Working Papers and Publications

Click on the Titles for the paper or at the "Click Here" sections


Current Working Papers include:

"The Value of a Millisecond: Harnessing Information in Fast, Fragmented Markets", with Haoming Chen, Sean Foley, and Thomas Ruf

"High Frequency Trading Strategies", with Amy Kwan and Richard Philip

"Dealer Behavior and the Trading of Newly Issued Corporate Bonds", with Edith Hotchkiss.

"Tick size and Adverse Selection:  Spurious Effects Arising from Serial Correlation", with Lynn Doran, Evgenia V. Golubeva, and Eric Hughson

Professor Goldstein's publications include:

Providing Liquidity in an Illiquid Market: Dealer Behavior in U.S. Corporate Bonds”, with Edith Hotchkiss, Journal of Financial Economics, 2018, forthcoming. Previously"Dealer Behavior in Highly Illiquid Risky Assets", with Edith Hotchkiss

Secondary Market Liquidity and Primary Market Pricing of Corporate Bonds”, with Edith S. Hotchkiss and David J. Pedersen, Journal of Risk and Financial Management, May 2019, Volume 12, Number 2, 86; https://doi.org/10.3390/jrfm12020086.

The Core, Periphery, and Beyond: Stock Market Comovements among EU and non-EU Countries”, with Joseph McCarthy and Alexei Orlov, The Financial Review, Vol. 54, No. 1, February 2019, 5-56.

The step-like evolution of Arctic open water”, (with Amanda H. Lynch, Andras Zsom, Todd Arbetter, Andres Chang, and Florence Fetterer), Nature -- Scientific Reports, Vol. 8, Article number 16902. November 15, 2018. DOI: 10.1038/s41598-018-35064-5

"Water and life from snow: A trillion dollar science question", with Matthew Sturm and Charles Parr, Water Resources Research, Vol. 53, May 2, 2017, 3534-3544.  DOI:  10.1002/2017WR020840

"Pricing the urban cooling benefits of solar panel deployment in Sydney, Australia", with Shaoxiu Ma, Andrew J. Pitman, Navid Haghdadi, and Iain MacGill, Scientific Reports, Volume 7, Article # 43938, DOI: 10.1038/srep43938.

"Using an option pricing approach to evaluate strategic decisions in a rapidly changing climate: Black–Scholes and climate change", with Matthew Sturm, Henry Huntington, and Thomas A. Douglas, Climatic Change, Volume 140, Issue 3, February 2017, 437–449. DOI: 10.1007/s10584-016-1860-5.

"The Global Preference for Dividends in Declining Markets", with Abhinav Goyal, Brian M. Lucey, and Cal B. Muckley, The Financial Review, Vol. 50, No. 4, November 2015, 575-609.

Circuit Breakers, Trading Collars, and Volatility Transmission Across Markets:  Evidence from NYSE Rule 80A”, The Financial Review, Vol. 50, No. 3, August 2015, 459-479.

Review of 'Arctic Economics in the 21st Century: The Benefits and Costs of Cold' by Heather A. Conley”, The Journal of Economic Literature, Vol. 52, No.2, June 2014, 565-567.

For a copy of Arctic Economics in the 21st Century: The Benefits and Costs of Cold' by Heather A. Conley, go to this link.

"Computerized and High-Frequency Trading", with Pavitra Kumar and Frank Graves, The Financial Review, Vol. 49, No. 2, May 2014, 177-202.
        Part of a Special Issue on Computerized and High-Frequency Trading for The Financial Review.   
           
For the table of contents of the special issue, click here.
            To get a copy of the article from The Financial Review, click here.

"Special Issue on Computerized and High-Frequency Trading: Guest Editor's Note", The Financial Review, Vol. 49, No. 2, May 2014, 173-175.
        Part of a Special Issue on Computerized and High-Frequency Trading for The Financial Review.   
           
For the table of contents of the special issue, click here.
            To get a copy of the article from The Financial Review, click here.

"Purchasing IPOs With Commissions: Theoretical Predictions and Empirical Results", with Paul Irvine and Andy Puckett, The Journal of Financial and Quantitative Analysis, Vol. 46, No. 5, Oct. 2011, pp. 11931225

"Do Dividends Matter More in Declining Markets?", with Kathleen Fuller. The Journal of Corporate Finance, Vol. 17, No. 3, June 2011, 457-473.
         Previously version was titled:  "Dividend Policy and Market Movements", with Kathleen Fuller.
        (Note:  the link for the paper will bring you to the SSRN, where you can read the abstract and download a copy of the paper.)

Inter-Market Competition for NYSE-listed Securities under Decimals (with Andriy Shkilko, Bonnie Van Ness, and Robert Van Ness), The Review of Quantitative Finance and Accounting, Vol 35, No. 4, November 2010, 371-391.

InterCon Travel Health: Case B, (with Gregory Truman and Dessislava Pachamanova), Journal of Information Systems Education, Vol. 21, Number 1, Spring 2010, 27-32.

