ROBERT WOOD

Distinguished Professor Emeritus, Department of Finance

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Email
rwood@memphis.edu
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Office Hours

Biography

Education

  • Ph.D Finance University of Pittsburgh 1978
  • MS Operations Research Stanford University 1968
  • BA Economics University of Washington 1961

Academic Experience

  • 2009 Emeritus Professor The University of Memphis
  • 2007 Visiting Lecturer University of New South Wales
  • 2000 Visiting Lecturer Brigham Young University
  • 1997 Visiting Lecturer Stockholm School of Economics
  • 1990-2009 Distinguished Professor of Finance The University of Memphis
  • 1985-86 Visiting Associate Professor of Finance New York University
  • 1984-90 Associate Professor of Finance The Pennsylvania State University
  • 1976-84 Assistant Professor of Finance The Pennsylvania State University

Professional Experience

  • 1997-2007 Editorial Board, Journal of Banking and Finance.

  • 2006-present Editorial Board, Journal of Trading

  • 2007 Invited Panelist, Regulatory Initiatives: Implications for Competition and Efficiency, Technology and Regulation: How are They Driving our Markets, Baruch College Conference, ?CUNY Baruch College, New York, NY.

  • 2007 Invited to present Defining Market Taxonomies with Markov Switching Regimes and Short-term Market Forecasting,? Seminar on Quantitative Trading, sponsored by the Society of Quantitative Analysts joint with Chicago Quantitative Alliance at Bear Sterns in New York on February 7, 2007.

  • 2002 Invited Panelist, Recent Evidence of Market Quality, Developments in Market Quality, Baruch Conference, CUNY Baruch College, New York, NY.

  • 2001 Invited Panelist, Decimal Trading and Market Impact, Conference on Market Quality, Financial Markets Research Center, Vanderbilt University, Nashville TN.

  • 2000 Panelist, Recent Evidence of Market Quality, Directed Brokerage & Soft Dollar Practices Forum, Institute for International Research, New York, NY.

  • 2000 Panelist, Decimal Trading and Market Impact, Securities Traders Association Annual Meeting, Boca Raton, FL.

  • 2000 Panelist, "Market Structure as Seen by the Practitioner," Securities Traders Association Annual Meeting, Boca Raton, FL.

  • 2000 Panelist, ?The Latest Interpretation of the SEC Report, Directed Brokerage & Soft Dollar Practices Forum, Institute for International Research, New York, NY.

  • 2000 Session Chair, A Call Auction's Role in the Marketplace, The Electronic Call Auction: New Answers to Old Questions: A Major Financial Conference, CUNY Baruch College, New York, NY

  • 2000 panelist, The Latest Interpretation of the SEC Report, Directed Brokerage & Soft Dollar Practices Forum, Institute for International Research, New York, NY

  • 1999 Session Chair, Trader Forum Fall Conference, ECNs & Public Exchanges: What Hath Regulation Wrought,? Baltimore, MD.

  • 1999 Invited Panelist, Economic and Public Policy Implications of Change: Subsidies, Spreads & Stability, CEO Digital Markets Conference: The Future of Exchanges and Electronic Trading, Sponsored by Salomon Smith Barney, New York, NY.

  • 1999 Session Chair, ECNs & Public Exchanges: What Hath Regulation Wrought, Trader Forum Fall Conference, Baltimore, MD.

  • 1999 Invited Panelist, The Broad Perspective, Regulation of U.S. Equity Markets: A Major Financial Conference, Baruch College Conference Center, New York, NY

  • 1999 Invited Panelist, Regulation ATS and Its Impact on Trading, Trader Forum Annual Conference, Santa Barbara, CA

  • 1998 Testified before the Subcommittee on Finance and Hazardous Materials, U.S. House of Representatives," SOES Day Trading," Washington, D.C.

  • 1998 Conference Chair, "The Competition for Order Flow," sponsored by the National Association of Securities Dealers, The Nasdaq Stock Market, Instinet, ITG, Optimark, D. E. Shaw, Sun Microsystems, The Australian Stock Exchange, The Jakarta Stock Exchange, County Nat West, Bankers Trust, and The Securities Traders Association, January 28-30, 1998, Kapalua Bay Hotel, Maui, Hawaii.

