George Sofianos

PRICING EXCHANGE TRADED FUNDS

22 Modeling market microstructure time series

Innovation practices for survival of small and medium enterprises (SMEs) in the COVID-19 times: the role of external support

Bank Market Power and SME Financing Constraints

Illiquidity and stock returns: cross-section and time-series effects

Inferring investor behavior: Evidence from TORQ data

Liquidity and Financial Market Runs

Deciphering the Liquidity and Credit Crunch 2007–2008

Common Factors in Prices, Order Flows and Liquidity

The Single European Electricity Market: A Long Road to Convergence

THEORIES OF THE BANKING FIRM: A REVIEW OF THE LITERATURE*

A more complete conceptual framework for SME finance

Les marchés économiques comme dispositifs collectifs de calcul

Deposit insurance reform: a functional approach

Presidential Address: Friction

Global Accounting Convergence and the Potential Adoption of IFRS by the U.S. (Part I): Conceptual Underpinnings and Economic Analysis

Empirical properties of asset returns: stylized facts and statistical issues

Tests of microstructural hypotheses in the foreign exchange market

Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE

Quotes, Prices, and Estimates in a Laboratory Market

The Information Content of Mandatory Risk Factor Disclosures in Corporate Filings

Market Maker Inventories and Liquidity

Asset pricing with liquidity risk

Foreign institutional ownership and stock market liquidity: Evidence from Indonesia

The Impact of Legal and Political Institutions on Equity Trading Costs: A Cross-Country Analysis

Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence

The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation

The Economic Consequences of Increased Disclosure

Let’s Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2

Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks

Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data

More Than Words: Quantifying Language to Measure Firms' Fundamentals

The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom

Liquidity Risk and Expected Stock Returns

The Development of Secondary Market Liquidity for NYSE-Listed IPOs

Liberalisation of Network Industries: Is the Electricity Sector an Exception to the Rule?

The Making of a Dealer Market: From Entry to Equilibrium in the Trading of Nasdaq Stocks

Loan Demand: An Empirical Anaylsis Using Micro Data

Investor Psychology and Asset Pricing

Intraday Volatility in the Stock Index and Stock Index Futures Markets

How Does Liquidity React to Stress Periods in a Limit Order Market?

In Search of Attention

Some Evidence on the Empirical Significance of Credit Rationing

Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors

New trading practices and short‐run market efficiency

Limited Attention and the Allocation of Effort in Securities Trading

Dynamic Volume-Return Relation of Individual Stocks

The Cost of Institutional Equity Trades

Market microstructure: A survey

The Dynamics of Discrete Bid and Ask Quotes

Initial evidence on the market impact of the XBRL mandate

How bank competition influences liquidity creation

Who's Informed? An Analysis of Stock Ownership and Informed Trading

Common factors in prices, order flows, and liquidity

High frequency data in financial markets: Issues and applications

Small Business Credit Availability and Relationship Lending: The Importance of Bank Organisational Structure

Small business financing in the UK before and during the current financial crisis

Credit Lines and Credit Utilization

Time-Varying Arrival Rates of Informed and Uninformed Trades

Prices, Liquidity, and the Information Content of Trades

Bank Credit Commitments, Credit Rationing, and Monetary Policy

On the Fintech Revolution: Interpreting the Forces of Innovation, Disruption, and Transformation in Financial Services

Impacts of Trades in an Error-Correction Model of Quote Prices

Do Domestic Investors Have an Information Advantage? Evidence from Indonesia

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Bank Market Power and SME Financing Constraints

The Components of the Bid-Ask Spread: A General Approach

Estimating the Value of Political Connections

The Behavior of Uninformed Investors and Time-Varying Informed Trading Activities

The economics of small business finance: The roles of private equity and debt markets in the financial growth cycle

An Estimated Model of Entrepreneurial Choice under Liquidity Constraints

Financial Market Design and Equity Premium: Electronic versus Floor Trading

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

A Specialist's Quoted Depth and the Limit Order Book

The Economic Consequences of Increased Disclosure

An Examination of Changes in Specialists’ Posted Price Schedules

The Development of Secondary Market Liquidity for NYSE‐Listed IPOs

Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations

All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors

Public Disclosure and Private Decisions: Equity Market Execution Quality and Order Routing

Market Liquidity and Funding Liquidity

Liquidity Provision with Limit Orders and a Strategic Specialist

A Review of IPO Activity, Pricing, and Allocations

Trades and Quotes: A Bivariate Point Process

The financial system and economic performance

Small and medium-size enterprises: Access to finance as a growth constraint

Adverse Selection and Intermediation Chains

The economic consequences of increased disclosure: Evidence from international cross-listings☆

On the Perils of Financial Intermediaries Setting Security Prices: The Mutual Fund Wild Card Option

Time and the Price Impact of a Trade

Do lending relationships matter?

The financial reporting environment: Review of the recent literature

ARCH modeling in finance

Market efficiency in real time

Foreign versus local investors: Who knows more? Who makes more?

The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options

Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards

High-Frequency Trading and Price Discovery

Judging Borrowers by the Company They Keep: Friendship Networks and Information Asymmetry in Online Peer-to-Peer Lending

Order Flow and Exchange Rate Dynamics

Loan commitments and bank risk exposure

Program Trading and Intraday Volatility

Auction and Dealer Markets: An Empirical Analysis of New York Stock Exchange Specialist Trading

Specialist Gross Trading Revenues at the New York Stock Exchange

The trades of NYSE floor brokers

Loan commitments and monetary policy∗

An empirical analysis of NYSE specialist trading1We thank Jim Cochrane, Joel Hasbrouck, Don Keim, Kim Shapiro, Jerry Warner, and an anonymous referee for their helpful comments. Seminar participants at the Ohio State Conference on `Dealer Markets', London School of Economics, University of Pennsylvania, and University of Wisconsion provided many helpful suggestions. Minder Cheng, Nicole Parent, and Ed Steffelin provided excellent research support. This research was completed while Madhavan was visiting the New York Stock Exchange. The comments and opinions contained in this paper are those of the authors and do not necessarily reflect those of the directors, members or officers of the New York Stock Exchange, Inc.1

Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks

Program Trading and Intraday Volatility

The Trades of Market Makers: An Empirical Analysis of NYSE Specialists

Quantifying market order execution quality at the New York stock exchange

The Trades of Market Makers: An Empirical Analysis of NYSE Specialists