THE STRONG TRADITION OF MARKET MICROSTRUCTURE AT INDIANA UNIVERSITY

 

Market Microstructure Dissertations
 

 

Name

Grad

Year

 

Title

 

Chair

Initial Placement

Current Placement

Chotibhak (Pab) Jotikasthira 2008 Does Search Friction Matter? Evidence from the Corporate Bond Market Bob Jennings University of North Carolina University of North Carolina

Diego Agudelo

2006

Three Essays on Information and Liquidity in International Markets (includes F635 paper!)

Craig Holden

EAFIT University, Columbia

EAFIT University, Columbia

Ruslan Goyenko

2006

Liquidity and Asset Pricing

Charles Trzcinka

McGill

McGill

Bulent Koksal

(Econ)

2005

Three Essays on NYSE Specialists (includes F635 paper!)

Craig Holden

Qafqaz University, Azerbaycan

Fatih  University,  İstanbul

Wee Yong Yeo

2004

Persistent Patterns in Limit Order Submission (includes F635 paper!)

Craig Holden

National University of Singapore

National University of

Singapore

Ram Thirumalai

2003

Three Essays on Exchange Traded Funds

Craig Holden

University of Pittsburgh (Visitor)

Indian School of Business, India

Pankaj Jain

2002

Three Essays on Financial Market Design, Liquidity, and Long Term Equity Returns (F635 paper is job market paper!)

Craig Holden

University of Memphis

University of Memphis

Andy Waisburd

2000

Essays in Financial Market Automation (includes F635 paper!)

Bob Jennings

Texas Christian University

NYSE-ARCA

Jeff Bacidore

1998

The Impact of Decimalization on Market Quality

Craig Holden

New York Stock Exchange

Goldman Sacks

Jason Greene

1996

Trading Costs on U.S. Exchanges: An Empirical Examination

Bob Jennings

Georgia State University

Georgia State University (tenured)

Robert Battalio

1995

Does Increased Competition in Securities Markets Always Lower Trading Costs?

Bob Jennings

Notre Dame

Notre Dame (tenured)

Brian Hatch

1995

A Multivariate, Cointegrating Examination of the Intraday Linkage of Equity Markets

Bob Jennings

University of Delaware

University of Cincinnati

(tenured)

Vijay Bhasin

1994

Two Theories and A Test of Organized Exchanges

David Brown

Board of Governors of the Fed

Board of Governors of the Fed

Witaya Pintong

1994

Losers Selling and The Turn-Of-The-Year Effect: An Intraday Examination

David Brown

Korean Econ Planning Agency

Korean Econ Planning Agency

Sugato Chakravarty

1993

Essays in Market Microstructure Issues

David Brown

Purdue University

Purdue University

(tenured)

Zhiming Zhang (Econ)

1992

Market Making and Informed Trading in a Noisy Financial Market

David Brown

University of Utah

??

 

Dissertations with an Important Market Microstructure Component
 

 

Name

Grad

Year

 

Title

 

Chair

Initial Placement

Current Placement

Stacey Jacobsen 2011 Three Essays on the Market Response to Indiosyncratic Individual Incentives Utpal Bhat-tacharya Southern Methodist University Southern Methodist University

Hazem Daouk

2001

Three Essays in the Response of Volatility to Returns (includes F635 paper!)

Utpal Bhat-tacharya and Craig Holden

University of Michigan

Cornell University

Len Lundstrum

2000

Three Essays in Corporate Finance (F635 Paper was Job Market Paper!)

Craig Holden

North Carolina State University

North Carolina State University

Pamela Stuerke (Accounting)

1998

Determinants of Financial Analysts’ Frequency of Forecast Revisions: A Theory and Two Tests

Craig Holden

Case Western Reserve

University

Case Western Reserve

University

Kathleen Petrie Fuller

1997

Essays in Dividend Signaling and Smoothing

Anjan Thakor

INSEAD

Mississippi

Seow-Eng Ong

1997

Information Transmission and Price Adjustment

David Brown and Craig Holden

National University of Singapore

National University of Singapore (tenured)

Troy Adair

1996

The Decision Process of Security Analysts: A Theory and Two Tests

Bob Jennings

Hofstra University

???

Todd Milbourn

1996

The Role of Incentives in the Theory of the Firm: Compensation and Capital Allocation

Anjan Thakor

London Business School

Washington University

 

IU's Biennial Symposiums and Conferences

Year

Title

Market Microstructure Content

2011 22nd Annual Financial Economics and Accounting Conference 5 out of 38 = 13%
2007 State of Indiana Finance Symposium 2 out of 9 = 22%

2005

RFS-IU Conference on the Causes and Consequences of Recent Financial Market Bubbles

3 out of 12 = 25%

2003

14th Annual Financial Economics and Accounting Conference

3 out of 20 = 15%

2000

Crisis Events in Financial Intermediation and Securities Markets

2 out of 8 = 25%

1997

The Implications of Market Microstructure for Investors, Firms, and Markets

8 out of 8 = 100%

1995

The Organization of Financial Trade and Exchange Mechanism

8 out of 8 = 100%

1993

The Design of Securities and Markets

4 out of 9 =   44%

1991

The Design of Contracts, Institutions, and Markets

2 out of 13 = 15%

1989

Static and Dynamic Informational Issues in Finance

4 out of 11 = 36%

 

·         Associate Editors, Journal of Financial Markets: Utpal Bhattacharya, Craig Holden, Bob Jennings

·         “Switching Asymmetric GARCH and Options on a Volatility Index” by Hazem Daouk, based on his F635 paper, is forthcoming in the Journal of Futures Markets

·         “Firm Value, Information Problems, and the Internal Capital Market” by Len Lundstrum, based on his F635 paper, was published in the Review of Quantitative Finance and Accounting, 2003, 141-156.