User profiles for P. C. Moulton

Pamela C. Moulton

Cornell University
Verified email at cornell.edu
Cited by 1579

Time variation in liquidity: The role of market‐maker inventories and revenues

…, T Hendershott, CM Jones, PC Moulton… - The journal of …, 2010 - Wiley Online Library
… 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 …

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 …

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 …

Short sales, long sales, and the Lee–Ready trade classification algorithm revisited

B Chakrabarty, PC Moulton, A Shkilko - Journal of Financial Markets, 2012 - Elsevier
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 …

The performance of short-term institutional trades

B Chakrabarty, PC Moulton, C Trzcinka - Journal of Financial and …, 2017 - cambridge.org
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 …

Trading in the presence of short-lived private information: Evidence from analyst recommendation changes

O Kadan, R Michaely, PC Moulton - Journal of Financial and …, 2018 - cambridge.org
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. …

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 …

Institutional ownership and return predictability across economically unrelated stocks

GP Gao, PC Moulton, DT Ng - Journal of Financial Intermediation, 2017 - Elsevier
We document strong weekly lead-lag return predictability across stocks from different industries
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 …

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, …