Terrence Hendershott

University of California, Berkeley - Haas School of Business

545 Student Services Building, #1900

2220 Piedmont Avenue

Berkeley, CA 94720

United States

SCHOLARLY PAPERS

41

DOWNLOADS
Rank 708

SSRN RANKINGS

Top 708

in Total Papers Downloads

44,220

SSRN CITATIONS
Rank 644

SSRN RANKINGS

Top 644

in Total Papers Citations

707

CROSSREF CITATIONS

912

Scholarly Papers (41)

1.
Downloads 5,626 ( 1,791)
Citation 283

High Frequency Trading and Price Discovery

Number of pages: 61 Posted: 12 Oct 2011 Last Revised: 26 Apr 2013
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Queen's University - Smith School of Business
Downloads 5,075 (2,113)
Citation 98

Abstract:

Loading...

high frequency trading, price formation, price discovery, pricing errors

High Frequency Trading and Price Discovery

ECB Working Paper No. 1602
Number of pages: 57 Posted: 08 Nov 2013
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Queen's University - Smith School of Business
Downloads 551 (64,937)
Citation 77

Abstract:

Loading...

high frequency trading, price formation, price discovery, pricing errors

2.

Does Algorithmic Trading Improve Liquidity?

Journal of Finance, Vol. 66, pp. 1-33, WFA 2008 Paper
Number of pages: 54 Posted: 05 Mar 2008 Last Revised: 27 Jul 2011
Terrence Hendershott, Charles M. Jones and Albert J. Menkveld
University of California, Berkeley - Haas School of Business, Columbia University and Vrije Universiteit Amsterdam
Downloads 5,525 (1,844)
Citation 80

Abstract:

Loading...

3.
Downloads 4,032 ( 3,088)

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 21 Jan 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, affiliation not provided to SSRN, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 4,032 (3,175)

Abstract:

Loading...

non-standard errors, multi-analyst approach, liquidity

4.

Market Maker Inventories and Liquidity

AFA 2008 New Orleans Meetings Paper
Number of pages: 38 Posted: 09 Nov 2006
Terrence Hendershott, Pamela C. Moulton and Mark S. Seasholes
University of California, Berkeley - Haas School of Business, Cornell University - SC Johnson College of Business and Arizona State University (ASU)
Downloads 2,607 (6,694)
Citation 3

Abstract:

Loading...

inventory, market makers, capital constraints

5.

Price Pressures

Journal of Financial Economics, 2014, Vol 114, p. 405-423.
Number of pages: 33 Posted: 31 May 2009 Last Revised: 18 Feb 2015
Terrence Hendershott and Albert J. Menkveld
University of California, Berkeley - Haas School of Business and Vrije Universiteit Amsterdam
Downloads 2,132 (9,258)
Citation 31

Abstract:

Loading...

liquidity, inventory risk, intermediary, volatility

6.

Market Maker Inventories and Stock Prices

Number of pages: 46 Posted: 15 Mar 2006
Terrence Hendershott and Mark S. Seasholes
University of California, Berkeley - Haas School of Business and Arizona State University (ASU)
Downloads 2,001 (10,276)
Citation 19

Abstract:

Loading...

Market Maker, Inventory, Liquidity Provision

7.

Price Discovery and Trading Costs after Hours

Number of pages: 35 Posted: 02 Mar 2000
Michael J. Barclay and Terrence Hendershott
University of Rochester - Simon School (Deceased) and University of California, Berkeley - Haas School of Business
Downloads 1,751 (12,737)
Citation 26

Abstract:

Loading...

8.

Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues

Journal of Finance, Forthcoming
Number of pages: 59 Posted: 31 Dec 2008
University of Melbourne - Department of Finance, University of California, Berkeley - Haas School of Business, Columbia University, Cornell University - SC Johnson College of Business and Arizona State University (ASU)
Downloads 1,667 (13,770)
Citation 7

Abstract:

Loading...

Liquidity, Market-Makers

9.

Electronic Communications Networks and Market Quality

Number of pages: 40 Posted: 18 May 2001
Michael J. Barclay, Terrence Hendershott and Tim McCormick
University of Rochester - Simon School (Deceased), University of California, Berkeley - Haas School of Business and U.S. Securities and Exchange Commission
Downloads 1,603 (14,618)
Citation 7

Abstract:

Loading...