  • 1996 Keynote Speaker and Chair of the Colloquium, Global Trends in the Market Microstructure of Financial Markets, Colloquium II on Market Structure and Regulation, Swedish School of Economics and Business Administration, Helsinki, Finland, September 9, 1996.

  • 1996-1999 Founding Member, National Association of Securities Dealers Economic Advisory Board

  • 1995 Conference Chair, "The Competition for Order Flow," sponsored by the National Association of Securities Dealers, The Nasdaq Stock Market, Inc., Instinet Corporation, and ITG, Inc., October 26-27, 1995, The University of Memphis.

  • 1994 Keynote Speaker, Inaugural Conference of the Asia Pacific Finance Association, Sydney, Australia, September 1994.

  • 1994 Under the Sponsorship of the Financial Services Volunteer Corporation (funded by the U.S. Agency for International Development), formulated policies and procedures designed to enhance the performance of the Budapest Stock Exchange, Budapest, Hungary.

  • 1994 Conference Chair, "The Competition for Order Flow," sponsored by the National Association of Securities Dealers, March 24-25, 1994, The University of Memphis.

  • 1990 Session Chair, "The Trading Process and Market Mechanisms: What Happening and Why," The First Annual Pension and Investment Age Investment Management Conference, Washington D.C.

  • 1989-90 Study Group Participant, Congress of the United States, Office of Technology Assessment, Electronic Bulls and Bears: U.S. Securities Markets and Information Technology

  • 1988 Session Chair, "Trading Cost Measurement," Trading Technology Conference, Institute for International Research, New York, NY.

  • 1988 Speaker, "Markets in Flux: Volatility, Market Liquidity and the Stability of the Equity Markets," New Equity Trading Alternatives Conference, Institute for International Research,? New York, NY.

  • 1987-present Executive Director, Institute for the Study of Security Markets

  • 1987-88 The Presidential Task Force on Market Mechanisms (The Brady Commission) that studied the market crash of October 19, 1987

  • 1986-2008 Consultant to the New York and American Stock Exchanges, the National Association of Security Dealers, the Department of Justice and other corporations.

Publications--Security Markets
  • Short Selling During Extreme Market Movements, (with Benjamin Blau, Bonnie Van Ness and Robert Van Ness) ), Journal of Trading, (Fall 2010).

  • Minority Shareholder Expropriation and Asymmetric Flows in a Global Registered Share: The Saga of Damlier Chrysler, (with Thomas McInish, Sherry Jarrell and Frederick Harris).? Journal of Corporate Ownership and Control, Winter 2008. Awarded second prize at the Clinical Paper Competition of the European Corporate Governance Institute, Stockholm, December 2004. Listed on SSRN's Top Ten download list for CGA: Interests, Rights & Equitable Treatment of Shareholders.

  • Why Effective Spreads on Nasdaq Were Higher than on the New York Stock Exchange in the 1990s, (with George Benston), Journal of Empirical Finance, (2008)

  • Trade Shredding: SRO-Sponsored Payment for Order Flow, (with Lynn Phillips Kugele), Journal of Trading, (Winter 2007).

  • Is it Prudent to Trade around Analyst Recommendation Changes? An Analysis of Transactions Costs, (with Amber Anand, S. G. Badrinath and Sugato Chakravarty), Journal of Trading, (October 2006).

  • Volatility Effects of Institutional Trading in Foreign Stocks, (with C C. Chiyachantana, P. Jain and C. Jaing), Journal of Banking and Finance, (2006), vol. 30, issue 8, pages 2199-2214.

  • Has Decimalization Hurt Institutional Investors (with Sugato Chakravarty and Venkatesh Panchapagesan), Journal of Financial Markets, 8 (March 2004) 400?420.

  • Decimals and Liquidity: A Study of the NYSE, (with S. Chakravarty and R. Van Ness), Journal of Financial Research, 2004 vol. 27 (1), pp. 75-94.

