Pamela Moulton Research Papers
View Pamela C. Moulton's Cornell University Faculty Information
"Trading in the Presence of Short-lived Private Information" (with Ohad Kadan and Roni Michaely), Journal of Financial and Quantitative Analysis, forthcoming.
"The Performance of Short-Term Institutional Trades" (with Bidisha Chakrabarty and Charles Trzcinka), Journal of Financial and Quantitative Analysis, forthcoming.
"Institutional Ownership and Return Predictability Across Economically Unrelated Stocks" (with George P. Gao and David T. Ng), Journal of Financial Intermediation, forthcoming.
"Trading System Upgrades and Short-sale Bans: Uncoupling the Effects of Technology and Regulation" (with Bidisha Chakrabarty and Roberto Pascual), Journal of Empirical Finance, 2017, 43: 74-90.
- "Volume Dynamics and Multimarket Trading" (with Michael Halling and Marios Panayides), Journal of Financial and Quantitative Analysis, 2013, 48(2). 489-578.
- "Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited"(with Bidisha Chakrabarty and Andriy Shkilko), Journal of Financial Markets, 2012, 15(4): 467-491.
- "Earnings Announcements and Attention Constraints: The Role of Market Design " (with Bidisha Chakrabarty), Journal of Accounting and Economics, 2012, 53(3): 612-634.
"Automation, Speed, and Stock Market Quality: The NYSE's Hybrid"(with Terrence Hendershott), Journal of Financial Markets, 2011, 14(4): 568-604.
Hybrid Phase III activation list.
Sample with Nasdaq matches used in paper.
- "Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues" (with Carole Comerton-Forde, Terrence Hendershott, Charles M. Jones, and Mark S. Seasholes), Journal of Finance, 2010, 65(1), 295-332.
- "Inventory Models and Inventory Effects," Encyclopedia of Quantitative Finance, Rama Cont editor, John Wiley & Sons Limited, 2010.
- "A Tale of Two Time Zones: Cross-Listed Stock Liquidity and the Availability of Substitutes" (with Li Wei), Journal of Financial Markets, 2009, 12(4): 570-591.
- "Liquidity: Considerations of a Portfolio Manager" (with Laurie Simon Hodrick), Financial Management, 2009, 38(1): 59-74.
- "You Can’t Always Get What You Want: Trade-Size Clustering and Quantity Choice in Liquidity", Journal of Financial Economics, 2005, 78(1), 89-119.
- "Relative Repo Specialness in U.S. Treasuries", Journal of Fixed Income, 2004, 14(1), 40-47.