10.

Island Goes Dark: Transparency, Fragmentation, Liquidity Externalities, and Multimarket Regulation

Number of pages: 57 Posted: 06 Jun 2003
Terrence Hendershott and Charles M. Jones
University of California, Berkeley - Haas School of Business and Columbia University
Downloads 1,481 (16,582)
Citation 36

Abstract:

Loading...

Transparency, multi-market trading, liquidity, fragmentation, market microstructure

11.

Automation, Speed, and Stock Market Quality: The NYSE’s Hybrid

Number of pages: 59 Posted: 14 Jul 2008 Last Revised: 08 Aug 2015
Terrence Hendershott and Pamela C. Moulton
University of California, Berkeley - Haas School of Business and Cornell University - SC Johnson College of Business
Downloads 1,377 (18,462)
Citation 36

Abstract:

Loading...

Speed, Automation, Transaction Costs, Efficiency, Hybrid, NYSE

12.

Market Maker Revenues and Stock Market Liquidity

Number of pages: 40 Posted: 10 Sep 2007
Carole Comerton-Forde, Terrence Hendershott and Charles M. Jones
University of Melbourne - Department of Finance, University of California, Berkeley - Haas School of Business and Columbia University
Downloads 1,375 (18,498)
Citation 2

Abstract:

Loading...

financing constraints, time-varying liquidity

13.

Information and Trading on Electronic Communications Networks

Number of pages: 42 Posted: 11 Nov 2002
Michael J. Barclay, Terrence Hendershott and Tim McCormick
University of Rochester - Simon School (Deceased), University of California, Berkeley - Haas School of Business and U.S. Securities and Exchange Commission
Downloads 1,353 (18,936)
Citation 4

Abstract:

Loading...

14.

Levelling the Trading Field

Journal of Financial Markets, Forthcoming
Number of pages: 48 Posted: 05 Feb 2007 Last Revised: 30 Jun 2013
David Easley, Terrence Hendershott and Tarun Ramadorai
Cornell University - Department of Economics, University of California, Berkeley - Haas School of Business and Imperial College London
Downloads 1,265 (20,971)
Citation 3

Abstract:

Loading...

market structure, stock exchange, trading volume, transparency, information, latency, technology upgrade

15.

Price Discovery Without Trading: Evidence from Limit Orders

Journal of Finance, Forthcoming
Number of pages: 51 Posted: 05 Sep 2015 Last Revised: 19 Jun 2020
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Queen's University - Smith School of Business
Downloads 1,162 (23,819)
Citation 26

Abstract:

Loading...

High-Frequency Trading, Price Discovery, Limit Order Book, Fragmentation

16.

Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks

Simon School, University of Rochester, Research Paper
Number of pages: 44 Posted: 12 Nov 2003
Michael J. Barclay, Terrence Hendershott and Charles M. Jones
University of Rochester - Simon School (Deceased), University of California, Berkeley - Haas School of Business and Columbia University
Downloads 1,093 (26,012)
Citation 21

Abstract:

Loading...

Market structure, price discovery, price efficiency, volatility, liquidity

17.
Downloads 1,003 ( 29,453)
Citation 10

Market Predictability and Non-Informational Trading

Number of pages: 37 Posted: 21 Nov 2008 Last Revised: 27 Apr 2009
Terrence Hendershott and Mark S. Seasholes
University of California, Berkeley - Haas School of Business and Arizona State University (ASU)
Downloads 863 (35,793)
Citation 5

Abstract:

Loading...

Return Predictability, Liquidity, Comovement

Market Predictability and Non-Informational Trading

Number of pages: 37 Posted: 14 Mar 2009
Terrence Hendershott and Mark S. Seasholes
University of California, Berkeley - Haas School of Business and Arizona State University (ASU)
Downloads 140 (267,694)
Citation 6

Abstract:

Loading...

Return Predictability, Liquidity, Comovement

18.

Algorithmic Trading and the Market for Liquidity

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 45 Posted: 09 Feb 2012 Last Revised: 12 Apr 2012
Terrence Hendershott and Ryan Riordan
University of California, Berkeley - Haas School of Business and Queen's University - Smith School of Business
Downloads 966 (31,024)
Citation 43

Abstract:

Loading...

algorithmic trading, liquidity, market monitoring

19.

