Terrence Hendershott

University of California, Berkeley - Haas School of Business

545 Student Services Building, #1900

2220 Piedmont Avenue

Berkeley, CA 94720

United States

  • University of California, Berkeley - Haas School of Business

SCHOLARLY PAPERS

39

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696

CROSSREF CITATIONS

910

Scholarly Papers (39)

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1.

High Frequency Trading and Price Discovery

Downloads 5,547 ( 1,686)
Citation 283

High Frequency Trading and Price Discovery

Number of pages: 61 Posted: 12 Oct 2011 Last Revised: 26 Apr 2013
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Queen's University - Smith School of Business
Downloads 5,003 (1,986)
Citation 99

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high frequency trading, price formation, price discovery, pricing errors

High Frequency Trading and Price Discovery

ECB Working Paper No. 1602
Number of pages: 57 Posted: 08 Nov 2013
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Queen's University - Smith School of Business
Downloads 544 (62,097)
Citation 75

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high frequency trading, price formation, price discovery, pricing errors

2.

Does Algorithmic Trading Improve Liquidity?

Journal of Finance, Vol. 66, pp. 1-33, WFA 2008 Paper
Number of pages: 54 Posted: 05 Mar 2008 Last Revised: 27 Jul 2011
Terrence Hendershott, Charles M. Jones and Albert J. Menkveld
University of California, Berkeley - Haas School of Business, Columbia Business School and Vrije Universiteit Amsterdam
Downloads 5,462 (1,719)
Citation 79

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3.

Market Maker Inventories and Liquidity

AFA 2008 New Orleans Meetings Paper
Number of pages: 38 Posted: 09 Nov 2006
Terrence Hendershott, Pamela C. Moulton and Mark S. Seasholes
University of California, Berkeley - Haas School of Business, Cornell University - SC Johnson College of Business and ASU WP Carey School of Business
Downloads 2,585 (6,280)
Citation 3

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inventory, market makers, capital constraints

4.

Price Pressures

Journal of Financial Economics, 2014, Vol 114, p. 405-423.
Number of pages: 33 Posted: 31 May 2009 Last Revised: 18 Feb 2015
Terrence Hendershott and Albert J. Menkveld
University of California, Berkeley - Haas School of Business and Vrije Universiteit Amsterdam
Downloads 2,079 (8,945)
Citation 32

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liquidity, inventory risk, intermediary, volatility

5.

Market Maker Inventories and Stock Prices

Number of pages: 46 Posted: 15 Mar 2006
Terrence Hendershott and Mark S. Seasholes
University of California, Berkeley - Haas School of Business and ASU WP Carey School of Business
Downloads 1,993 (9,601)
Citation 19

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Market Maker, Inventory, Liquidity Provision

6.

Price Discovery and Trading Costs after Hours

Number of pages: 35 Posted: 02 Mar 2000
Michael J. Barclay and Terrence Hendershott
University of Rochester - Simon School (Deceased) and University of California, Berkeley - Haas School of Business
Downloads 1,736 (11,998)
Citation 26

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7.

Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues

Journal of Finance, Forthcoming
Number of pages: 59 Posted: 31 Dec 2008
Carole Comerton-Forde, Terrence Hendershott, Charles M. Jones, Pamela C. Moulton and Mark S. Seasholes
UNSW Business School, University of California, Berkeley - Haas School of Business, Columbia Business School, Cornell University - SC Johnson College of Business and ASU WP Carey School of Business
Downloads 1,664 (12,833)
Citation 7

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Liquidity, Market-Makers

8.

Electronic Communications Networks and Market Quality

Number of pages: 40 Posted: 18 May 2001
Michael J. Barclay, Terrence Hendershott and Tim McCormick
University of Rochester - Simon School (Deceased), University of California, Berkeley - Haas School of Business and U.S. Securities and Exchange Commission
Downloads 1,602 (13,614)
Citation 7

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9.

