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
Price Dynamics with Limited Attention (with Albert Menkveld,
Remy Praz, and Mark Seasholes),
forthcoming Review of Financial Studies.
Financial Market Structure Impact the Cost of Raising Capital? (with
James Brugler and Carole Comerton-Forde),
forthcoming Journal of Financial and Quantitative Analysis.
as a Game Changer: Overview of Research Frontiers (with Michael Zhang,
Leon Zhao, and Eric Zheng), Information Systems Research 32 (March
- 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
- 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),
- 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
- High Frequency Trading and
Price Discovery (with Jonathan Brogaard and
Ryan Riordan), Review of Financial Studies 27 (August 2014), 2267-2306.
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
- High-Frequency Trading and
the Execution Costs of Institutional Investors (with Jonathan Brogaard, Stefan Hunt, and Carla Ysusi),
Financial Review 49 (May
- 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.
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
- 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
- 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.
Externalities and Adverse Selection: Evidence from Trading After Hours
(with Michael Barclay), Journal of Finance 59 (April 2004), 681-710.
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
- 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.
- 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.
- 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
- 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
- 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.
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