Details about Hans R. Stoll

This author is deceased (2020-03-20).

Access statistics for papers by Hans R. Stoll.

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

Short-id: pst279

Working Papers

Undated

1. Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
   See also Journal Article Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium, Journal of Financial and Quantitative Analysis, Cambridge University Press (1979) View citations (35) (1979)
2. Dealer Inventory Behavior: An Empirical Investigation of NASDAQ Stocks
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
   See also Journal Article Dealer Inventory Behavior: An Empirical Investigation of NASDAQ Stocks, Journal of Financial and Quantitative Analysis, Cambridge University Press (1976) View citations (9) (1976)
3. Discounts and Premiums on Shares of Diversified Closed-End Investment Funds
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
4. On Dealer Markets Under Competition
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
   Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (58)
   See also Journal Article On Dealer Markets under Competition, Journal of Finance, American Finance Association (1980) View citations (67) (1980)
5. Optimal Dealer Pricing Under Transactions and Return Uncertainty
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (17)
   See also Journal Article Optimal dealer pricing under transactions and return uncertainty, Journal of Financial Economics, Elsevier (1981) View citations (547) (1981)
6. Portfolio Diversification of NYSE Specialist Units
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
   Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
7. Price Impacts of Block Trading on the NYSE
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
   Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
8. Spot and Futures Prices and the Law of One Price
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (3)
   See also Journal Article Spot and Futures Prices and the Law of One Price, Journal of Finance, American Finance Association (1983) View citations (42) (1983)
9. The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
   See also Journal Article The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks, Journal of Finance, American Finance Association (1978) View citations (211) (1978)
10. The Pricing of Underwritten Offerings and the Compensation of Underwriters (Revised)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
11. The Supply of Dealer Services in Securities Markets
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
    See also Journal Article The Supply of Dealer Services in Securities Markets, Journal of Finance, American Finance Association (1978) View citations (454) (1978)

Journal Articles

2014

1. Are trading imbalances indicative of private information?
   Journal of Financial Markets, 2014, 20, (C), 151-174 View citations (18)

2013

2. Dynamic Financial System: Complexity, Fragility and Regulatory Principles
   Financial Markets, Institutions & Instruments, 2013, 22, (1), 1-42 View citations (1)

2012

3. Stock option contract adjustments: The case of special dividends
   Journal of Financial Markets, 2012, 15, (2), 233-257 View citations (1)

2008

4. Failure to exercise call options: An anomaly and a trading game
   Journal of Financial Markets, 2008, 11, (1), 1-35 View citations (15)
5. Future of Securities Markets: Competition or Consolidation?
   Financial Analysts Journal, 2008, 64, (6), 15-26 View citations (1)

2006

6. Electronic Trading in Stock Markets
   Journal of Economic Perspectives, 2006, 20, (1), 153-174 View citations (30)
7. Trades outside the quotes: Reporting delay, trading option, or trade size?
   Journal of Financial Economics, 2006, 79, (3), 615-653 View citations (15)

2005

8. Price impacts of options volume
   Journal of Financial Markets, 2005, 8, (1), 69-87 View citations (37)

2002

9. REGULATION OF FINANCIAL MARKETS: TOWARD A FOCUSED APPROACH
   Journal of Applied Corporate Finance, 2002, 14, (4), 122-128 View citations (1)

2001

10. Exchange rates and firms' liquidity: evidence from ADRs
    Journal of International Money and Finance, 2001, 20, (3), 297-325 View citations (11)
11. Market Fragmentation
    Financial Analysts Journal, 2001, 57, (4), 16-20
12. Tick Size, Bid-Ask Spreads, and Market Structure
    Journal of Financial and Quantitative Analysis, 2001, 36, (4), 503-522 View citations (43)

2000

13. Presidential Address: Friction
    Journal of Finance, 2000, 55, (4), 1479-1514 View citations (132)

1998

14. Is It Time to Split the S&P 500 Futures Contract?
    Financial Analysts Journal, 1998, 54, (1), 23-35
15. Reconsidering the Affirmative Obligation of Market Makers
    Financial Analysts Journal, 1998, 54, (5), 72-82
16. Regulation of Financial Markets: A Focused Approach
    Multinational Finance Journal, 1998, 2, (2), 87-99 View citations (1)
17. Regulatory Capital of Financial Institutions: A Comparative Analysis
    Financial Markets, Institutions & Instruments, 1998, 7, (3), 1-57 View citations (3)
18. Special Issue: Ten Years Since the Crash of 1987
    Journal of Financial Services Research, 1998, 13, (3), 183-186

1997

19. Expiration†Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures
    Australian Journal of Management, 1997, 22, (2), 139-174 View citations (14)
20. The Components of the Bid-Ask Spread: A General Approach
    The Review of Financial Studies, 1997, 10, (4), 995-1034 View citations (389)

1996

21. Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE
    Journal of Financial Economics, 1996, 41, (3), 313-357 View citations (393)
22. Energy shocks and financial markets
    Journal of Futures Markets, 1996, 16, (1), 1-27 View citations (504)

1994

23. Market Microstructure and Stock Return Predictions
    The Review of Financial Studies, 1994, 7, (1), 179-213 View citations (90)

