User profiles for P. C. Moulton
Pamela C. MoultonCornell University Verified email at cornell.edu Cited by 1579 |
Time variation in liquidity: The role of market‐maker inventories and revenues
… Part of this research was conducted while Moulton was an economist and Comerton-Forde
and Hendershott were visiting economists at the New York Stock Exchange. This paper …
and Hendershott were visiting economists at the New York Stock Exchange. This paper …
Automation, speed, and stock market quality: The NYSE's hybrid
T Hendershott, PC Moulton - Journal of Financial Markets, 2011 - Elsevier
Automation and trading speed are increasingly important aspects of competition among
financial markets. Yet we know little about how changing a market's automation and speed …
financial markets. Yet we know little about how changing a market's automation and speed …
Earnings announcements and attention constraints: The role of market design
B Chakrabarty, PC Moulton - Journal of Accounting and Economics, 2012 - Elsevier
We identify a new channel – market makers' attention constraints – through which earnings
announcements for one stock affect the liquidity of other stocks. When some stocks handled …
announcements for one stock affect the liquidity of other stocks. When some stocks handled …
Short sales, long sales, and the Lee–Ready trade classification algorithm revisited
Asquith et al. (2010) conclude that short sales are often misclassified by the Lee–Ready
algorithm. The algorithm identifies most short sales as buyer-initiated, whereas the authors posit …
algorithm. The algorithm identifies most short sales as buyer-initiated, whereas the authors posit …
The performance of short-term institutional trades
Using a database of daily institutional trades, we document that a majority of short-term
institutional trades lose money. In aggregate, over 23% of round-trip trades are held for less than …
institutional trades lose money. In aggregate, over 23% of round-trip trades are held for less than …
Trading in the presence of short-lived private information: Evidence from analyst recommendation changes
We use a proprietary data set to test the implications of several asymmetric information
models on how short-lived private information affects trading strategies and liquidity provision. …
models on how short-lived private information affects trading strategies and liquidity provision. …
You can't always get what you want: Trade-size clustering and quantity choice in liquidity
PC Moulton - Journal of Financial Economics, 2005 - Elsevier
This paper examines whether investors care more about trading their exact quantity demands
at some times than at others. Using a new data set of foreign exchange transactions, I find …
at some times than at others. Using a new data set of foreign exchange transactions, I find …
Institutional ownership and return predictability across economically unrelated stocks
We document strong weekly lead-lag return predictability across stocks from different industries
with no customer-supplier linkages (economically unrelated stocks). Between 1980 and …
with no customer-supplier linkages (economically unrelated stocks). Between 1980 and …
Liquidity: Considerations of a portfolio manager
LS Hodrick, PC Moulton - Financial Management, 2009 - Wiley Online Library
This paper examines liquidity and how it affects the behavior of portfolio managers, who
account for a significant portion of trading in many assets. We define an asset to be perfectly …
account for a significant portion of trading in many assets. We define an asset to be perfectly …
A tale of two time zones: The impact of substitutes on cross-listed stock liquidity
PC Moulton, L Wei - Journal of Financial Markets, 2009 - Elsevier
… Part of this research was conducted while Moulton and Wei were economists at the NYSE.
The opinions expressed in this paper do not necessarily reflect the opinions of the members, …
The opinions expressed in this paper do not necessarily reflect the opinions of the members, …