Faculty Publications

2017 AND FORTHCOMING PUBLICATIONS

Permanent Price Impact Asymmetry of Trades with Institutional Constraints. Chiyachantana, Chiraphol, Pankaj Jain, Christine Jiang, and Vivek Sharma, Journal Financial Markets, 2017, Lead Article.

Exploring the manipulation toolkit: The failure of Doral Financial Corporation. Elnahas, Ahmed, Pankaj K. Jain, and Thomas McInish,  Applied Economics, 2017, forthcoming

Price Discovery and Liquidity Characteristics for U.S. Electronic Futures and ETF Markets. Holowczak, Richard, Pankaj K. Jain, Suchismita Mishra, Senol Oztekin, and Sascha Strobl,  Journal of Trading 12 (2), 59-72, 2017

Corruption's Impact on Foreign Portfolio Investment. Pankaj Jain, Emre Kuvvet, and Michael Pagano, International Business Review, 26, 23-35, 2017

REITs and Market Microstructure: A Comprehensive Analysis of Market Quality. Pawan Jain, Mark Sunderman and K. Janean Westby-Gibson, Journal of Real Estate Research, 39(1): 65-98, 2017

A Learning-Oriented Decision-Making Process for Real Estate Brokerage Service Evaluation. Fernando Ferreira, Ronald Spahr, Mark Sunderman, Audrius Banaitis and João Ferreira, Service Business, Forthcoming, 2017

Hospitality REITs and Financial Crisis: A comprehensive assessment of market quality. Pawan Jain, Spenser Robinson, Arjun Singh, and Mark Sunderman, Journal of Property Investment & Finance, forthcoming, 2017

Reducing Vertical and Horizontal Inequity in Property Tax Assessments. John Birch, Mark Sunderman and Evgeny Radetskiy, Journal of Property Tax Assessment & Administration, forthcoming, 2018

A Prioritization Index for Blight Intervention Strategies in Residential Real Estate. Fernando Ferreira, Ronald Spahr, Mark Sunderman and Marjan Jalali, Journal of the Operational Research Society, forthcoming, 2018

 

2016 and Forthcoming Publications

Executives' Horizon, Internal Governance and Stock Market Liquidity. Christine Jiang, Mohamed Mekhaimer and Pawan Jain, Journal of Corporate Finance, Volume 40, Pages 1-23, October 2016. Lead article

Price Clustering on the Shanghai Stock Exchange. Bill Hu, Christine Jiang, Thomas McInish, Haigang Zhou, Applied Economics, forthcoming, 2016

Executive Overconfidence and Compensation Structure, Mark Humphery-Jenner, Ling Lei Lisic, Vikram Nanda, and Sabatino Silveri, Journal of Financial Economics, Forthcoming, 2016

Does High Frequency Trading Increase Systemic Risk? Pankaj Jain, Pawan Jain, and Thomas McInish, Journal of Financial Markets,  31, 1-24, 2016. Lead Article.

CEO Power and Firm Performance under Pressure, Seonghee Han, Vikram Nanda, and Sabatino Silveri, Financial Management, Forthcoming, 2016

Value-Relevance of Corporate Social Responsibility: Evidence from Short Selling, Archana Jain, Pankaj Jain, and Zabihollah Rezaee, Journal of Management Accounting Research, in press, 2016

The Bonding Hypothesis and the Home Market Liquidity of Chinese Cross-listed Stocks, Ying Huang, Gady Jacoby, and Christine Jiang, Journal of International Financial Markets, Institutions & Money, forthcoming, 2016

Director discretion and insider trading profitability, Foley, Sean, Amy Kwan, Thomas McInish, and Richard Philip, Pacific Basin Finance Journal, forthcoming, 2016

Shareholder wealth effects of management regulatory compliance, Pankaj Jain and Zabihollah Rezaee, International Journal of Finance and Managerial Accounting, 1, 25-40, 2016

Using Multiple Criteria Decision Analysis (MCDA) to Assist in Estimating Residential Housing Values, Ferreira Fernando, Ronald Spahr, and Mark Sunderman, International Journal of Strategic Property Management,20(4): 354-370, 2016