Asset Pricing: A Tale of Night and Day

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 65 Posted: 15 Feb 2018 Last Revised: 03 Dec 2019
Terrence Hendershott, Dmitry Livdan and Dominik Rösch
University of California, Berkeley - Haas School of Business, University of California, Berkeley and State University of New York at Buffalo - School of Management
Downloads 923 (33,109)
Citation 18

Abstract:

Loading...

20.

Asset Price Dynamics with Limited Attention

Review of Financial Studies (forthcoming)
Number of pages: 73 Posted: 01 Aug 2010 Last Revised: 10 May 2021
Terrence Hendershott, Albert J. Menkveld, Remy Praz and Mark S. Seasholes
University of California, Berkeley - Haas School of Business, Vrije Universiteit Amsterdam, Copenhagen Business School - Department of Finance and Arizona State University (ASU)
Downloads 804 (40,098)
Citation 9

Abstract:

Loading...

Transitory Volatility, Limited Attention, Individuals, Institutions, Market Makers

21.

High Frequency Trading and the 2008 Short Sale Ban

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 48 Posted: 15 Oct 2014 Last Revised: 11 Aug 2016
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Queen's University - Smith School of Business
Downloads 674 (50,798)
Citation 14

Abstract:

Loading...

high frequency trading, liquidity, price efficiency, short selling

22.

Informed Trading and Portfolio Returns

Number of pages: 42 Posted: 11 Sep 2009 Last Revised: 14 Jan 2010
Alex Boulatov, Alex Boulatov, Terrence Hendershott and Dmitry Livdan
University of Houston - C.T. Bauer College of BusinessHSE Moscow, University of California, Berkeley - Haas School of Business and University of California, Berkeley
Downloads 542 (67,011)
Citation 14

Abstract:

Loading...

informed trading, portfolio autocorrelations, adverse selection

23.

Click or Call? Auction Versus Search in the Over-the-Counter Market

Journal of Finance, Forthcoming
Number of pages: 41 Posted: 19 Nov 2011 Last Revised: 19 Aug 2014
Terrence Hendershott and Ananth Madhavan
University of California, Berkeley - Haas School of Business and BlackRock, Inc.
Downloads 504 (73,322)
Citation 35

Abstract:

Loading...

Corporate bonds, electronic trading, auction markets, over-the-counter (OTC) trading

24.

Are Institutions Informed About News?

Swiss Finance Institute Research Paper No. 14-49
Number of pages: 62 Posted: 27 Jul 2014
Terrence Hendershott, Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business, University of California, Berkeley and Swiss Finance Institute - HEC Lausanne
Downloads 367 (106,317)
Citation 44

Abstract:

Loading...

25.

Short Selling and Price Discovery in Corporate Bonds

Number of pages: 70 Posted: 04 Jun 2014 Last Revised: 13 Nov 2017
Terrence Hendershott, Roman Kozhan and Vikas Raman
University of California, Berkeley - Haas School of Business, University of Warwick - Warwick Business School and Lancaster University - Department of Accounting and Finance
Downloads 353 (111,054)
Citation 1

Abstract:

Loading...

Short Selling, Corporate Bonds, Financial Crisis

26.

Order Exposure in High Frequency Markets

Number of pages: 51 Posted: 21 Nov 2017 Last Revised: 13 Jan 2022
Saint Louis University - Richard A. Chaifetz School of Business, University of California, Berkeley - Haas School of Business, Indian Institute of Management Udaipur and Universidad de las Islas Baleares
Downloads 283 (140,848)
Citation 1

Abstract:

Loading...

Hidden orders, high frequency trading, order exposure

27.
Downloads 280 (142,402)
Citation 2

True Cost of Immediacy

Swiss Finance Institute Research Paper No. 20-71
Number of pages: 63 Posted: 25 Aug 2020 Last Revised: 18 Sep 2020
Terrence Hendershott, Dan Li, Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business, Board of Governors of the Federal Reserve System, University of California, Berkeley and Swiss Finance Institute - HEC Lausanne
Downloads 280 (141,703)
Citation 1

Abstract:

Loading...