1993

24. ORGANIZATION OF THE STOCK MARKET: COMPETITION OR FRAGMENTATION?
    Journal of Applied Corporate Finance, 1993, 5, (4), 89-93 View citations (1)
25. THE NEW DISCLOSURES OF EXECUTIVE PAY
    Journal of Applied Corporate Finance, 1993, 5, (4), 62-75 View citations (2)

1990

26. Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew
    The Journal of Business, 1990, 63, (1), S165-92 View citations (18)
27. Stock Market Structure and Volatility
    The Review of Financial Studies, 1990, 3, (1), 37-71 View citations (208)
28. The Dynamics of Stock Index and Stock Index Futures Returns
    Journal of Financial and Quantitative Analysis, 1990, 25, (4), 441-468 View citations (275)

1989

29. Market structure and transaction costs: Implied spreads in the German stock market
    Journal of Banking & Finance, 1989, 13, (4-5), 697-708 View citations (13)

1988

30. Index futures, program trading, and stock market procedures
    Journal of Futures Markets, 1988, 8, (4), 391-412 View citations (2)

1986

31. The Law of One Price in international commodity markets: A reformulation and some formal tests
    Journal of International Money and Finance, 1986, 5, (3), 335-360 View citations (16)

1983

32. Spot and Futures Prices and the Law of One Price
    Journal of Finance, 1983, 38, (5), 1431-55 View citations (42)
    See also Working Paper Spot and Futures Prices and the Law of One Price, Rodney L. White Center for Financial Research Working Papers View citations (3)
33. The Dynamics of Dealer Markets under Competition
    Journal of Finance, 1983, 38, (4), 1053-74 View citations (282)
34. Transaction costs and the small firm effect
    Journal of Financial Economics, 1983, 12, (1), 57-79 View citations (161)

1982

35. Comments `An analysis of the economic justificiation for consolidation in a secondary security market' by Kalman J. Cohen et al
    Journal of Banking & Finance, 1982, 6, (1), 137-140 View citations (1)

1981

36. Optimal dealer pricing under transactions and return uncertainty
    Journal of Financial Economics, 1981, 9, (1), 47-73 View citations (547)
    See also Working Paper Optimal Dealer Pricing Under Transactions and Return Uncertainty, Rodney L. White Center for Financial Research Working Papers View citations (17)

1980

37. On Dealer Markets under Competition
    Journal of Finance, 1980, 35, (2), 259-67 View citations (67)
    See also Working Paper On Dealer Markets Under Competition, Rodney L. White Center for Financial Research Working Papers View citations (1)

1979

38. Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium
    Journal of Financial and Quantitative Analysis, 1979, 14, (4), 873-894 View citations (35)
    See also Working Paper Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium, Rodney L. White Center for Financial Research Working Papers View citations (2)

1978

39. The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks
    Journal of Finance, 1978, 33, (4), 1153-72 View citations (211)
    See also Working Paper The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks, Rodney L. White Center for Financial Research Working Papers
40. The Supply of Dealer Services in Securities Markets
    Journal of Finance, 1978, 33, (4), 1133-51 View citations (454)
    See also Working Paper The Supply of Dealer Services in Securities Markets, Rodney L. White Center for Financial Research Working Papers View citations (1)

1976

41. Dealer Inventory Behavior: An Empirical Investigation of NASDAQ Stocks
    Journal of Financial and Quantitative Analysis, 1976, 11, (3), 359-380 View citations (9)
    See also Working Paper Dealer Inventory Behavior: An Empirical Investigation of NASDAQ Stocks, Rodney L. White Center for Financial Research Working Papers

1973

42. The Relationship Between Put and Call Option Prices: Reply
    Journal of Finance, 1973, 28, (1), 185-87 View citations (9)

1972

43. Causes of Deviation from Interest-Rate Parity: A Comment
    Journal of Money, Credit and Banking, 1972, 4, (1), 113-17 View citations (1)
44. Parallel Trading by Institutional Investors
    Journal of Financial and Quantitative Analysis, 1972, 7, (5), 2107-2138 View citations (32)
45. Price Impacts of Block Trading on the New York Stock Exchange
    Journal of Finance, 1972, 27, (3), 569-88 View citations (200)

1970

46. Small Business and the New Issues Market for Equities
    Journal of Financial and Quantitative Analysis, 1970, 5, (3), 309-322 View citations (47)

1969

47. The Relationship between Put and Call Option Prices
    Journal of Finance, 1969, 24, (5), 801-24 View citations (63)

1968

48. An Empirical Study of the Forward Exchange Market under Fixed and Flexible Exchange Rate Systems
    Canadian Journal of Economics, 1968, 1, (1), 55-78 View citations (7)

Edited books

1999

1. Microstructure: The Organization of Trading and Short Term Price Behavior, vol Two volume set
   Books, Edward Elgar Publishing

Chapters

2003

1. Market microstructure
   Chapter 09 in Handbook of the Economics of Finance, 2003, vol. 1, Part 1, pp 553-604 View citations (24)

1975

2. Postscripts by Academic Participants
   A chapter in Explorations in Economic Research, Volume 2, number 3 (Regional Stock Exchanges in a Central Market System), 1975, pp 417-436