Island Goes Dark: Transparency, Fragmentation, Liquidity Externalities, and Multimarket Regulation

Number of pages: 57 Posted: 06 Jun 2003
Terrence Hendershott and Charles M. Jones
University of California, Berkeley - Haas School of Business and Columbia Business School
Downloads 1,477 (15,499)
Citation 35

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Transparency, multi-market trading, liquidity, fragmentation, market microstructure

10.

Automation, Speed, and Stock Market Quality: The NYSE’s Hybrid

Number of pages: 59 Posted: 14 Jul 2008 Last Revised: 08 Aug 2015
Terrence Hendershott and Pamela C. Moulton
University of California, Berkeley - Haas School of Business and Cornell University - SC Johnson College of Business
Downloads 1,374 (17,341)
Citation 36

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Speed, Automation, Transaction Costs, Efficiency, Hybrid, NYSE

11.

Market Maker Revenues and Stock Market Liquidity

Number of pages: 40 Posted: 10 Sep 2007
Carole Comerton-Forde, Terrence Hendershott and Charles M. Jones
UNSW Business School, University of California, Berkeley - Haas School of Business and Columbia Business School
Downloads 1,368 (17,453)
Citation 2

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financing constraints, time-varying liquidity

12.

Information and Trading on Electronic Communications Networks

Number of pages: 42 Posted: 11 Nov 2002
Michael J. Barclay, Terrence Hendershott and Tim McCormick
University of Rochester - Simon School (Deceased), University of California, Berkeley - Haas School of Business and U.S. Securities and Exchange Commission
Downloads 1,352 (17,790)
Citation 4

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13.

Levelling the Trading Field

Journal of Financial Markets, Forthcoming
Number of pages: 48 Posted: 05 Feb 2007 Last Revised: 30 Jun 2013
David Easley, Terrence Hendershott and Tarun Ramadorai
Cornell University - Department of Economics, University of California, Berkeley - Haas School of Business and Imperial College London
Downloads 1,263 (19,637)
Citation 3

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market structure, stock exchange, trading volume, transparency, information, latency, technology upgrade

14.

Price Discovery Without Trading: Evidence from Limit Orders

Journal of Finance, Forthcoming
Number of pages: 51 Posted: 05 Sep 2015 Last Revised: 19 Jun 2020
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Queen's University - Smith School of Business
Downloads 1,127 (23,306)
Citation 21

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High-Frequency Trading, Price Discovery, Limit Order Book, Fragmentation

15.

Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks

Simon School, University of Rochester, Research Paper
Number of pages: 44 Posted: 12 Nov 2003
Michael J. Barclay, Terrence Hendershott and Charles M. Jones
University of Rochester - Simon School (Deceased), University of California, Berkeley - Haas School of Business and Columbia Business School
Downloads 1,084 (24,648)
Citation 21

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Market structure, price discovery, price efficiency, volatility, liquidity

16.

Market Predictability and Non-Informational Trading

Downloads 1,000 ( 27,734)
Citation 6

Market Predictability and Non-Informational Trading

Number of pages: 37 Posted: 21 Nov 2008 Last Revised: 27 Apr 2009
Terrence Hendershott and Mark S. Seasholes
University of California, Berkeley - Haas School of Business and ASU WP Carey School of Business
Downloads 863 (33,599)
Citation 6

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Return Predictability, Liquidity, Comovement

Market Predictability and Non-Informational Trading

Number of pages: 37 Posted: 14 Mar 2009
Terrence Hendershott and Mark S. Seasholes
University of California, Berkeley - Haas School of Business and ASU WP Carey School of Business
Downloads 137 (258,299)
Citation 6

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Return Predictability, Liquidity, Comovement

17.

Algorithmic Trading and the Market for Liquidity

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 45 Posted: 09 Feb 2012 Last Revised: 12 Apr 2012
Terrence Hendershott and Ryan Riordan
University of California, Berkeley - Haas School of Business and Queen's University - Smith School of Business
Downloads 951 (29,759)
Citation 43

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algorithmic trading, liquidity, market monitoring

18.