Five Property Types’ Real Estate Cycles as Markov Chains, Richard Evans and Glenn Mueller, International Real Estate Review, Forthcoming, 2016

Industrial Real Estate Cycles: Markov Chain Applications, Richard Evans and Andrew Mueller, Journal of Real Estate Portfolio Management, Forthcoming, 2016

 

2015 Publications

Trading rules, competition for order flow and market fragmentation, Amy Kwan, Ronald Masulis, and Thomas McInish, Journal of Financial Economics 115, 330-348, 2015

The Post Acquisition Returns of Stock Deals: Evidence of the Pervasiveness of the Asset Growth Effect, Sandra Mortal and Michael Schill, Journal of Financial and Quantitative Analysis, 50, 477-507, 2015

Gated Community Premiums and Amenity Differentials in Residential Subdivisions, Evgeny Radetskiy, Ronald Spahr and Mark Sunderman, Journal of Real Estate Research, 37, 405-438, 2015

Price movement and trade size on the National Stock Exchange of India, Ajay Mishra, Trilochan Tripathy, and Thomas McInish, Applied Economics 47, 4847-4854, 2015

2014 Publications

The Impact of Earnings Guidance Cessation: Information Asymmetry and Earnings Management, Bill Hu, Joon Ho Hwang, and Christine Jiang, Journal of Business Finance and Accounting, 41, 73-99, 2014

Predicting Future Price Volatility: Empirical Evidence from an Emerging Limit Order Market, Pawan Jain and Christine Jiang, Pacific Basin Finance Journal, 27, 72-93, 2014

Empirical Evidence on Ambiguity: Certification and Market Liquidity, Jang Chul, Kimand, Emre Kuvvet, and Christine Jiang, Financial Review 49, 2014

The U.S. Housing Finance Debacle, Measures to Assure its Non-Recurrence and Reform of the Housing GSEs, Ronald Spahr and Mark Sunderman, Journal of Real Estate Research 36, 59-86, 2014

Fragmentation and price discovery: A comparison of Reg NMS and MiFID1, Frederick Harris, Thomas McInish, Frank Sensenbrenner, and Robert Wood, Journal of Trading 9, 6-36, 2014

Naked short selling and the market impact of failures to deliver: Evidence from the trading of real estate investment trusts, Eric Devos, Thomas McInish, Michael McKenzie, and James Upson, Journal of Real Estate Finance and Economics 49, 454-476, 2014

The Flash Crash: Trading aggressiveness, liquidity supply, and the impact of intermarket sweep orders, Thomas McInish, James Upson, and Robert Wood, Financial Review 49, 481–509, 2014

Regression Modeling for Vertical and Horizontal Property Tax Inequity, John Birch and Mark Sunderman, Journal of Housing Research, 23(1): 89-105, 2014

Stock Price Movement around the Merger Announcements: Insider Trading or Market Anticipation?, Pawan Jain and Mark Sunderman, Managerial Finance, 40(8): 821-843, 2014

2013 Publications

Worldwide reach of short selling regulations, Archana Jain, Pankaj Jain, Thomas McInish, Michael D. McKenzie, Journal of Financial Economics 109, 177-197, 2013

The Real Effects of Being Public: evidence form public and private firms, Sandra Mortal, Natalia Reisel, Journal of Financial and Quantitative Analysis, 2013

Investor Protection and cash holdings: Evidence from US cross-listing, Susan Elkinawy, Ying Huang, Pankaj Jain, Journal of Banking and Finance 37, 937-951, 2013

The quote exception rule: Giving high frequency traders and unintended advantage, Thomas McInish, James Upson, Financial Management, 42, 481-501, 2013

Retail Real Estate Cycles as Markov Chains, Richard Evans, Glenn Mueller, Journal of Real Estate Portfolio Management 19, 179-188, 2013

Credit Rating Changes and Institutional Trading, Pankaj Jain, Qin Wang, Journal of Trading 8, 38-47, 2013

Greed and fear in financial markets: The case of stock spam e-mails, Bill Hu, Thomas McInish, Li Zeng, Journal of Behavioral Finance, 14, 83-93, 2013

Linking the missing market: The effect of bond markets on economic growth, Y.B. Kim, C.S. Pyun , P. Thumrongvit, International Review of Economics and Finance 27, 529-541 , 2013

