Details about Ananth Madhavan

Access statistics for papers by Ananth Madhavan.

Last updated 2025-01-08. Update your information in the RePEc Author Service.

Short-id: pma618

Working Papers

2023

1. IS INDEX CONCENTRATION AN INEVITABLE CONSEQUENCE OF MARKET-CAPITALIZATION WEIGHTING?
   Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley

2018

2. Exchange Traded Funds 101 For Economists
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (49)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (49)
   See also Journal Article Exchange-Traded Funds 101 for Economists, Journal of Economic Perspectives, American Economic Association (2018) View citations (49) (2018)

2000

3. Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time
   William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan View citations (15)
   See also Journal Article Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time, International Finance, Wiley Blackwell (2001) View citations (118) (2001)

1996

4. Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (86)
   Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (4)
   See also Journal Article Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks, The Review of Financial Studies, Society for Financial Studies (1997) View citations (360) (1997)

1994

5. Price Continuity Rules and Insider Trading
   Working papers, Wisconsin Madison - Social Systems View citations (1)
   Also in RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (1992)
   See also Journal Article Price Continuity Rules and Insider Trading, Journal of Financial and Quantitative Analysis, Cambridge University Press (1995) View citations (10) (1995)

1992

6. Information Aggregation and Strategic Trading in Speculative Markets
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER)

1991

7. A Baysian Model of Intraday Specialist Pricing
   Weiss Center Working Papers, Wharton School - Weiss Center for International 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 (98)
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (7)
   See also Journal Article A Bayesian model of intraday specialist pricing, Journal of Financial Economics, Elsevier (1991) View citations (158) (1991)
8. Dynamic Insider Trading
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER)
9. Security Prices and Market Transparency
   Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (5)
   See also Journal Article Security Prices and Market Transparency, Journal of Financial Intermediation, Elsevier (1996) View citations (61) (1996)

1990

10. INTERTEMPORAL PRICE DISCOVERY BY MARKET MAKERS: ACTIVE VERSUS PASSIVE LEARNING
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    See also Journal Article Intertemporal price discovery by market makers: Active versus passive learning, Journal of Financial Intermediation, Elsevier (1992) View citations (19) (1992)

1988

11. COOPERATION OR RETALIATION: AN EMPIRICAL ANALYSIS OF CARTELIZATION
    Working Papers, Cornell - Department of Economics
12. INSIDER TRADING AND THE VALUE OF THE FIRM
    Working Papers, Cornell - Department of Economics
    See also Journal Article Insider Trading and the Value of the Firm, Journal of Industrial Economics, Wiley Blackwell (1991) View citations (6) (1991)

Undated

13. An Analysis of Daily Changes in Specialist Inventories and Quotations
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (6)
14. Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revised: 12-94)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
15. Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revision of 18-93) (Reprint 045)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
16. Country and Currency Risk Premia in an Emerging Market
    IPR working papers, Institute for Policy Resarch at Northwestern University View citations (3)
    See also Journal Article Country and Currency Risk Premia in an Emerging Market, Journal of Financial and Quantitative Analysis, Cambridge University Press (1998) View citations (33) (1998)
17. Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revised: 9-95)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
18. Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revision of 26-94)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (7)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (7)
19. Price Experimentation and Security Market Structure
    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 Price Experimentation and Security Market Structure, The Review of Financial Studies, Society for Financial Studies (1993) View citations (47) (1993)
20. Risky Business: The Clearance and Settlement of Financial Transactions
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
21. Security Prices and Market Transparency (Revised: 1-92)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
22. Security Prices and Market Transparency (Revision of 12-90)
    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
23. The Cost of Institutional Equity Trades
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (73)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (79)
24. The Information Contained in Stock Exchange Seat Prices
    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
25. The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (Revised: 10-94)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
26. The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (Revision of 21-92)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
27. Trading Mechanisms in Securities Markets
    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 Trading Mechanisms in Securities Markets, Journal of Finance, American Finance Association (1992) View citations (240) (1992)

Journal Articles

2018

1. Exchange-Traded Funds 101 for Economists
   Journal of Economic Perspectives, 2018, 32, (1), 135-54 View citations (49)
   See also Working Paper Exchange Traded Funds 101 For Economists, NBER Working Papers (2018) View citations (49) (2018)

2015

2. Click or Call? Auction versus Search in the Over-the-Counter Market
   Journal of Finance, 2015, 70, (1), 419-447 View citations (71)

2014

3. Exchange-Traded Funds: An Overview of Institutions, Trading, and Impacts
   Annual Review of Financial Economics, 2014, 6, (1), 311-341 View citations (3)

2005

4. Should securities markets be transparent?
   Journal of Financial Markets, 2005, 8, (3), 265-287 View citations (98)

2001

5. Discussion
   Journal of Finance, 2001, 56, (4), 1485-1488
6. Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time
   International Finance, 2001, 4, (2), 221-255 View citations (118)
   See also Working Paper Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time, William Davidson Institute Working Papers Series (2000) View citations (15) (2000)
7. Pre-Trade Transparency
   Istanbul Stock Exchange Review, 2001, 5, (17), 23-46 View citations (1)

