters 

Cole, B. & Van Ness, B.,  Chapter 12: Price Discreteness and Decimalization,  forthcoming in Market Microstructure in Emerging and Developed Markets.  

Van Ness, B., Van Ness, R. , & Warr, R. (2005). A comparison of regional and NYSE trading (1993-2002),  Focus on Financial Institutions and Services. Hauppauge, NY:  Nova Publisher's.  

Clark, J., Pruitt, S., & Van Ness, B. (2003). Clientele differences in the market for exchange-traded funds: A comparison of the trading characteristics of ETFs vis-à-vis their underlying equities,  Exchange Traded Funds: New Approaches and Global Outreach (pp. 101-107). Institutional Investor, Inc., .  

McInish, T., Van Ness, B. , & Van Ness, R. (1996). Intraday patterns in ADR volume and volatility,  Contemporary Developments in Finance (pp. 125-131). Paris, France:  Editions ESKA.