Dr. Bonnie F. Van Ness

bvanness@bus.olemiss.edu

PUBLISHED PAPERS

B. Blau, B. Van Ness, and R. Van Ness, “Short selling and the weekend effect for NYSE securities.” Forthcoming: Financial Management.

B. Blau, B. Van Ness, and R. Van Ness, “Intraday stealth trading:  Which trades move prices during high volume?”  Forthcoming:  Journal of Financial Research.

A. Shkilko, B. Van Ness, and R. Van Ness, 2008, “Locked and crossed markets on NASDAQ and the NYSE.”  Journal of Financial Markets, vol. 11, no. 3, 308-337.

M. Goldstein, A. Shkilko, B. Van Ness, and R. Van Ness, 2008, “Competition in the market for NASDAQ securities.”  Journal of Financial Markets, vol. 11, no.2, 113-143.

P. Spurlin, B. Van Ness, and R. Van Ness, 2008, “Open volume and time to open on option expiration days.”   International Review of Economics and Finance, vol. 17, no. 2, 245-257.

B. Danielsen, B. Van Ness, and R. Warr, 2007, “Reassessing the impact of options introductions on market quality: a less restrictive test for event-date effects,” The Journal of Financial and Quantitative Analysis, vol. 42, 1041-1062.

V. Nguyen, B. Van Ness, and R. Van Ness, 2007, “Inter-market competition for exchange traded funds.” Journal of Economics and Finance, vol. 31, no. 2, 251-267.

V. Nguyen, B. Van Ness, and R. Van Ness, 2007, “Short- and long-term effects of multimarket trading.” The Financial Review, vol. 42, no. 3, 349-372.

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

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

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

B. Pirim, B. Van Ness, and R. Van Ness, 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.

B. Van Ness, R. Van Ness, and R. Warr, 2005, “The impact of market-maker concentration on adverse selection costs for NASDAQ stocks,” The Journal of Financial Research, vol. 28, no. 3, 461-485.

B. Van Ness, R. Van Ness, and R. Warr, 2005, “NASDAQ trading and trading costs: 1993-2002,” The Financial Review, vol. 40, no. 3, 281-304.

S. Chakravarty, B. Van Ness, and R. Van Ness, 2005, “The effect of decimalization on trade size and adverse selection costs,” Journal of Business Finance and Accounting, vol. 32, no. 5 & 6, 1063-1081.

P. Malone, B. Van Ness, and R. Van Ness, 2005, "Online and In-Class Student Evaluations," Journal of Financial Education, vol. 31,15-22.

Y. Lin, B. Van Ness, and R. Van Ness, 2005, "Daily and Intraday patterns in Spread and Depth for Limit Orders and Specialists," Quarterly Journal of Business and Economics, vol. 44, no. 3 & 4, 3-14.

V. Nguyen, B. Van Ness, and R. Van Ness, 2005, "Archipelago's move towards exchange status: An analysis of Archipelago trading in NYSE and NASDAQ stocks," Journal of Economics and Business, vol. 57, no. 6, 541-554.

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

B. Van Ness, R. Van Ness, and R. Warr, 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 Finance and Accounting, vol. 2, 105-128.

B. Van Ness, R. Van Ness, and R. Warr, 2005, “A comparison of regional and NYSE trading (1993-2002),” forthcoming in Stock Exchanges, IPO's and Mutual Funds, Hauppauge, NY: Nova Publishers, 1-20.

A. Schwartz, B. Van Ness, and R. Van Ness, 2004, “Clustering in the futures market: Evidence for S&P 500 futures contracts.” Journal of Futures Markets, vol. 24, no. 5, 413-428.

K. Chung, B. Van Ness, and R. Van Ness, 2004, “Trading costs and quote clustering on the NYSE and NASDAQ after decimalization,” The Journal of Financial Research, vol. 27, no. 3,  309-328 .

K. Chung, B. Van Ness, and R. Van Ness, 2004, “Specialists, limit-order traders and the components of the bid-ask spread.” The Financial Review, vol. 39, no. 2, 255-270.

V. Nguyen, B. Van Ness, and R. Van Ness, 2004, “An examination of the dissemination of Island trades through the Cincinnati Stock Exchange,” Journal of Applied Finance, vol. 14, no. 2, 30-39.

