Publications

(Selected Publications)

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

    The Journal of Financial Research, 2009, vol. 32(1), 1-21

    Blau, Van Ness, and Van Ness

● Adverse Selection and the Opaqueness of Insurers

    The Journal of Risk and Insurance, 2009, vol. 76(2), 295-321

    Blau, Van Ness, and Van Ness

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

    The Journal of Risk and Insurance, 2008, vol. 75(4), 967-996

    Blau, Van Ness, and Wade

● Locked and Crossed Markets on NASDAQ and the NYSE

    The Journal of Financial Markets, 2008, vol. 11, 308-337

    Shkilko, Van Ness, and Van Ness

● Competition in the Market for NASDAQ Securities

    The Journal of Financial Markets, 2008, vol. 11, 113-143

    Goldstein, Shkilko, Van Ness, and Van Ness

● On the Marketing of IPOs

    The Journal of Financial Economics, 2006, vol. 82, 35-61

    Cook, Kieschnick, and Van Ness

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

    The Journal of Financial Research, 2005, vol. 28, 461-485

    Van Ness, Van Ness, and Warr

● Nasdaq Trading and Trading Costs:  1993-2002

    The Financial Review, 2005, vol. 40, 281-304

    Van Ness, Van Ness, and Warr

● Clustering in the Futures Market:  Evidence from S&P 500 Futures Contracts

    Journal of Futures Markets, 2004, vol. 24, 413-428

    Schwartz, Van Ness, and Van Ness

● Decimals and Liquidity:  A study of the NYSE

    The Journal of Financial Research, 2004, vol. 27, 75-94

    Chakravarty, Wood, and Van Ness

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

    The Financial Review, 2002, vol. 37, 481-505

    Chung, Van Ness, and Van Ness

● Can the treatment of limit orders reconcile the differences in trading costs between between NYSE and Nasdaq issues?

    Journal of Financial and Quantitative Analysis, 2001, vol. 36, 267-286

    Chung, Van Ness, and Van Ness

● How well do adverse selection components measure adverse selection?

    Financial Management, 2001, vol. 30, 77-98

    Van Ness, Van Ness, and Warr

● Order handling rules, tick size, and the intraday pattern of of bid-ask spreads for Nasdaq stocks

    Journal of Financial Markets, 2001, vol. 4, 143-161

    Chung and Van Ness

● Limit Orders and the bid-ask spread

    Journal of Financial Economics, 1999, vol. 53, 255-287

    Chung, Van Ness, and Van Ness