Article published by Dr. Jeff Black

Dr. Jeff Black, assistant professor, Department of Finance, Insurance, & Real Estate of the University of Memphis Fogelman College of Business & Economics, recently had a paper accepted in the Journal of Banking & Finance. The paper was authored in collaboration with former Memphis Ph.D. student Olena Nikolsko-Rzhevska, now professor of practice at Lehigh University.

The paper was the first to reconstruct and examine chains of order revisions by recovering data on individual "U"-messages on NASDAQ. "U" revisions is a term used for making revisions on stock purchases.

"Basically, we are the first paper looking at data to look at order revisions in the U.S.," Black said.

"Revisions are fairly common, but not as common as they are in other countries, so they've been largely ignored," Black explained.

According to the paper, in recent years, revisions have grown in popularity and now are thrice as common as executions on stock buys. The research on revisions, however, is still developing.

"We find significant differences between the determinants of revisions and cancellations/placements as order updating techniques," the paper abstract stated.

"Our results also indicate that traders appear to respond rationally to new information by updating their orders based on order flow. We also show that revision runs follow stable, predictable patterns. Additionally, we find evidence suggesting increased revision activity has deleterious effects on market quality."

"One of the main takeaways (of our paper), is that the people who use revisions are not the same people who use cancel-and-resubmit strategies," Black said.

The Fogelman College of Business & Economics is an AACSB accredited institution comprising six departments – School of Accountancy; Business Information and Technology; Economics; Finance, Insurance, and Real Estate; Management; and Marketing and Supply Chain Management.