Collateralized loan obligations, bids-wanted-in-competition, over-the-counter markets, liquidity, fragility

True Cost of Immediacy

Number of pages: 65 Posted: 12 Sep 2020
Terrence Hendershott, Dan Li, Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business, Board of Governors of the Federal Reserve System, University of California, Berkeley and Swiss Finance Institute - HEC Lausanne
Downloads 0
  • Add to Cart

Abstract:

Loading...

bids-wanted-in-competition, Collateralized loan obligations, financial fragility, liquidity, Over-the-counter markets

28.

Does Financial Market Structure Impact the Cost of Raising Capital?

Number of pages: 61 Posted: 21 Nov 2017 Last Revised: 05 Feb 2020
James Brugler, Carole Comerton-Forde and Terrence Hendershott
University of Melbourne - Department of Finance, University of Melbourne - Department of Finance and University of California, Berkeley - Haas School of Business
Downloads 272 (146,686)
Citation 3

Abstract:

Loading...

Liquidity, Capital Costs, Seasoned Equity Offerings

All-to-All Liquidity in Corporate Bonds

Swiss Finance Institute Research Paper No. 21-43
Number of pages: 57 Posted: 02 Aug 2021 Last Revised: 28 Oct 2021
Terrence Hendershott, Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business, University of California, Berkeley and Swiss Finance Institute - HEC Lausanne
Downloads 251 (158,476)

Abstract:

Loading...

Over-the-counter markets, electronic trading, request for quote, open trading, corporate bonds, dealers

Do We Need Dealers in OTC Markets?

Number of pages: 50 Posted: 22 Sep 2021
Terrence Hendershott, Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business, University of California, Berkeley and Swiss Finance Institute - HEC Lausanne
Downloads 0
  • Add to Cart

Abstract:

Loading...

corporate bonds, Dealers, electronic trading, open trading, Over-the-counter markets, request for quote

30.

Implementation Shortfall with Transitory Price Effects

Appeared in David Easley, Marcos López de Prado, and Maureen O'Hara, 2013, editors, "High-Frequency Trading: New Realities for Traders, Markets and Regulators.", Columbia Business School Research Paper No. 18-31
Number of pages: 24 Posted: 13 Mar 2018
Terrence Hendershott, Charles M. Jones and Albert J. Menkveld
University of California, Berkeley - Haas School of Business, Columbia University and Vrije Universiteit Amsterdam
Downloads 221 (179,674)
Citation 5

Abstract:

Loading...

Implementation shortfall, volatility decomposition, institutional investor

31.
Downloads 209 (189,352)
Citation 46

Relationship Trading in OTC Markets

Swiss Finance Institute Research Paper No. 17-30
Number of pages: 46 Posted: 04 Dec 2017
Terrence Hendershott, Dan Li, Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business, Board of Governors of the Federal Reserve System, University of California, Berkeley and Swiss Finance Institute - HEC Lausanne
Downloads 207 (190,844)
Citation 47

Abstract:

Loading...

Over-the-counter market, corporate bond, trading cost, liquidity, decentralization, financial network

Relationship Trading in OTC Markets

Number of pages: 49 Posted: 12 Dec 2017
Terrence Hendershott, Dan Li, Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business, Board of Governors of the Federal Reserve System, University of California, Berkeley and Swiss Finance Institute - HEC Lausanne
Downloads 2 (837,087)
Citation 10
  • Add to Cart

Abstract:

Loading...

corporate bond, Decentralization, Financial Networks, liquidity, Over-the-counter market, trading cost

The Intended and Collateral Effects of Short-Sale Bans as a Regulatory Tool

The Journal of Investment Management, Third Quarter, 2013
Number of pages: 18 Posted: 10 Oct 2012 Last Revised: 19 Sep 2013
Terrence Hendershott, Ethan Namvar and Blake Phillips
University of California, Berkeley - Haas School of Business, University of California, Berkeley - Haas School of Business and University of Waterloo
Downloads 187 (209,346)
Citation 1

Abstract:

Loading...

short-sale ban, SEC, securities and exchange commission, short-sale constraints, financial crisis, price discovery, liquidity

The Intended and Collateral Effects of Short-Sale Bans as a Regulatory Tool

Journal of Investment Management; Third Quarter, 2013
Posted: 15 Nov 2014
Terrence Hendershott, Ethan Namvar and Blake Phillips
University of California, Berkeley - Haas School of Business, University of California, Berkeley - Haas School of Business and University of Waterloo

Abstract:

Loading...