  • International Evidence on Institutional Trading Behavior and Price Impact (with C. Chiyachantana, P. Jain and C. Jaing), Journal of Finance, April 2004.

  • "The Impact of Regulation Fair Disclosure on Information Asymmetry and Trading: An Intraday Analysis," (with Christine X. Jiang, Nareerat Taechapiroontong and Chiraphol New Chiyachantana), The Financial Review, November 2004.

  • "The Effects of Inflation News on High Frequence Stock Returns," (with G. Adams and G. McQueen), Journal of Business, July 2004.

  • "Best Execution: A Candid Analysis," (with R. Schwartz), Journal of Portfolio Management, Summer 2003.

  • "Common Factor Components versus Information Shares: A Reply," (with F. Harris and T. McInish) Journal of Financial Markets, 2002, 5(3) 341-348.

  • "Security Price Adjustment Across Exchanges: An Investigation of Common Factor Components for Dow Stocks," (with F. Harris and T. McInish) Journal of Financial Markets, 2002, 5(3), 277-308.

  • "The Change in Trading Activity on Volatility and Adverse Selection Component: Evidence from ADR Splits," (with C. Jiang and J.C. Kim) Journal of Multinational Financial Management, 12 (2002) 323-345.

  • "Merger Announcements and Trading," (with N. Ascioglu and T. McInish) Journal of Financial Research, 25, (2002) 263-278.

  • "Volatility in U.S. and European Equity Markets: An Assessment of Market Quality," (with D. Ozenbas and R. A. Schwartz), International Finance, Winter 2002.

  • "Building A Better Stock Market: The Call Auction Alternative," (with R. Schwartz) Kluwer Academic Publishers, Robert Schwartz, ed., 2001.

  • "Improving Trading Efficiency in European Equity Markets," (with D. Ozenbas and R. Schwartz) published by Westminster and City, November 2001.

  • "Portfolio Formation Methods: Linear Programming as an Alternative to Ranking," (with M. McCorry, B. Van Ness, and R. Van Ness) Advances in Investment Analysis and Portfolio Management, 7 (2000) 105-115.

  • "Market Microstructure Research Databases: History and Projections," Journal of Business and Economic Statistics, 18:2, (April 2000).

  • "ECNs: The Evolving Landscape of U.S. Financial Markets," October 1999, TraderForum Institutional Investor Conferences, 477 Madison Avenue, New York, NY 10022.

  • "The Impact and Effectiveness of the Small Order Execution System," Hearing before the Subcommittee on Finance and Hazardous Materials, Committee on Commerce, House of Representatives, Second Session, Serial No. 105-103, August 3, 1998, p. 33-38.

  • "Overview of the Issues," Rethinking Equity Trading at Nasdaq: A Major Financial Conference, Baruch college School of Business, (1998).

  • "The Value of Corporate Reputation: Evidence from the Equity Markets," (with Thomas McInish and R. Srivastava) Journal of Corporate Reputation, inaugural issue (1997).

  • "Automated Trade Execution and Trading Activity: The Case of the Vancouver Stock Exchange," (with S. Ferris and T. McInish) Journal of International Financial Markets, Institutions and Money, 7 (1997).

  • "Production of Information, Information Asymmetry and Bid/Ask Spreads: Empirical Evidence from Analysts Forecasts," (with K. Chung, T. McInish, and D. Wyhowski) Journal of Banking and Finance, 19 (1995) p. 1025-1046.

  • "Cointegration, Error Correction, and Price Discovery on the New York, Philadelphia, and Midwest Stock Exchanges," (with F. Harris, G. Shoesmith, and T. McInish) Journal of Financial and Quantitative Analysis, 15 (December 1995).

  • "Block Versus Nonblock Trading Patterns," (with H. Choe and T. McInish) Review of Quantitative Finance & Accounting, 5 (December 1995).

  • "Dealer Markets, Derivative Expirations and a Call," (with R. Schwartz) Derivatives Quarterly, 2 (Winter 1995).