Partial State Ownership and Bank Stock Stability in the Asia-Pacific Region, Mahmud Hossain, Pankaj Jain, Santanu Mitra, Pacific-Basin Finance Journal 21, 914-931, 2013

Treasury Inflation-Protected Securities, Quentin C. Chu, Deborah Pittman, Encyclopedia of Finance, Chapter 8 (2ndedition), pp. 255-260, 2013

2012 Publications

Clean Sweep: Informed Trading through Intermarket Sweep Orders, Sugato Chakravarty, Pankaj Jain, James Upson, Robert Wood, Journal of Financial and Quantitative Analysis 47, 415-435, 2012

A Multiple Criteria Framework to Evaluate Bank Branch Potential Attractiveness, Fernando Ferreira, Paulo Rodrigues, Sergio Santos, Ronald Spahr, International Journal of Strategic Property Management, Vol. 16(3), pp. 254-276. AOP 02 October 2012,2012

Are Exchange Rate Movements Predictable in Asia-Pacific Markets? Evidence of Random Walk and Martingale Difference Processes, Osamah M. Al-Khazali, Daewon Kim, C.S. Pyun, International Review of Economics and Finance 21, 221-231, 2012

Dividend-Rollover Effect & the Ad Hoc Black-Scholes Model, Youngsoo Choi, SoonChan Ok, Steven Jordan, Journal of Futures Markets, 32(8), pp. 742-772, 2012

European Market Quality Pre-/Post-MiFID: A Panel Discussion of Metrics for Market Integrity and Efficiency, (panel discussion in) Freerick H. deB. Harris, Elisa Maree DrMarco, Thomas McInish, Journal of Trading 7, 7-26, 2012

Evaluating Retail Banking Service Quality and Convenience with MCDA Techniques: A Case Study at the Bank Branch Level, Fernando Ferreira, Paulo Rodrigues, Sergio Santos, Ronald Spahr, Journal of Business Economics and Management, 2012

Evolution of short selling regulations and trading practices, Chinmay Jain, Pankaj Jain, Thomas McInish, in Greg N. Gregoriou (ed.), Handbook of Short Selling, Academic Press, 97-113, 2012

Government as the firm’s third financial stakeholder: Impact on capital investment decisions, capital structure, discount rates and valuation, Fariz Huseynov, Pankaj Jain, Ronald Spahr, Engineering Economist 57, 157-177, 2012

Information Content of Earnings Announcements: Evidence from After Hours Trading, Christine Jiang, Tanakorn Likitapiwat, Thomas McInish, Journal of Financial and Quantitative Analysis 47(6), 1303-1330, 2012

Pricing and Information Content of Block Trades on the Shanghai Stock Exchange, Longzhen Fan, Bill Hu, Christine Jiang, Pacific Basin Finance Journal 20, 378-397, 2012

Product Market Power and Management’s Action to Avoid Earnings Disappointment, Mahmud Hossian, Pankaj Jain, Santanu Mitra, Review of Quantitative Finance and Accounting, 2012

Readjusting Trade-Offs among Criteria in Internal Ratings of Credit Scoring: An Empirical Essay of Risk Analysis in Mortgage Loans, Amali Cipi, Fernando Ferreira, Irina Gavancha, Ronald Spahr, Journal of Business Economics and Management, Volume 14, Issue 4, 2013,2012

Short Selling: The Impact of SEC Rule 201 of 2010, Chinmay Jain, Pankaj Jain, Thomas McInish, Financial Review 47, 37-64, 2012

Short Selling Rule 201, Chinmay Jain, Pankaj Jain, Thomas McInish, University of Notre Dame’s Review of Financial Regulation Studies 8, 5-6, 2012

Tax Policy and Macro-Finance in a Competitive Global Economy where Government if Considered as Firms’ Third Financial Stakeholder, Fariz Huseynov, Pankaj Jain, Bhavik Parikh, Ronald Spahr, Global Business and Economics Review 14, 30-66, 2012

The impact of low cost airline entry on competition, network expansion, and stock valuations, Dominic Detzen, Pankaj Jain, Tanakorn Likitapiwat, Rose Rubin, Journal of Air Transport Management 18, 59-63, 2012