"Brokerage Commissions and Institutional Trading Patterns", with Paul Irvine, Eugene Kandel, and Zvi Wiener, Review of Financial Studies, December 2009, Vol. 22, No. 12, 5175-5212.   (note:  the link for the paper will bring you to the SSRN, where you can read the abstract and download a copy of the paper)

An Analysis of Liquidity across Markets: Execution Costs on the NYSE Versus Electronic Markets (with G. Hu and J. Ginger Meng), Liquidity, Interest Rates, and Banking, 2009, Jeffrey Morrey and Alexander Guyton (editors), Nova Publishers, Chapter 7, 139-167.

"Competition in the Market for NASDAQ-listed Securities" (with Andriy Shkilko, Bonnie Van Ness, and Robert Van Ness), Journal of Financial Markets, May 2008, Vol. 11, No 2, pp 113-143.  Lead article in the issue.  (note:  the link for the paper will bring you to the SSRN, where you can read the abstract and download a copy of the paper.)

"InterCon Travel Health Teaching Note and Case Study" (with Gregory Truman and Dessislava Pachamanova), Journal of the Academy of Business Education, Summer 2007, Vol. 8, pp 17-32

"Transparency and Liquidity:  A Controlled Experiment on Corporate Bonds" (with Edith Hotchkiss and Erik Sirri), Review of Financial Studies, March 2007, Vol. 20, No. 2, pp235-273.  Lead article in the issue. (note:  the link for the paper will bring you to the SSRN, where you can read the abstract and download a copy of the paper.  You can get a copy of the published paper from the Oxford University Press website.)

The Intraday Probability of Informed Trading on the NYSE (with B. F. Van Ness and R. A. Van Ness), Advances in Quantitative Analysis of Finance and Accounting, 2006, Ivan Brick, Tavy Ronen, and Chen-Few Lee (editors), World Scientific Press, Vol. 3, Chapter 7, 139-158.

"Trading Strategies during Circuit Breakers and Extreme Market Movements", (with Ken Kavajecz), Journal of Financial Markets, June 2004, Vol. 7, No. 3, pp. 301-333. 

"Eighths, Sixteenths, and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE" (with K. Kavajecz), Journal of Financial Economics, April 2000, Vol. 56, No. 1, pp. 125-149.

"Market Making and Trading in NASDAQ Stocks" (with Edward Nelling), Financial Review, February 1999, Vol. 34, No.1.  For an abstract, click here.

"REIT Return Behavior In Advancing and Declining Stock Markets" (with Edward Nelling), Real Estate Finance, Winter 1999, Vol. 15, No.4, 68-77.  Click here for a nice write-up.  Click here for the CFA Institute summary. Click here for paper cited in Deutsche Bank Research

"Privatization in Post-Communist Economies" (with B. Gultekin), in Financial Sector Reform and Privatization in Transition Economies, John Doukas, Victor Murinde and Clas Wihlborg (editors), Advances in Finance, Investment and Banking, North-Holland, Vol. 7, 283-327, 1998.

Circuit Breakers, Volatility, and U.S. Equity Markets: Evidence from NYSE Rule 80A (with J. Mahoney and J. Evans), October 1998. Second Joint Central Bank Research Conference on Risk Measurement and Systematic Risk, Bank of Tokyo, Japan

"Privatization Success and Failure: Finance Theory and Regulation in the Transitional Economies of Albania and the Czech Republic", Managerial and Decision Economics, November-December 1997, Vol. 18, No.7&8, 529-544.  Click here for the paper description and abstract.

"Quotes, Order Flow, and Price Discovery" (with Marshall Blume), The Journal of Finance, March 1997, Vol. 52, No.1, 221 - 244. Abstract appeared in Journal of Finance, July 1997.

"Pratiquer les meilleurs prix permet-il d'attirer les transactions? Cotations et flux d'Ordres sur les bourses américaines" (with Marshall Blume), Organisation et qualité des marchés financiers, (Chapitre XIII), Presses Universitaires de France, ed. Biasis, Davydoff and Jacquillat, 1997.

"Real Estate Investment Trusts, Small Stocks, and Bid-Ask Spreads" (with E. Nelling, J. Mahoney, and T. Hildebrand), Real Estate Economics, Spring 1995, Vol. 23, No. 1, 45-63.

 

Unpublished Working Paper Series:

Trading at the Speed of Light: The Impact of High-Frequency Trading on Market Performance, Regulatory Oversight, and Securities Litigation (with Pavitra Kumar, Frank Graves, and Lynda Borucki), Finance:  Current Topics in Corporate Finance and Litigation,  March 2011, Issue 2, The Brattle Group.

"Displayed and Effective Spreads by Market" (with Marshall Blume), Rodney L. White Center for Financial Research Working Paper 27-92, The Wharton School, December 1992.  [Cited over ten times, including in Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Financial Intermediation.]

"Differences in Execution Prices on the Regionals and the NYSE" (with Marshall Blume), Rodney L. White Center for Financial Research Working Paper 4-92, The Wharton School, December 1992.  [Discussed in New York Times (March 2, 1992, p. D1.) and Barron's (January 20, 1992).  Cited over ten times, including in Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Financial Intermediation, Journal of Business.]