Making Market Microstructure Matter

Financial Management (Financial Management Association),  Summer, 1999  by Maureen O'Hara

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Easley, D., N. Kiefer, M. O'Hara, and J. Paperman, 1996, "Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance (September), 1405-1436.

Eleswarapu, V. and M. Reinganum, 1993, "The Seasonal Behavior of Liquidity Premium in Asset Pricing," Journal of Financial Economics (December), 373-386.

Ellis, K., R. Michaely, and M. O'Hara, 1999, "When the Underwriter is the Market Maker: An Examination of After-Market Trading in IPOs," Journal of Finance (forthcoming).

Engle, R.F. and J.R. Russell, 1997, "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Time Series Data," University of California-San Diego Working Paper.

Fama, E.F. and F.R. French, 1993, "Common Risk Factors in the Returns on Stock and Bonds," Journal of Financial Economics (January), 3-56.

Ferson, W., S. Sarkissian, and T. Simin, 1999, "The Alpha Factor Asset Pricing Model: A Parable," Journal of Financial Markets (February), 49-68.

Hargis, K. and P. Ramanial, 1998, "When Does Internationalization Enchance the Development of Domestic Stock Markets?" Journal of Financial Intermediation (July), 263-292.

Karolyi, A., 1996, "What Happens to Stocks that List Shares Abroad? A Survey of the Evidence and Its Managerial Implications," University of Western Ontario Working Paper.

Levine, R., 1999, "Law, Finance, and Economic Growth," Journal of Financial Intermediation, forthcoming.

Smith, K. and G. Sofianos, 1997, "The Impact of NYSE Listing on the Global Trading of Non-US Stocks," NYSE Working Paper #97-02.

Maureen O'Hara is the Robert W. Purcell Professor of Finance at Cornell University.

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