Time-Varying Risk and Long-Term Reversals: A Re-examination of the International Evidence, Steven Jordan, Journal of International Business Studies, 43(2), pp. 123-142, 2012

2011 Publications

On the Scope and Drivers of the Asset Growth Effect, Marc Lipson, Sandra Mortal, Michael Schill, Journal of Financial and Quantitative Analysis, 2011

A Comparison of Volatility and Bid-Ask Spread for Nasdaq and NYSE after Decimalization, Christine Jiang, Jang-Chul Kim, Robert Wood, Applied Economics 43, 1227-1239, 2011

Everything Old Is New Again: Rule 201’s restrictions on short selling will do little to avoid future crises, Chinmay Jain, Pankaj Jain, Thomas McInish, Regulation, 34, 30-34, 2011

Evolution of Short Selling Regulations and Trading, Chinmay Jain, Pankaj Jain, Thomas McInish, Handbook of Short Selling, Elsevier, Ch 05, 93-109, 2011

Gambling in penny stocks, Bill Hu, Thomas McInish, International Journal of Cyber Criminology 4, 610-629, 2011

Liquidity, analysts, and institutional ownership, Christine Jiang, Jang-Chul Kim, Dan Zhou, International Review of Financial Analysis 20, 335-344, 2011

Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries, Osamah M. Al-Khazali, Guillaume Leduc, C.S. Pyun, Global Finance Journal 22, 454-468, 2011

New Banking Trends, MCDA and Financial Decisions: Insights and a Framework for Retail Banking, Fernando Ferreira, Jose Pereria, Ronald Spahr, Banks and Bank Systems, Vol. VI, No. 2, pp. 23-35,2011

The Choice of Trading Venue and Relative Price Impact of Institutional Trading: ADRs versus the Underlying Securities in their Local Markets, Sugato Chakravarty, Chiraphol Chiyachantana, Christine Jiang, Journal of Financial Research 54(4) 537-567, 2011

When Do TIPS Prices Adjust to Inflation Information? Quentin C. Chu, Deborah Pittman, Linda Yu, Financial Analysts Journal, Vol. 67, No. 2, pp. 59-73, 2011

2010 Publications

Do Firms Believe in Interest Rate Parity?, Matt McBrady, Sandra Mortal, Michael Schill, Review of Finance, 2010

A Global Perspective on the Banking Crisis and Recovery: An Analysis of Domestic vs. Foreign Banks, Pankaj Jain, H. Mahmud, Sandra Mortal, The Banking Crisis Handbook: Taylor and Francis-CRC Press, 251-274, 2010

Busan International Financial Center: Bold Private and Public Entrepreneurship in Action in Development Strategies for Busan International Financial Center, Yung Joon Lee, Editor, C.S. Pyun , Pusan National University Press, 9-49 , 2010

Informed Trading in Parallel Auction and Dealer Markets: The Case of the London Stock Exchange, Pankaj Jain, Christine Jiang, Thomas McInish, N. Taechapiroontong, Greg N. Gregoriou (ed.), Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets: McGraw-Hill, NYC, NY 23-38, 2010

Stealth trading: The case of the Tokyo Stock Exchange, Asli Ascioglu, Carole Comerton-Forde, Thomas McInish, Pacific-Basin Finance Journal, 19, 194-207, 2010

Stock Market Reactions to Regulatory Investigations: Evidence from Options Backdating, Pankaj Jain, Sakshi Jain, Zabihollah Rezaee, Research in Accounting Regulation 22, 52-57, 2010

Strategic illegal insider trading prior to price sensitive announcements, Alex Frino, Thomas McInish, Frank Sensenbrenner,Journal of Financial Crime 18, 247-253, 2010

The Link between Intraday Signals and Call Warrant Mispricing, Shih-Ching Chuan, Steven Jordan, Yueh-Neng Lin, Shih-Kuo Yeh, Service Industries Journal, 30(13), pp. 2273-2288, 2010

2009 Publications

Corruption, Political Connections and Municipal Finance, Sandra Mortal, Alex Butler, and Larry Fauver, Review of Financial Studies, 2009