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

J. Forjan and B. Van Ness, 2003.  “An investigation of poison pill securities, long term debt, and the wealth of shareholders,” Mid-American Journal of Business, vol. 18, no. 2, 17-22.

A. Desai, B. Van Ness, and R. Van Ness, 2003, “Spreads and trading activity surrounding September 11th, 2001,”  Finance Letters, August 2003, vol. 1, issue4.

J. Clark, S. Pruitt, and B. Van Ness, 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, © 2003 by Institutional Investor, Inc., 101-107.

S. Pruitt, B. Van Ness, and R. Van Ness, 2002, “The first of many?  The microstructure effects of Aeroflex Corporation’s jump from the NYSE to the Nasdaq,” The Journal of Applied Finance, vol. 12, no. 2, 46-54.

K. Chung, B. Van Ness, and R. Van Ness, 2002, “Spreads, depths, and quote clustering on the NYSE and Nasdaq: Evidence after the 1997 SEC’s rule changes,” The Financial Review, vol. 37, no. 4, 481-505.

T. McInish and B. Van Ness, 2002, "An intraday examination of the components of the bid-ask spread," The Financial Review, vol. 37, no. 4, 507-524.

B. Van Ness, R. Van Ness, and R. Warr, 2002, "Is the adverse selection component really higher on the NYSE/Amex than on the Nasdaq?" The Journal of Business Finance and Accounting, vol. 29, no. 5&6, 807-824.

T. McInish, B. Van Ness, and R. Van Ness, 2002, “After-hours trading of NYSE stocks on the regional exchanges,” The Review of Financial Economics, vol. 11, no. 4, 287-297.

P. Wright, M. Kroll, A. Lado, and B. Van Ness, 2002, "The structure of ownership and corporate acquisition strategies," Strategic Management Journal, vol. 23, no. 1, 41-53.

B. Van Ness, R. Van Ness, and R. Warr, 2001, "How well do adverse selection components measure adverse selection?" Financial Management, vol. 30, no. 3, 77-98.

K. Chung, B. Van Ness, and R. Van Ness, 2001, “Can the treatment of limit orders reconcile the differences in trading costs between NYSE and Nasdaq issues?” The Journal of Financial and Quantitative Analysis, vol. 36, no. 2, 267-286.

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

S. Pruitt, B. Van Ness, and R. Van Ness, 2000, “Clientele trading in response to published information:  Evidence from the dartboard column.” Journal of Financial Research, vol. 23, no. 1, 1-13.

S. Pruitt, B. Van Ness, and R. Van Ness, 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, vol. 15, no. 2, 153-167.

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

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

B. Van Ness, R. Van Ness, and R. Adkins, 2000, "Student performance in principles of finance: Differences between traditional and internet settings."  Financial Practice and Education, vol. 10, no. 2, 160-166.

M. Newsome, B. Van Ness, and R. Van Ness, 2000, “A relevant financial principles assignment using credit card purchase-payment variations.”  Journal of Financial Education 26, no. 1, 60-67.

K. Chung, B. Van Ness, and R. Van Ness, 1999, “Limit orders and the bid-ask spread.” The Journal of Financial Economics, vol. 53, no 2, pp. 255-287.

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

B. Van Ness, R. Van Ness, and S. Pruitt, 1999, “An empirical examination of the Nasdaq/CHX dual-trading experiment.” The Financial Review, vol. 34, 65-77.

B. Van Ness, R. Van Ness, and R. Kamery, 1999, “The effect of part-time instruction on grades in principles of finance.” Financial Practice and Education, vol. 9, no. 2, 105-110.

B. Van Ness, R. Van Ness, and R. Kamery, 1999, “The effect of part-time instruction on grades in principles of economics.”  The Journal of Business Research, vol. 2, no. 1, 68-76.

T. McInish, B. Van Ness, and R. Van Ness, 1998, “The effect of the SEC’s Order-Handling Rules on NASDAQ.” Journal of Financial Research, Vol. XXI, no. 3, 247-254.

T. McInish, B. Van Ness, and R. Van Ness, 1996, "Intraday patterns in ADR volume and volatility." Contemporary Developments in Finance, 1996, distributed by Editions ESKA Paris, 125-131.