Short-sale ban, SEC, securities and exchange commission, short-sale constraints, financial crisis, price discovery, liquidity

33.

Stock Exchanges as Platforms for Data and Trading

Number of pages: 44 Posted: 29 Dec 2020
Terrence Hendershott, Marc Rysman and Rainer Schwabe
University of California, Berkeley - Haas School of Business, Boston University - Department of Economics and Cornerstone Research
Downloads 136 (272,897)
Citation 1

Abstract:

Loading...

stock exchanges, proprietary market data, platform competition, multi-sided markets, externalities

34.

Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues

Journal of Finance, Vol. 65, No. 1, pp. 295-331, 2010
Number of pages: 59 Posted: 26 Oct 2011 Last Revised: 03 Dec 2012
University of Melbourne - Department of Finance, University of California, Berkeley - Haas School of Business, Columbia University, Cornell University - SC Johnson College of Business and Arizona State University (ASU)
Downloads 99 (341,771)
Citation 19

Abstract:

Loading...

35.

Transparency in Fragmented Markets: Experimental Evidence

Number of pages: 50 Posted: 15 Sep 2020 Last Revised: 14 Jan 2022
Terrence Hendershott, Marvin Wee, Marvin Wee and Yuanji Wen
University of California, Berkeley - Haas School of Business, Australian National University (ANU)Financial Research Network (FIRN) and The University of Western Australia - Department of Accounting and Finance
Downloads 56 (469,232)
Citation 1

Abstract:

Loading...

hidden orders, iceberg orders, dark pool trading, limit order book market, laboratory test

36.

A Model of Direct and Intermediated Sales

Journal of Economics & Management Strategy, Vol. 15, No. 2, pp. 279-316, Summer 2006
Number of pages: 38 Posted: 08 May 2006
Terrence Hendershott and Jie (Jennifer) Zhang
University of California, Berkeley - Haas School of Business and University of Texas at Arlington
Downloads 21 (652,248)
Citation 3
  • Add to Cart

Abstract:

Loading...

37.

Quote Competition in Corporate Bonds

Number of pages: 42
University of California, Berkeley - Haas School of Business, Board of Governors of the Federal Reserve System, University of California, Berkeley, Swiss Finance Institute - HEC Lausanne and Southern Methodist University (SMU) - Finance Department
Downloads 16

Abstract:

Loading...

G12, G14, G24

38.

High‐Frequency Trading and the Execution Costs of Institutional Investors

Financial Review, Vol. 49, Issue 2, pp. 345-369, 2014
Number of pages: 25 Posted: 08 Apr 2014
Jonathan Brogaard, Terrence Hendershott, Stefan Hunt and Carla Ysusi
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business, Financial Conduct Authority and Financial Conduct Authority
Downloads 3 (792,159)
Citation 3
  • Add to Cart

Abstract:

Loading...

high frequency trading, execution costs, institutional investors

39.

How Slow is the NBBO? A Comparison with Direct Exchange Feeds

Financial Review, Vol. 49, Issue 2, pp. 313-332, 2014
Number of pages: 20 Posted: 08 Apr 2014
Shengwei Ding, John Hanna and Terrence Hendershott
Wells Fargo Bank - Wells Fargo Securities, affiliation not provided to SSRN and University of California, Berkeley - Haas School of Business
Downloads 0 (831,206)
Citation 3
  • Add to Cart

Abstract:

Loading...

market data, transparency, high‐frequency trading

40.

Automation, Speed, and Stock Market Quality: The NYSE's Hybrid

Journal of Financial Markets, Forthcoming
Posted: 25 Mar 2011
Terrence Hendershott and Pamela C. Moulton
University of California, Berkeley - Haas School of Business and Cornell University - SC Johnson College of Business

Abstract:

Loading...

Automation, Liquidity, Speed, Transparency, Latency, Adverse selection

41.

Bundling and Optimal Auctions of Multiple Products

Posted: 04 Nov 2000
Christopher Avery and Terrence Hendershott
Harvard University - Harvard Kennedy School (HKS) and University of California, Berkeley - Haas School of Business

Abstract:

Loading...