User profiles for Charles M. Jones
Charles M. JonesRobert W. Lear Professor of Finance and Economics, Columbia Business School Verified email at columbia.edu Cited by 14762 |
Tracking retail investor activity
We provide an easy method to identify marketable retail purchases and sales using recent,
publicly available US equity transactions data. Individual stocks with net buying by retail …
publicly available US equity transactions data. Individual stocks with net buying by retail …
Oil and the stock markets
CM Jones, G Kaul - The journal of Finance, 1996 - Wiley Online Library
We test whether the reaction of international stock markets to oil shocks can be justified by
current and future changes in real cash flows and/or changes in expected returns. We find that …
current and future changes in real cash flows and/or changes in expected returns. We find that …
A century of stock market liquidity and trading costs
CM Jones - Available at SSRN 313681, 2002 - papers.ssrn.com
I assemble an annual time series of bid-ask spreads on Dow Jones stocks from 1900-2000,
along with an annual estimate of the weighted-average commission rate for trading NYSE …
along with an annual estimate of the weighted-average commission rate for trading NYSE …
Which shorts are informed?
We construct a long daily panel of short sales using proprietary NYSE order data. From 2000
to 2004, shorting accounts for more than 12.9% of NYSE volume, suggesting that shorting …
to 2004, shorting accounts for more than 12.9% of NYSE volume, suggesting that shorting …
What do we know about high-frequency trading?
CM Jones - Columbia Business School Research Paper, 2013 - papers.ssrn.com
This paper reviews recent theoretical and empirical research on high-frequency trading (HFT).
Economic theory identifies several ways that HFT could affect liquidity. The main positive …
Economic theory identifies several ways that HFT could affect liquidity. The main positive …
Does algorithmic trading improve liquidity?
T Hendershott, CM Jones… - The Journal of …, 2011 - Wiley Online Library
Algorithmic trading (AT) has increased sharply over the past decade. Does it improve market
quality, and should it be encouraged? We provide the first analysis of this question. The …
quality, and should it be encouraged? We provide the first analysis of this question. The …
Short-sale constraints and stock returns
CM Jones, OA Lamont - Journal of Financial Economics, 2002 - Elsevier
Stocks can be overpriced when short-sale constraints bind. We study the costs of short-selling
equities from 1926 to 1933, using the publicly observable market for borrowing stock. …
equities from 1926 to 1933, using the publicly observable market for borrowing stock. …
Transactions, volume, and volatility
We show that the positive volatility-volume relation documented by numerous researchers
actually reflects the positive relation between volatility and the number of transactions. Thus, it …
actually reflects the positive relation between volatility and the number of transactions. Thus, it …
Shackling short sellers: The 2008 shorting ban
In September 2008, the US Securities and Exchange Commission (SEC) temporarily banned
most short sales in nearly 1,000 financial stocks. We examine the ban's effect on market …
most short sales in nearly 1,000 financial stocks. We examine the ban's effect on market …
Macroeconomic news and bond market volatility
CM Jones, O Lamont, RL Lumsdaine - Journal of financial economics, 1998 - Elsevier
We examine the reaction of daily Treasury bond prices to the release of US macroeconomic
news. These news releases (of employment and producer price index data) are of interest …
news. These news releases (of employment and producer price index data) are of interest …