  • "Hidden Limit Orders on the NYSE," (with T. McInish) Journal of Portfolio Management, 21, (Spring 1995).

  • "Competition, Fragmentation and Market Quality," (with Thomas McInish) Industrial Organization and Regulation of the Securities Industry, National Bureau of Economic Research, Andrew Lo, Ed., The University of Chicago Press, 1995.

  • "An Investigation of Compound Portfolio Strategies," (with G. Beebower, K. Lawrence, and T. McInish), Advances in Mathematical Programming and Financial Planning, 3, JAI Press (1993).

  • "An Analysis of Intraday Pattern in Bid/Ask Spreads for NYSE Stocks," (with Thomas McInish) Journal of Finance, June 1992.

  • "Autocorrelation of Daily Index Returns: Intraday-to-Intraday Versus Close-to-Close Intervals," (with Thomas McInish), Journal of Banking and Finance, 15 (1991).

  • "One for all: Global Markets equal Global Good," Institutional Investor, 1991.

  • "Hourly Returns, Volume, Trade Size and Number of Trades," (with Thomas McInish) Journal of Financial Research, 24 (Winter 1991).

  • "An analysis of Transactions Data for the Toronto Stock Exchange: Return Patterns and the End of the Day Effect," (with Thomas McInish), Journal of Banking and Finance, August 1990.

  • "Liquidity and the 1987 Crash," (with Yakov Amihud and Haim Mendelson), Journal of Portfolio Management, Spring 1990. Reprinted in the Cambridge University Press, Market Liquidity, 2014

  • "A Transactions Data Analysis of the Variability of Common Stock Returns During 1980 1984," (with Thomas H. McInish), Journal of Banking and Finance, March 1990.

  • "Constructing Portfolios with Linear Programming," (with Kenneth Lawrence), Advances in Mathematical Programming and Financial Planning, Ed. by John Geurard, Gary Reeves, and Kenneth Lawrence, JAI Press, 1990

  • "Survival Strategies for Exchanges," Presented at the Center for Research on Information Systems and Salomon Brothers Center Symposium, Information Technology and Securities Markets Under Stress, New York University, May 16 17, 1988. Published in The Challenge of Information Technology for the Securities Markets: Liquidity, Volatility, and Global Trading, Ed. by Henry C. Lucas and Robert A. Schwartz, Dow Jones Irwin, Homewood, Illinois, 1989.

  • "Adjustment for Beta Bias: An Assessment of Alternate Techniques (A Note)," (with Thomas McInish), Journal of Finance, March 1986.

  • "An Investigation of Transactions Data for NYSE Stocks," (with Thomas McInish and J. Keith Ord) Journal of Finance, July 1985. Reprinted in Microstructure: The Organization of Trading and Short Term Price Behavior, The International Library of Critical Writings in Financial Economics Series, Hans R. Stoll, Ed., Northhampton: Edward Elgar Publishing, Inc., 1999. Reprinted in Financial Econometrics, ed. Andrew Lo, MIT Laboratory for Financial Engineering, 2006. Reprinted in International Library of Financial Econometrics, ed. Andrew Lo, MIT Laboratory for Financial Engineering, 2007.

  • "Intraday and Overnight Returns and the Day of the Week Effects," (with Thomas McInish), Journal of Financial Research, Summer 1985.

  • "The Use of Adjusted Betas in Public Utility Regulation," (with Donald Chambers), Review of Business and Economic Research, Spring 1985.

  • "A New Approach to Controlling for Thin Trading," (with Thomas McInish), Journal of Financial Research, Spring 1985.

  • "Day of the Week Effects," (with Thomas H. McInish), Market Technicians Journal, February 1985.

  • "Intertemporal Differences in Price Movements of Minute to Minute Stock Returns," (with Thomas McInish), Financial Review, November 1984.

  • "Bias from Nonsynchronous Trading in Tests of the Levhari Levy Hypothesis," (with Thomas McInish), Review of Economics and Statistics, May 1984.

  • "Proxies for Nonsynchronous Trading," (with Thomas H. McInish), Financial Review, May 1983.