2000

8. Market microstructure: A survey
   Journal of Financial Markets, 2000, 3, (3), 205-258 View citations (398)
9. Price Discovery in Auction Markets: A Look Inside the Black Box
   The Review of Financial Studies, 2000, 13, (3), 627-58 View citations (96)
10. Stock returns and trading at the close
    Journal of Financial Markets, 2000, 3, (1), 45-67 View citations (68)
11. The Relation between Stock Market Movements and NYSE Seat Prices
    Journal of Finance, 2000, 55, (6), 2817-2840 View citations (11)

1998

12. An empirical analysis of NYSE specialist trading
    Journal of Financial Economics, 1998, 48, (2), 189-210 View citations (91)
13. Country and Currency Risk Premia in an Emerging Market
    Journal of Financial and Quantitative Analysis, 1998, 33, (2), 189-216 View citations (33)
    See also Working Paper Country and Currency Risk Premia in an Emerging Market, IPR working papers View citations (3)

1997

14. Competition and Collusion in Dealer Markets
    Journal of Finance, 1997, 52, (1), 245-76 View citations (77)
15. In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets
    The Review of Financial Studies, 1997, 10, (1), 175-203 View citations (111)
16. Market Segmentation and Stock Prices: Evidence from an Emerging Market
    Journal of Finance, 1997, 52, (3), 1059-85 View citations (117)
17. Transactions costs and investment style: an inter-exchange analysis of institutional equity trades
    Journal of Financial Economics, 1997, 46, (3), 265-292 View citations (210)
18. Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks
    The Review of Financial Studies, 1997, 10, (4), 1035-64 View citations (360)
    See also Working Paper Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks, New York University, Leonard N. Stern School Finance Department Working Paper Seires (1996) View citations (86) (1996)

1996

19. Security Prices and Market Transparency
    Journal of Financial Intermediation, 1996, 5, (3), 255-283 View citations (61)
    See also Working Paper Security Prices and Market Transparency, Weiss Center Working Papers (1991) View citations (5) (1991)
20. The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects
    The Review of Financial Studies, 1996, 9, (1), 1-36 View citations (209)

1995

21. Anatomy of the trading process Empirical evidence on the behavior of institutional traders
    Journal of Financial Economics, 1995, 37, (3), 371-398 View citations (178)
22. Consolidation, Fragmentation, and the Disclosure of Trading Information
    The Review of Financial Studies, 1995, 8, (3), 579-603 View citations (138)
23. Price Continuity Rules and Insider Trading
    Journal of Financial and Quantitative Analysis, 1995, 30, (2), 199-221 View citations (10)
    See also Working Paper Price Continuity Rules and Insider Trading, Working papers (1994) View citations (1) (1994)

1994

24. Book Reviews
    International Studies, 1994, 31, (2), 227-230
25. Cooperation for Monopolization? An Empirical Analysis of Cartelization
    The Review of Economics and Statistics, 1994, 76, (1), 161-75 View citations (7)

1993

26. An Analysis of Changes in Specialist Inventories and Quotations
    Journal of Finance, 1993, 48, (5), 1595-1628 View citations (154)
27. Price Experimentation and Security Market Structure
    The Review of Financial Studies, 1993, 6, (2), 375-404 View citations (47)
    See also Working Paper Price Experimentation and Security Market Structure, Rodney L. White Center for Financial Research Working Papers View citations (1)

1992

28. Intertemporal price discovery by market makers: Active versus passive learning
    Journal of Financial Intermediation, 1992, 2, (2), 207-235 View citations (19)
    See also Working Paper INTERTEMPORAL PRICE DISCOVERY BY MARKET MAKERS: ACTIVE VERSUS PASSIVE LEARNING, Weiss Center Working Papers (1990) (1990)
29. Trading Mechanisms in Securities Markets
    Journal of Finance, 1992, 47, (2), 607-41 View citations (240)
    See also Working Paper Trading Mechanisms in Securities Markets, Rodney L. White Center for Financial Research Working Papers View citations (1)

1991

30. A Bayesian model of intraday specialist pricing
    Journal of Financial Economics, 1991, 30, (1), 99-134 View citations (158)
    See also Working Paper A Baysian Model of Intraday Specialist Pricing, Weiss Center Working Papers (1991) View citations (1) (1991)
31. Insider Trading and the Value of the Firm
    Journal of Industrial Economics, 1991, 39, (4), 333-53 View citations (6)
    See also Working Paper INSIDER TRADING AND THE VALUE OF THE FIRM, Working Papers (1988) (1988)

1986

32. ASSESSING THE COSTS OF MANDATORY BEVERAGE CONTAINER DEPOSIT LEGISLATION
    Journal of Food Distribution Research, 1986, 17, (2), 6

1985

33. COMPETITION IN BEVERAGE DISTRIBUTION: THE ROLE OF STATE REGULATION
    Journal of Food Distribution Research, 1985, 16, (01), 10

Books

2016

1. Exchange-Traded Funds and the New Dynamics of Investing
   OUP Catalogue, Oxford University Press View citations (31)

Chapters

2006

1. Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice
   Chapter 2 in Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, 2006, pp 19-37 View citations (2)