Ananth Narayan Madhavan
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Why Is Ananth Narayan Madhavan Influential?
(Suggest an Edit or Addition)Ananth Narayan Madhavan's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Market Microstructure: A Survey (2000) (1108)
- Why Do Security Prices Change? A Transaction-Level Analysis of Nyse Stocks (1996) (959)
- The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996) (645)
- Trading Mechanisms in Securities Markets (1992) (602)
- Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997) (562)
- Empirical evidence on the behavior of institutional traders (1995) (469)
- An Analysis of Changes in Specialist Inventories and Quotations (1993) (431)
- International Cross-Listing and Order Flow Migration: Evidence from an Emerging Market (1998) (431)
- Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time (2001) (398)
- A Bayesian model of intraday specialist pricing (1991) (376)
- Consolidation, Fragmentation, and the Disclosure of Trading Information (1995) (343)
- In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets (1997) (310)
- Market Segmentation and Stock Prices: Evidence from an Emerging Market (1997) (296)
- Should securities markets be transparent (2005) (283)
- An empirical analysis of NYSE specialist trading (1998) (251)
- Price Discovery in Auction Markets: A Look Inside the Black Box (2000) (220)
- Competition and Collusion in Dealer Markets (1997) (182)
- The Dynamics of Leveraged and Inverse-Exchange Traded Funds (2009) (177)
- Security Prices and Market Transparency (1996) (167)
- Stock returns and trading at the close (2000) (144)
- Price Experimentation and Security Market Structure (1993) (130)
- Click or Call? Auction Versus Search in the Over-the-Counter Market (2012) (116)
- The Russell Reconstitution Effect (2001) (103)
- Exchange Traded Funds 101 for Economists (2018) (99)
- Country and Currency Risk Premia in an Emerging Market (1996) (73)
- Price Dynamics and Liquidity of Exchange-Traded Funds (2015) (67)
- Liquidity in an Automated Auction (2001) (64)
- Click or Call? Auction versus Search in the Over-the-Counter Market: Click or Call? Auction versus Search in the Over-the-Counter Market (2015) (64)
- The Cost of Institutional Equity Trades: An Overview (1998) (62)
- Exchange-Traded Funds and the New Dynamics of Investing (2016) (55)
- Open Sesame: Alternative Opening Algorithms in Securities Markets (2001) (54)
- Intertemporal price discovery by market makers: Active versus passive learning (1992) (54)
- Resiliency in an Automated Auction (2004) (53)
- Three Hundred Years of Stock Market Manipulations (2001) (51)
- Market Microstructure: A Practitioner's Guide (2002) (50)
- Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (1998) (49)
- Exchange-Traded Funds, Market Structure, and the Flash Crash (2012) (44)
- The Relation between Stock Market Movements and NYSE Seat Prices (2000) (32)
- International Evidence on Aggregate Corporate Financing Decisions (2000) (31)
- Why Do Markets Fragment? A Panel-Data Analysis of Off-Exchange Trading (2001) (31)
- Insider Trading and the Value of the Firm (1991) (29)
- Cooperation for Monopolization? An Empirical Analysis of Cartelization (1994) (23)
- Price Continuity Rules and Insider Trading (1995) (23)
- Upstairs , Downstairs : Does the Upstairs Market Harm the Downstairs ? (2004) (22)
- Estimating Time-Varying Factor Exposures (2016) (20)
- Exchange-Traded Funds: An Overview of Institutions, Trading, and Impacts (2014) (18)
- In Search of Liquidity in the Internet Era (2000) (17)
- How Effective Are Effective Spreads? An Evaluation of Trade Side Classification Algorithms (2002) (16)
- The Hidden Costs of Index Rebalancing: A Case Study of the S&P 500 Composition Changes of July 19, 2002 (2002) (16)
- Equity ETFs versus Index Futures: A Comparison for Fully Funded Investors (2014) (16)
- The First Price of the Day (2002) (15)
- Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens (2020) (15)
- Crowding, Capacity, and Valuation of Minimum Volatility Strategies (2017) (14)
- The Hidden Cost of Trading at the Close (2001) (14)
- The Value of Transaction Cost Forecasts: Another Source of Alpha (2007) (11)
- What’s in Your Benchmark? A Factor Analysis of Major Market Indexes (2018) (10)
- Practical Risk Analysis (2003) (9)
- Implementation of Hedge Fund Strategies (2002) (9)
- The Hidden Costs of Index Rebalancing (2003) (9)
- Alpha vs. Alpha: Selection, Timing, and Factor Exposures from Different Factor Models (2020) (7)
- Portfolio Construction and Tail Risk (2015) (7)
- Toward Better Risk Forecasts (2005) (7)
- Practical Risk Analysis for Portfolio Managers and Traders (2003) (7)
