Terry Hendershott
Professor in Finance & Operations and Information Technology Management
Willis H. Booth Chair in Banking and Finance
Haas School of Business
University of California at Berkeley
hender AT haas.berkeley.edu 510 643-0619

Click on the title below to download an Acrobat (pdf) file of the paper. Click here for my cv; which lists the various awards my papers have won. Here for my Google scholar profile.

Publications:

• Quote Competition in Corporate Bonds (with Dmitry Livdan, Dan Li, Norman Schürhoff, and Kumar Venkataraman), Journal of Finance, forthcoming.
• Option Auctions (with Saad Khan and Ryan Riordan), Review of Financial Studies, forthcoming.
• Order Exposure in High Frequency Markets (with Bidisha Chakrabarty, Samarpan Nawn, and Roberto Pascual), Journal of Financial and Quantitative Analysis, forthcoming.
• Stock Exchanges as Platforms for Data and Trading (with Marc Rysman and Rainer Schwabe), Journal of Financial Markets 75 (September 2025).
• When failure is an option: Fragile liquidity in over-the-counter markets (with Dmitry Livdan, Dan Li, and Norman Schürhoff), Journal of Financial Economics 157 (July 2024).
• Nonstandard Errors (with 342 coauthors), Journal of Finance 79 (June 2024), 2339-2390.
• Transparency in Fragmented Markets: Experimental Evidence (with Marvin Wee and Yuanji Wen), Journal of Financial Markets 59 (June 2022), 1-20.
• Asset Price Dynamics with Limited Attention (with Albert Menkveld, Remy Praz, and Mark Seasholes), Review of Financial Studies 35 (February 2022), 962–1008.
• Does Financial Market Structure Impact the Cost of Raising Capital? (with James Brugler and Carole Comerton-Forde), Journal of Financial and Quantitative Analysis 56 (August 2021), 1771-1808.
• FinTech as a Game Changer: Overview of Research Frontiers (with Michael Zhang, Leon Zhao, and Eric Zheng), Information Systems Research 32 (March 2021), 1-17.
• Asset Pricing: A Tale of Night and Day (with Dmitry Livdan and Dominik Rösch), Journal of Financial Economics 138 (December 2020), 635-662.
• Relationship Trading in OTC Markets (with Dan Li, Dmitry Livdan, and Norman Schürhoff), Journal of Finance 75 (April 2020), 683-734. Internet appendix.
• Short Selling and Price Discovery in Corporate Bonds (with Roman Kozhan and Vikas Raman), Journal of Financial and Quantitative Analysis 55 (January 2020), 77-115. Internet appendix.
• Price Discovery without Trading: Evidence from Limit Orders (with Jonathan Brogaard and Ryan Riordan), Journal of Finance 75 (August 2019), 1621-1658. Internet appendix.
• High Frequency Trading and the 2008 Short Sale Ban (with Jonathan Brogaard and Ryan Riordan), Journal of Financial Economics 124 (April 2017), 22-42.
• Are Institutions Informed about News? (with Dmitry Livdan and Norman Schürhoff), Journal of Financial Economics 117 (August 2015), 249-287.
• Click or Call? Auction versus Search in the Over-the-Counter Market (with Ananth Madhavan), Journal of Finance 70 (February 2015), 419-447. Internet appendix.
• Price Pressures (with Albert Menkveld), Journal of Financial Economics 114 (December 2014), 405-423.
• High Frequency Trading and Price Discovery (with Jonathan Brogaard and Ryan Riordan), Review of Financial Studies 27 (August 2014), 2267-2306.
• Liquidity Provision and Stock Return Predictability (with Mark Seasholes), Journal of Banking & Finance 45 (August 2014), 140-151.
• How Slow is the NBBO? A Comparison with Direct Exchange Feeds (with Shengwei Ding and John Hanna), Financial Review 49 (May 2014), 313-332. Online Appendix.
• High-Frequency Trading and the Execution Costs of Institutional Investors (with Jonathan Brogaard, Stefan Hunt, and Carla Ysusi), Financial Review 49 (May 2014), 345-369.
• Levelling the Trading Field (with David Easley and Tarun Ramadorai), Journal of Financial Markets 17 (January 2014), 65-93. Related photos.
• Algorithmic Trading and the Market for Liquidity (with Ryan Riordan), Journal of Financial and Quantitative Analysis 48 (August 2013), 1001-1024; this expands on a subset of the results in Algorithmic Trading and Information.
• The Intended and Collateral Effects of Short-Sale Bans as a Regulatory Tool (with Ethan Namvar and Blake Phillips), Journal of Investment Management 11 (2013), 5–13.
• Informed Trading and Portfolio Returns (with Alex Boulatov and Dmitry Livdan), Review of Economic Studies 80 (January 2013), 35-72. Internet Appendix.
• Automation, Speed, and Stock Market Quality: The NYSE’s Hybrid (with Pam Moulton), Journal of Financial Markets 14 (November 2011), 568-604. Hybrid Phase III activation list. Sample with Nasdaq matches used in paper.
• Does Algorithmic Trading Improve Liquidity? (with Charles Jones and Albert Menkveld), Journal of Finance 66 (February 2011), 1-33. Autoquote activation list. The exact underlying message data used in the paper came from the NYSE and cannot be redistributed. However, data allowing for calculation of related measures of algorithmic trading are available in TAQ (for inside quote changes) and internationally (and for more levels of the order book) from other data sources. Internet appendix.
• Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues (with Carole Comerton-Forde, Charles Jones, Pam Moulton, and Mark Seasholes), Journal of Finance 65 (February 2010), 295-331. Internet Appendix.
• The NFL Should Auction Possession in Overtime Games (with Yeon-Koo Che), Economists’ Voice 9 (October 2009).
• A Comparison of Trading and Non-Trading Mechanisms for Price Discovery (with Michael Barclay), Journal of Empirical Finance 15 (December 2008), 839-849.
• How to Divide the Possession of a Football? (with Yeon-Koo Che), Economics Letters 99 (June 2008), 561-565. See Other below for popular press writing on this topic.
• Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks (with Michael Barclay and Charles Jones), Journal of Financial and Quantitative Analysis 43 (March 2008), 93-121.
• Market Maker Inventories and Stock Prices (with Mark Seasholes), American Economic Review (P&P) 97 (May 2007), 210-214.
• Automation versus Intermediation: Evidence from Treasuries Going Off the Run (with Michael Barclay and Kenneth Kotz), Journal of Finance 61 (October 2006), 2395-2414.
• A Model of Direct and Intermediated Sales (with Jie Zhang), Journal of Economics & Management Strategy 15 (Summer 2006), 279-316.
• Island Goes Dark: Transparency, Fragmentation, and Regulation (with Charles Jones), Review of Financial Studies 18 (Fall 2005), 743-793.
• Trade Through Prohibitions and Market Quality (with Charles Jones), Journal of Financial Markets 8 (February 2005), 1-23.
• Liquidity Externalities and Adverse Selection: Evidence from Trading After Hours (with Michael Barclay), Journal of Finance 59 (April 2004), 681-710.
• Price Discovery and Trading After Hours (with Michael Barclay), Review of Financial Studies 16 (Winter 2003), 1041-1073.
• Competition Among Trading Venues: Information and Trading on Electronic Communications Networks (with Michael Barclay and Tim McCormick), Journal of Finance 58 (December 2003), 2637-2666.
• Electronic Trading Systems in Financial Markets, IEEE-IT Professional 5 (Jul/Aug 2003), 10-14.
• The Future of Virtual Malls (with Patric Hendershott and Robert Hendershott), Real Estate Finance 18 (Spring 2001), 25-32.
• Crossing Networks and Dealer Markets: Competition and Performance (with Haim Mendelson), Journal of Finance 55 (October 2000), 2071-2115.
• Bundling and Optimal Auctions of Multiple Products (with Christopher Avery), Review of Economic Studies 67 (July 2000), 483-497.
• Will the Internet Reduce the Demand for Mall Space? (with Patric Hendershott and Robert Hendershott), Real Estate Finance 17 (Spring 2000), 41-46.