A Model for Federal Public Land Surface Rights Management, Mark Sunderman, Ronald Spahr, Journal of Real Estate Research 31, 119-146, 2009

Liquidity and Capital Structure, Sandra Mortal, and Marc Lipson, Journal of Financial Markets, 2009

The Monetary Transmission Mechanism of a Small Open Economy with Sweeping Financial Reform, C.S. Pyun, Young Seob Son and William T. Smith, Multinational Business Review 17, 1-19, 2009

Information Content of Trading Halts, Christine Jiang, Thomas McInish and James Upson, Journal of Financial Markets12, 703-726, 2009

Adverse Selection Costs for NASDAQ and NYSE after Decimalization, Christine Jiang, Jang-Chul Kim, and Robert Wood, International Review of Financial Analysis 18, 205-211, 2009

2008 Publications

Stock Market Liquidity and the Decision to Repurchase, Sandra Mortal, Paul Brockman, and John Howe, Journal of Corporate Finance, 2008

The Profound Effects of Automation on Stock Markets around the World, Pankaj Jain, Journal of Investment Management 6, 46-54, 2008

The Sarbanes-Oxley Act of 2002 and Market Liquidity, Pankaj Jain, Jang-Chul Kim, and Zabihollah Rezaee, Financial Review 43, 361-382, 2008

Financial Analysts and Price Discovery, Thomas McInish, Michael Aitken, Niall Almeida, Frederick Harris, Accounting and Finance 48, 1-24, 2008

Behavioral Explanations of Trading Volume and Short-horizon Price Patterns: An Investigation of Seen Asia-Pacific Markets, Thomas McInish, David Ding, Udomsak Wongchotti, Pacific Basin Finance Journal 16, 183-203, 2008

Calendar Anomaly in the Greek Stock Market: Stochastic Dominance Analysis, C.S. Pyun, Osamah Al-Khazali and Evangelos Koumanakos, International Review of Financial Analysis 17, 461-474, 2008

Short-horizon Contrarian and Momentum Strategies in Asian Markets: An Integrated Approach, C.S. Pyun, Thomas McInish, David Ding and Udomsak Wongchoti, International Review of Financial Analysis17, 312-329, 2008

Mutual Fund Performance: Does Fund Size Matter? Investment Performance Measurement: Evaluating and Presenting Results, Christine Jiang, CFA Institute Investment Perspectives 13, 307-326, 2008

Earnings Surprises and Stealth Trading, Christine Jiang, Sugato Chakravarty and Chiraphol Chiyachantana, Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing, John Wiley and Sons, Inc., 2008

2007 Publications

Order Dynamics: Recent Evidence from the NYSE, Andrew Ellul, Craig Holden, Pankaj Jain, Robert Jennings, Journal of Empirical Finance 14, 636–661, 2007

Price Clustering on the Tokyo Stock Exchange, Thomas McInish, Ascioglu, Comerton-Forde, Financial Review 42, 289-301, 2007

Opening and Closing Behavior Following the Introduction of Call Auctions in Singapore, Thomas McInish, Comerton-Forde, Sie Lau, Pacific Basin Finance Journal 15, 18-35, 2007

Corporate Governance, Disclosure, and Minority Shareholder Expropriation: The Saga of Damlier Chrysler, Frederick Harris, Sherry Jarrell, Thomas McInish, Robert Wood, Journal of Corporate Ownership and Control 5, 403-412, 2007

Liquidity Supply in Electronic Markets , Thomas McInish, Michael Aitken, Niall Almeida, Frederick Harris, Journal of Financial Markets 10, 144-168, 2007

Listing Switches from Nasdaq to NYSE/AMEX: Is New Stock Issuance a Motive?, Thomas McInish, Asli Ascioglu, Advances in Quantitative Analysis of Finance and Accounting 2, 2007

A New Variance Ratio Test of Random Walk in Emerging Markets : A Revisit, C.S. Pyun, Osamah M. Al-Khazali, and David Ding, Financial Review 42, 303-317, 2007

A Comparison of Variance Ratio Tests of Random Walk: A Case of Asian Emerging Markets, C.S. Pyun, Hafiz Hoque and Jae H. Kim, International Review of Economics and Finance16, 488-502, 2007