- Pricing and Liquidity of Fixed Income ETFs in the Covid-19 Virus Crisis of 2020 (2020) (7)
- Global Equity Trading Costs (2001) (6)
- Sources of Excess Return and Implications for Active Fixed-Income Portfolio Construction (2019) (6)
- The Impact of Flows into Exchange-Traded Funds: Volumes and Correlations (2018) (6)
- Economic Impacts of a National Deposit Law: Cost Estimates and Policy Questions (1987) (6)
- Are Upstairs Markets Pareto Improving? (2003) (5)
- How do ETFs Affect the Liquidity of the Underlying Corporate Bonds? (2019) (5)
- Toward Greater Transparency and Efficiency in Trading Fixed-Income ETF Portfolios (2016) (5)
- On the Factor Implications of Sustainable Investing in Fixed-Income Active Funds (2020) (4)
- Auction and Dealer Markets: An Empirical Analysis of New York Stock Exchange Specialist Trading (1994) (4)
- Investing in Volatility (2016) (3)
- Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice (2006) (3)
- Demystifying Index Rebalancing: An Analysis of the Costs of Liquidity Provision (2022) (3)
- Does Trading by ETF and Mutual Fund Investors Hurt Performance? Evidence from Time- and Dollar-Weighted Returns (2018) (3)
- Primary Securities Markets in Emerging Nations: A Case Study of Peru (1999) (3)
- Implementing Fair Value Pricing (2004) (2)
- Dynamic Insider Trading (1991) (2)
- The Information Contained in Stock Exchange Seat Prices (1998) (2)
- The First Price of the Day Auctions are not practical for trading all securities. (2002) (2)
- What’s in Your Benchmark? A Factor Analysis of Major Market Indexes (2018) (2)
- Pre-Trade Transparency (2001) (2)
- Fine-Tuning Private Equity Replication Using Textual Analysis (2019) (2)
- Factor-based optimisation and the creation/redemption mechanism of fixed income exchange-traded funds (2018) (2)
- Towards Green Alpha: Analyzing ESG Exposures Through a Factor Lens (2020) (2)
- Market microstructure : A survey q (2000) (2)
- International Cross-Listing, Market Quality, and Ownership Rights: An Analysis of the Mexican Stock Market (1994) (2)
- Cooperation Or Retaliation: An Empirical Analysis Of Cartelization (1988) (2)
- Volume-Weighted Average Price (VWAP) (2010) (1)
- What Happens with More Funds than Stocks? (2019) (1)
- Relationship Markets and the Decision to Go Public (2006) (1)
- Security market microstructure and price formation (1988) (1)
- Toward Greater Transparency and Efficiency inTrading Fixed-Income ETF Portfolios (2016) (1)
- Assessing The Costs Of Mandatory Beverage Container Deposit Legislation (1986) (1)
- Reconstructing Emerging and Developed Markets Using Hierarchical Clustering (2019) (1)
- Price Dynamics and Arbitrage (2016) (0)
- Competition In Beverage Distribution: The Role Of State Regulation (1985) (0)
- Liquidity and Transaction Costs (2016) (0)
- Macro Factor Model: Application to Liquid Private Portfolios (2021) (0)
- The Primary Market Process for Fixed Income Exchange-Traded Funds Under Market Stress (2021) (0)
- Does Best Execution Make Sense (2005) (0)
- Rethinking Emerging Markets: A Fresh Perspective (2022) (0)
- Public Policy Issues (2016) (0)
- COMMENTARY: Retrospective: “Toward Greater Transparency and Efficiency in Trading Fixed-Income ETF Portfolios” (2018) (0)
- Performance and Benchmark Tracking (2016) (0)
- How Trading Analytics and Data Science Can Improve Investment Outcomes (2022) (0)
- Uses of ETFs (2016) (0)
- Structure and Mechanics (2016) (0)
- Country and currency risk premia: evidence from the Mexican sovereign debt market 1993–94 (1998) (0)
- How Many Active Funds Should You Hold? (2021) (0)
- On the Benefits of Scale Economies in Asset Management (2022) (0)
- Bond Mutual Fund and Exchange-Traded Fund Flows in Stressed Markets: Empirical Evidence on the Destabilization Hypothesis (2022) (0)
- WHAT HAPPENS WITH MORE FUNDS THAN STOCKS? ANALYSIS OF CROWDING IN STYLE FACTORS AND INDIVIDUAL EQUITIES (2021) (0)
- Estimating Time-Varying Factor Exposures (Corrected October 2017) (2017) (0)
- Smart Beta and Factor Investing (2016) (0)
- Information Aggregation and Strategic Trading in Speculative Markets (1992) (0)
- The Current Landscape (2016) (0)
- Leveraged and Inverse Products (2016) (0)
- Using Data Science to Identify ETF Model Followers (2020) (0)
- Alternatives and Multi-Asset Strategies (2016) (0)
- Participants (1976) (0)
- * Current Version : May , 1993 (1994) (0)
- Cross-listing, segmentation and foreign ownership restrictions (1998) (0)
- Comment on ' Cross-listing , segmentation and foreign ownership restrictions ' by Ian Domowitz (0)
- To ward Better Risk Forecasts Using data with higher frequency than the forecasting horizon. (2005) (0)
- Insider Trading and the Value of the Firm Author ( s ) : (2007) (0)
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