Books:

• Handbook of Economics and Information Systems, Editor, Elsevier. Click here for the Amazon link. Click here for the: Table of Contents and Introduction.
• Implementation Shortfall with Transitory Price Effects (with Charles Jones and Albert Menkveld), chapter in High Frequency Trading: A Survival Guide, Eds. David Easley, Marcos Lopez de Prado, and Maureen O’Hara, Risk Books.
• Book Review of Econometrics of Financial High-Frequency Data, by Nikolaus Hautsch, Quantitative Finance (2013).

Working papers:

• All-to-All Liquidity in Corporate Bonds (with Dmitry Livdan and Norman Schürhoff)
• Measuring public and private information using quote and trade races (with James Brugler)
• Market Predictability and Non-Informational Trading (with Mark Seasholes)

Other:

• Call for Papers—Special Issue of Information Systems Research Fintech – Innovating the Financial Industry Through Emerging Information Technologies (with Michael Zhang, Leon Zhao, and Eric Zheng), Information Systems Research (December 2017), 885-886.
• The Hidden Costs of Changing Indices. Internet Appendix for 2003 midcap index change.
• Automated Trading, Encyclopedia of Quantitative Finance.
• An Economic View of Information Systems (with Krishnan Anand), Introduction to a Special Issue on Information Systems and Economics, Decision Support Systems (May 2006), 683-687.
• Preface to the Focus Theme Section: 'Financial Market Engineering' (with Dirk Neumann, Robert Schwartz, Bruce Weber, and Christof Weinhardt), Electronic Markets 16 (May 2006), 98-100.
• Some thoughts on financial market regulation and the SEC’s proposed Regulation NMS (published as an op-ed/commentary in the Financial Times on July 21, 2004).
• Should the Outcome of a Coin Flip Mean So Much in NFL Overtime? Bid for the Ball (with Jonathan Berk), Wall Street Journal Online, December 22, 2003. Written about by Tim Harford in Slate: http://www.slate.com/id/2209436/; if the Slate link breaks click here.

My Berkeley Haas page.