Terry Hendershott
Cheryl and Christian Valentine Chair
Associate Professor
Finance
Operations and Information Technology Management
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. Here for my google scholar profile.

Publications:

• Levelling the Trading Field (with David Easley and Tarun Ramadorai), Journal of Financial Markets, forthcoming. Related photos.
• The Intended and Collateral Effects of Short-Sale Bans as a Regulatory Tool (with Ethan Namvar and Blake Phillips), Journal of Investment Management, forthcoming.
• Algorithmic Trading and the Market for Liquidity (with Ryan Riordan), Journal of Financial and Quantitative Analysis, forthcoming; this expands on a subset of the results in Algorithmic Trading and Information; the price discovery results in the older working paper are now subsumed into the below working paper “High Frequency Trading and Price Discovery.”
• Informed Trading and Portfolio Returns (with Alex Boulatov and Dmitry Livdan), Review of Economic Studies 80 (January 2013), 35-72.
• 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 http://sirca.org.au/.
• 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.
• The NFL Should Auction Possession in Overtime Games (with Yeon-Koo Che), Economists’ Voice 9 (October 2009), http://www.bepress.com/ev/vol6/iss9/art5/.
• 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:

• Click or Call? Auction versus Search in the Over-the-Counter Market (with Ananth Madhavan).
• High Frequency Trading and Price Discovery (with Jonathan Brogaard and Ryan Riordan).
• Are Institutions Informed about News? (with Dmitry Livdan and Norman Schürhoff).
• Price Pressures (with Albert Menkveld).
• Risk Sharing, Costly Participation, and Monthly Returns (with Albert Menkveld, Sunny Li, and Mark Seasholes).
• Market Predictability and Non-Informational Trading (with Mark Seasholes).

Other:

• 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.

Return to my official page.