Asset Pricing: A Tale of Night and Day

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 65 Posted: 15 Feb 2018 Last Revised: 03 Dec 2019
Terrence Hendershott, Dmitry Livdan and Dominik Rösch
University of California, Berkeley - Haas School of Business, University of California, Berkeley and State University of New York at Buffalo - School of Management
Downloads 852 (34,728)
Citation 18

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19.

Asset Price Dynamics with Limited Attention

Review of Financial Studies (forthcoming)
Number of pages: 73 Posted: 01 Aug 2010 Last Revised: 10 May 2021
Terrence Hendershott, Albert J. Menkveld, Remy Praz and Mark S. Seasholes
University of California, Berkeley - Haas School of Business, Vrije Universiteit Amsterdam, Copenhagen Business School - Department of Finance and ASU WP Carey School of Business
Downloads 715 (44,108)
Citation 9

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Transitory Volatility, Limited Attention, Individuals, Institutions, Market Makers

20.

High Frequency Trading and the 2008 Short Sale Ban

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 48 Posted: 15 Oct 2014 Last Revised: 11 Aug 2016
Jonathan Brogaard, Terrence Hendershott and Ryan Riordan
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business and Queen's University - Smith School of Business
Downloads 666 (48,484)
Citation 14

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high frequency trading, liquidity, price efficiency, short selling

21.

Informed Trading and Portfolio Returns

Number of pages: 42 Posted: 11 Sep 2009 Last Revised: 14 Jan 2010
Alex Boulatov, Terrence Hendershott and Dmitry Livdan
HSE Moscow, University of California, Berkeley - Haas School of Business and University of California, Berkeley
Downloads 536 (63,897)
Citation 14

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informed trading, portfolio autocorrelations, adverse selection

22.

Click or Call? Auction Versus Search in the Over-the-Counter Market

Journal of Finance, Forthcoming
Number of pages: 41 Posted: 19 Nov 2011 Last Revised: 19 Aug 2014
Terrence Hendershott and Ananth Madhavan
University of California, Berkeley - Haas School of Business and BlackRock, Inc.
Downloads 496 (70,451)
Citation 32

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Corporate bonds, electronic trading, auction markets, over-the-counter (OTC) trading

23.

Are Institutions Informed About News?

Swiss Finance Institute Research Paper No. 14-49
Number of pages: 62 Posted: 27 Jul 2014
Terrence Hendershott, Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business, University of California, Berkeley and University of Lausanne
Downloads 352 (105,212)
Citation 44

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24.

Short Selling and Price Discovery in Corporate Bonds

Number of pages: 70 Posted: 04 Jun 2014 Last Revised: 13 Nov 2017
Terrence Hendershott, Roman Kozhan and Vikas Raman
University of California, Berkeley - Haas School of Business, University of Warwick - Warwick Business School and Lancaster University - Department of Accounting and Finance
Downloads 347 (106,890)
Citation 1

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Short Selling, Corporate Bonds, Financial Crisis

25.

Order Exposure in High Frequency Markets

Number of pages: 50 Posted: 21 Nov 2017 Last Revised: 13 Dec 2020
Bidisha Chakrabarty, Terrence Hendershott, Samarpan Nawn and Roberto Pascual
Saint Louis University - Richard A. Chaifetz School of Business, University of California, Berkeley - Haas School of Business, Indian Institute of Management Udaipur and Universidad de las Islas Baleares
Downloads 253 (149,259)
Citation 1

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Hidden orders, high frequency trading, order exposure

26.

Does Financial Market Structure Impact the Cost of Raising Capital?

