User profiles for R. A. Van Ness

Robert Van Ness

University of Mississippi
Verified email at bus.olemiss.edu
Cited by 4547

Limit orders and the bid–ask spread

KH Chung, BF Van Ness, RA Van Ness - Journal of Financial Economics, 1999 - Elsevier
We examine the role of limit-order traders and specialists in the market-making process. We
find that a large portion of posted bid–ask quotes originates from the limit-order book without …

How well do adverse selection components measure adverse selection?

BF Van Ness, RA Van Ness, RS Warr - Financial Management, 2001 - JSTOR
The performance of five adverse selection models are examined by comparing their component
estimates to other measures of information asymmetry and informed trading. The models …

Determinants and effects of corporate lobbying

…, GW Kelly, GB Lockhart, RA Van Ness - Financial …, 2013 - Wiley Online Library
We examine the determinants and value effects of corporate lobbying, controlling for corporate
political action committee (PAC) campaign contributions. We find evidence that firms with …

On the marketing of IPOs

DO Cook, R Kieschnick, RA Van Ness - Journal of Financial Economics, 2006 - Elsevier
Derrien [2005. Journal of Finance 60, 487–521] and Ljungqvist et al. [2006. Journal of
Business] build upon the work of Miller [1977. Journal of Finance 32, 1151–1168] and claim that …

Quote stuffing

…, BF Van Ness, RA Van Ness - Financial …, 2016 - Wiley Online Library
In this study we examine intense episodic spikes in quoting activity (frequently referred to as
quote stuffing) on market conditions. We find that quote stuffing is pervasive and that over 74…

Decimals and liquidity: A study of the NYSE

…, RA Wood, RA Van Ness - Journal of Financial …, 2004 - Wiley Online Library
Using a carefully constructed matched sample of control (nondecimal) stocks, we isolate the
effects of decimalization for a sample of NYSE‐listed common stocks trading in decimals. …

Trade classification algorithms for electronic communications network trades

B Chakrabarty, B Li, V Nguyen, RA Van Ness - Journal of Banking & …, 2007 - Elsevier
… We would like to thank Giorgio Szego (the editor), two anonymous referees as well as Andriy
Shkilko and Bonnie Van Ness for their helpful comments and suggestions. We would also …

Clustering in the futures market: Evidence from S&P 500 futures contracts

…, BF Van Ness, RA Van Ness - Journal of Futures …, 2004 - Wiley Online Library
We document trade price clustering in the futures markets. We find clustering at prices of x.00
and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout …

The impact of the reduction in tick increments in major US markets on spreads, depth, and volatility

BF Van Ness, RA Van Ness, SW Pruitt - Review of Quantitative Finance …, 2000 - Springer
This study presents an analysis of the impact of the introduction of quotes in sixteenths of a
dollar on the AMEX, Nasdaq, and NYSE in mid-1997 on select market characteristics such as …

Trading costs and quote clustering on the NYSE and NASDAQ after decimalization

…, BF Van Ness, RA Van Ness - Journal of Financial …, 2004 - Wiley Online Library
We examine execution costs and quote clustering on the New York Stock Exchange (NYSE)
and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the …