Details about Charles M. Jones

This author is deceased (2022-12-15).

Access statistics for papers by Charles M. Jones.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pjo446

Working Papers

2024

1. Nonstandard errors
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   Working Papers, Lund University, Department of Economics (2021)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)

2008

2. Does algorithmic trading improve liquidity?
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (9)
   See also Journal Article Does Algorithmic Trading Improve Liquidity?, Journal of Finance, American Finance Association (2011) View citations (568) (2011)

2004

3. Do Stock Prices Really Reflect Fundamental Values? The Case of REITs
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)

2001

4. Short Sale Constraints and Stock Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
   See also Journal Article Short-sale constraints and stock returns, Journal of Financial Economics, Elsevier (2002) View citations (255) (2002)

1999

5. Execution Costs of Institutional Equity Orders
   Working Papers, Columbia - Graduate School of Business View citations (24)
   See also Journal Article Execution Costs of Institutional Equity Orders, Journal of Financial Intermediation, Elsevier (1999) View citations (25) (1999)
6. Price Impacts and Quote Adjustment on the Nasdaq and NYSE/AMEX
   Working Papers, Columbia - Graduate School of Business View citations (6)
7. Sixteenths: Direct Evidence on Institutional Execution Costs
   Working Papers, Columbia - Graduate School of Business View citations (3)
   See also Journal Article Sixteenths: direct evidence on institutional execution costs, Journal of Financial Economics, Elsevier (2001) View citations (43) (2001)

1996

8. Macroeconomic News and Bond Market Volatility
   Home Pages, Princeton University, Department of Economics View citations (1)
   Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
   See also Journal Article Macroeconomic news and bond market volatility, Journal of Financial Economics, Elsevier (1998) View citations (196) (1998)
9. Public Information and the Persistence of Bond Market Volatility
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)

1991

10. The Dividend Puzzel and Tax
    Working Papers, Australian National University - Department of Economics

Undated

11. Continuations, Reversals, and Adverse Selection on the Nasdaq and NYSE/AMEX
    Home Pages, Princeton University, Department of Economics
12. The Price of Diversifiable Risk in Venture Capital and Private Equity
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (42)
    See also Journal Article The Price of Diversifiable Risk in Venture Capital and Private Equity, The Review of Financial Studies, Society for Financial Studies (2013) View citations (39) (2013)
13. Transaction Costs and Price Volatility: Evidence from Commission Deregulation
    Home Pages, Princeton University, Department of Economics
    See also Journal Article Transaction Costs and Price Volatility: Evidence from Commission Deregulation, American Economic Review, American Economic Association (1997) View citations (128) (1997)

Journal Articles

2025

1. Retail Trading and Return Predictability in China
   Journal of Financial and Quantitative Analysis, 2025, 60, (1), 68-104

2024

2. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard errors, LSE Research Online Documents on Economics (2024) (2024)

2021

3. Tracking Retail Investor Activity
   Journal of Finance, 2021, 76, (5), 2249-2305 View citations (75)

2020

4. Potential pilot problems: Treatment spillovers in financial regulatory experiments
   Journal of Financial Economics, 2020, 135, (1), 68-87 View citations (14)
5. What Do Short Sellers Know?*
   Review of Finance, 2020, 24, (6), 1203-1235 View citations (21)

2016

6. Revealing Shorts An Examination of Large Short Position Disclosures
   The Review of Financial Studies, 2016, 29, (12), 3278-3320 View citations (23)
7. Shorting at close range: A tale of two types
   Journal of Financial Economics, 2016, 121, (3), 546-568 View citations (30)

2013

8. Shackling Short Sellers: The 2008 Shorting Ban
   The Review of Financial Studies, 2013, 26, (6), 1363-1400 View citations (161)
9. The Price of Diversifiable Risk in Venture Capital and Private Equity
   The Review of Financial Studies, 2013, 26, (8), 1854-1889 View citations (39)
   See also Working Paper The Price of Diversifiable Risk in Venture Capital and Private Equity, GSIA Working Papers View citations (42)

2012

10. Shorting Restrictions: Revisiting the 1930s
    The Financial Review, 2012, 47, (1), 1-35 View citations (13)

2011

11. Does Algorithmic Trading Improve Liquidity?
    Journal of Finance, 2011, 66, (1), 1-33 View citations (568)
    See also Working Paper Does algorithmic trading improve liquidity?, CFS Working Paper Series (2008) View citations (9) (2008)

2010

12. Time Variation in Liquidity: The Role of Market‐Maker Inventories and Revenues
    Journal of Finance, 2010, 65, (1), 295-331 View citations (157)

2008

13. Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks
    Journal of Financial and Quantitative Analysis, 2008, 43, (1), 93-121 View citations (32)
14. Which Shorts Are Informed?
    Journal of Finance, 2008, 63, (2), 491-527 View citations (342)

2007

15. Factor-based, Non-parametric Risk Measurement Framework for Hedge Funds and Fund-of-Funds
    The European Journal of Finance, 2007, 13, (7), 645-655 View citations (1)

2005

16. Island Goes Dark: Transparency, Fragmentation, and Regulation
    The Review of Financial Studies, 2005, 18, (3), 743-793 View citations (119)
17. Trade-through prohibitions and market quality
    Journal of Financial Markets, 2005, 8, (1), 1-23 View citations (22)

2002

18. Can channel pattern trading be profitably automated?
    The European Journal of Finance, 2002, 8, (3), 275-301 View citations (5)
19. Short-sale constraints and stock returns
    Journal of Financial Economics, 2002, 66, (2-3), 207-239 View citations (255)
    See also Working Paper Short Sale Constraints and Stock Returns, NBER Working Papers (2001) View citations (20) (2001)

2001

20. Sixteenths: direct evidence on institutional execution costs
    Journal of Financial Economics, 2001, 59, (2), 253-278 View citations (43)
    See also Working Paper Sixteenths: Direct Evidence on Institutional Execution Costs, Working Papers (1999) View citations (3) (1999)

1999

21. Execution Costs of Institutional Equity Orders
    Journal of Financial Intermediation, 1999, 8, (3), 123-140 View citations (25)
    See also Working Paper Execution Costs of Institutional Equity Orders, Working Papers (1999) View citations (24) (1999)

1998

22. Macroeconomic news and bond market volatility
    Journal of Financial Economics, 1998, 47, (3), 315-337 View citations (196)
    See also Working Paper Macroeconomic News and Bond Market Volatility, Home Pages (1996) View citations (1) (1996)

1997

23. Transaction Costs and Price Volatility: Evidence from Commission Deregulation
    American Economic Review, 1997, 87, (4), 728-37 View citations (128)
    See also Working Paper Transaction Costs and Price Volatility: Evidence from Commission Deregulation, Home Pages

1996

24. Oil and the Stock Markets
    Journal of Finance, 1996, 51, (2), 463-91 View citations (992)

1994

25. Information, trading, and volatility
    Journal of Financial Economics, 1994, 36, (1), 127-154 View citations (59)
26. Transactions, Volume, and Volatility
    The Review of Financial Studies, 1994, 7, (4), 631-51 View citations (356)