Number of pages: 61 Posted: 21 Nov 2017 Last Revised: 05 Feb 2020
James Brugler, Carole Comerton-Forde and Terrence Hendershott
University of Melbourne - Department of Finance, UNSW Business School and University of California, Berkeley - Haas School of Business
Downloads 250 (151,047)
Citation 3

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Liquidity, Capital Costs, Seasoned Equity Offerings

27.

True Cost of Immediacy

Downloads 237 (159,005)
Citation 2

True Cost of Immediacy

Swiss Finance Institute Research Paper No. 20-71
Number of pages: 63 Posted: 25 Aug 2020 Last Revised: 18 Sep 2020
Terrence Hendershott, Dan Li, Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business, Board of Governors of the Federal Reserve System, University of California, Berkeley and University of Lausanne
Downloads 237 (158,501)
Citation 1

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Collateralized loan obligations, bids-wanted-in-competition, over-the-counter markets, liquidity, fragility

True Cost of Immediacy

CEPR Discussion Paper No. DP15205
Number of pages: 65 Posted: 12 Sep 2020
Terrence Hendershott, Dan Li, Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business, Board of Governors of the Federal Reserve System, University of California, Berkeley and University of Lausanne
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bids-wanted-in-competition, Collateralized loan obligations, financial fragility, liquidity, Over-the-counter markets

28.

Relationship Trading in OTC Markets

Downloads 188 (197,404)
Citation 46

Relationship Trading in OTC Markets

Swiss Finance Institute Research Paper No. 17-30
Number of pages: 46 Posted: 04 Dec 2017
Terrence Hendershott, Dan Li, Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business, Board of Governors of the Federal Reserve System, University of California, Berkeley and University of Lausanne
Downloads 186 (199,230)
Citation 47

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Over-the-counter market, corporate bond, trading cost, liquidity, decentralization, financial network

Relationship Trading in OTC Markets

CEPR Discussion Paper No. DP12472
Number of pages: 49 Posted: 12 Dec 2017
Terrence Hendershott, Dan Li, Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business, Board of Governors of the Federal Reserve System, University of California, Berkeley and University of Lausanne
Downloads 2 (800,938)
Citation 10
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corporate bond, Decentralization, Financial Networks, liquidity, Over-the-counter market, trading cost

29.

The Intended and Collateral Effects of Short-Sale Bans as a Regulatory Tool

Downloads 184 (201,179)
Citation 1

The Intended and Collateral Effects of Short-Sale Bans as a Regulatory Tool

The Journal of Investment Management, Third Quarter, 2013
Number of pages: 18 Posted: 10 Oct 2012 Last Revised: 19 Sep 2013
Terrence Hendershott, Ethan Namvar and Blake Phillips
University of California, Berkeley - Haas School of Business, University of California, Berkeley - Haas School of Business and University of Waterloo
Downloads 184 (201,138)
Citation 1

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short-sale ban, SEC, securities and exchange commission, short-sale constraints, financial crisis, price discovery, liquidity

The Intended and Collateral Effects of Short-Sale Bans as a Regulatory Tool

Journal of Investment Management; Third Quarter, 2013
Posted: 15 Nov 2014
Terrence Hendershott, Ethan Namvar and Blake Phillips
University of California, Berkeley - Haas School of Business, University of California, Berkeley - Haas School of Business and University of Waterloo

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Short-sale ban, SEC, securities and exchange commission, short-sale constraints, financial crisis, price discovery, liquidity

30.

Implementation Shortfall with Transitory Price Effects

Appeared in David Easley, Marcos López de Prado, and Maureen O'Hara, 2013, editors, "High-Frequency Trading: New Realities for Traders, Markets and Regulators.", Columbia Business School Research Paper No. 18-31
Number of pages: 24 Posted: 13 Mar 2018
Terrence Hendershott, Charles M. Jones and Albert J. Menkveld
University of California, Berkeley - Haas School of Business, Columbia Business School and Vrije Universiteit Amsterdam
Downloads 179 (206,130)
Citation 5

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Implementation shortfall, volatility decomposition, institutional investor

31.

Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues

Journal of Finance, Vol. 65, No. 1, pp. 295-331, 2010
Number of pages: 59 Posted: 26 Oct 2011 Last Revised: 03 Dec 2012
Carole Comerton-Forde, Terrence Hendershott, Charles M. Jones, Pamela C. Moulton and Mark S. Seasholes
UNSW Business School, University of California, Berkeley - Haas School of Business, Columbia Business School, Cornell University - SC Johnson College of Business and ASU WP Carey School of Business
Downloads 99 (324,421)
Citation 19

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32.

Stock Exchanges as Platforms for Data and Trading

Number of pages: 44 Posted: 29 Dec 2020
Terrence Hendershott, Marc Rysman and Rainer Schwabe
University of California, Berkeley - Haas School of Business, Boston University - Department of Economics and Cornerstone Research
Downloads 92 (339,937)
Citation 1

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stock exchanges, proprietary market data, platform competition, multi-sided markets, externalities

33.

Transparency in Fragmented Markets: Experimental Evidence

Number of pages: 40 Posted: 15 Sep 2020 Last Revised: 16 Feb 2021
Terrence Hendershott, Marvin Wee and Yuanji Wen
University of California, Berkeley - Haas School of Business, Australian National University (ANU) and The University of Western Australia - Department of Accounting and Finance
Downloads 44 (494,446)
Citation 1

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hidden orders, iceberg orders, dark pool trading, limit order book market, laboratory test

34.

Do We Need Dealers in OTC Markets?

Swiss Finance Institute Research Paper No. 21-43
Number of pages: 49 Posted: 02 Aug 2021 Last Revised: 04 Aug 2021
Terrence Hendershott, Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business, University of California, Berkeley and University of Lausanne
Downloads 22 (702,440)

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Over-the-counter markets, electronic trading, request for quote, open trading, corporate bonds, dealers

35.

A Model of Direct and Intermediated Sales

Journal of Economics & Management Strategy, Vol. 15, No. 2, pp. 279-316, Summer 2006
Number of pages: 38 Posted: 08 May 2006
Terrence Hendershott and Jie (Jennifer) Zhang
University of California, Berkeley - Haas School of Business and University of Texas at Arlington
Downloads 21 (621,714)
Citation 3
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36.

High‐Frequency Trading and the Execution Costs of Institutional Investors

Financial Review, Vol. 49, Issue 2, pp. 345-369, 2014
Number of pages: 25 Posted: 08 Apr 2014
Jonathan Brogaard, Terrence Hendershott, Stefan Hunt and Carla Ysusi
University of Utah - David Eccles School of Business, University of California, Berkeley - Haas School of Business, Financial Conduct Authority and Financial Conduct Authority
Downloads 3 (757,243)
Citation 3
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high frequency trading, execution costs, institutional investors

37.

How Slow is the NBBO? A Comparison with Direct Exchange Feeds

Financial Review, Vol. 49, Issue 2, pp. 313-332, 2014
Number of pages: 20 Posted: 08 Apr 2014
Shengwei Ding, John Hanna and Terrence Hendershott
Wells Fargo Bank - Wells Fargo Securities, affiliation not provided to SSRN and University of California, Berkeley - Haas School of Business
Downloads 0 (795,285)
Citation 3
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market data, transparency, high‐frequency trading

38.

Automation, Speed, and Stock Market Quality: The NYSE's Hybrid

Journal of Financial Markets, Forthcoming
Posted: 25 Mar 2011
Terrence Hendershott and Pamela C. Moulton
University of California, Berkeley - Haas School of Business and Cornell University - SC Johnson College of Business

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Automation, Liquidity, Speed, Transparency, Latency, Adverse selection

39.

Bundling and Optimal Auctions of Multiple Products

Posted: 04 Nov 2000
Christopher Avery and Terrence Hendershott
Harvard University - Harvard Kennedy School (HKS) and University of California, Berkeley - Haas School of Business

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