Strategies for Global Korean Economic Network and the Korean Community in the U. S., C.S. Pyun, Korean and Korean American Studies Bulletin, 16, 100-122, 2007

2006 Publications

Improving Liquidity through Efficient Stock Market Structure and Operational Design, Pankaj Jain, Journal of Financial Transformation 18, 151-159, 2006

The Sarbanes-Oxley Act of 2002 and Capital Market Behavior: Early Evidence, Pankaj Jain, Zabihollah Rezaee, Contemporary Accounting Research 23, 629-654, 2006

Investor Recognition, Liquidity, Returns, and Performance after Exchange Listings in the Reformed Markets, Pankaj Jain, Jang-Chul Kim, Financial Management 35, 21-42, 2006

Management Policy and Estimated Returns on School Trust Lands, Mark Sunderman, Ronald Spahr, Journal of Real Estate Finance and Economics 33, 345-362, 2006

Volatility Effects of Institutional Trading in Foreign Stocks, Christine Jiang, Chiraphol Chiyachantana, Pankaj Jain, and Robert Wood, Journal of Banking and Finance 30, 8, 2199-2214, 2006

2005 Publications

Financial Market Design and the Equity Premium: Electronic vs. Floor Trading, Pankaj Jain, Journal of Finance 60, 2955-2985, 2005

Do Tracking Stocks Reduce Informational Asymmetries? An Analysis of Liquidity and Adverse Selection, John Elder, Pankaj Jain, and Jang-Chul Kim, Journal of Financial Research 28, 197-213, 2005

Risk Adjusted Contrarian Profits: Evidence from Non S&P 500 High Volume Trading Stocks,C.S. Pyun, Udomsak Wongchoti, Financial Review 40,335-359, 2005

Homeowners' Repeat-Sale Gains, Dual Agency, and Repeated Use of the Same Agent, Richard Evans and Phillip Kolbe, Journal of Real Estate Research, 27, 267-292, 2005

Currency Devaluation and Contractionary Policy in Currency Crisis: A Supply-Side Approach, C.S. Pyun, William Smith and Youngseob Son, Global Business and Finance Review 10, 17-25, 2005

Industry-wide effects of Sarbanes-Oxley Act of 2002, Pankaj Jain, Zabihollah Rezaee, Journal of Forensic Accounting 6, 147-162, 2005

Asymmetric Information in the IPO Aftermarket , Thomas McInish, M. Li, U. Wongchoti, Financial Review 40, 131-153, 2005

Information Based Trading, Price Impact of Trades, and Trade Autocorrelation, Thomas McInish, Kee Chung, Mingsheng Li, Journal of Banking and Finance 29, 1645-1669, 2005

Trading Costs of Non-U.S. Stocks on NYSE: The Effect of Institutional Ownership, Analyst Following, and Market Regulations, Christine Jiang, Jang-Chul Kim, Journal of Financial Research 28, 439-459, 2005

2004 Publications

International Evidence on Institutional Trading Behavior and Determinants of Price Impact, Chiyachantana, Chiraphol, Pankaj Jain, Christine Jiang, Robert Wood, Journal of Finance 59, 865-894, 2004

Price Discovery in the Pits: The Role of Market Makers on the CBOT and the Sydney Futures Exchange , Thomas McInish, Alex Frino, Frederick Harris, Michael Thomas, Journal of Futures Markets 24, 785-804, 2004

Stock prices and inflation: New evidence from the Pacific-Basin countries, C.S. Pyun, Osamah Al-Khazali, Review of Quantitative Finance and Accounting 22, 123-140, 2004

Efficiency and Resilience of French Multinational Banks, C.S. Pyun, Tosporn Chotigeat and Sebastien Kramer, Multinational Business Review12,3-18, 2004

The Impact of Regulation FD on Volatility, Trading and Information Asymmetry, Christine Jiang, Chiraphol Chiyachantana, Nareerat Taechapiroontong, and Robert Wood, Financial Review 39, 549-577, 2004

The Volatility Impact of the European Monetary System on Member and Non-Member Currencies, Christine Jiang, Michael Hu and Christos Tsoukalas, Applied Financial Economics 14, 313-325, 2004