Bidisha Chakrabarty

Saint Louis University - Richard A. Chaifetz School of Business

Edward Jones Endowed Chair Professor of Finance

3674 Lindell Blvd

St. Louis, MO MO 63108-3397

United States

http://business.slu.edu/departments/finance/faculty-staff/bidisha-chakrabarty

SCHOLARLY PAPERS

27

DOWNLOADS
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Top 6,262

in Total Papers Downloads

8,440

SSRN CITATIONS
Rank 12,538

SSRN RANKINGS

Top 12,538

in Total Papers Citations

50

CROSSREF CITATIONS

44

Scholarly Papers (27)

1.

Evaluating Trade Classification Algorithms: Bulk Volume Classification versus the Tick Rule and the Lee-Ready Algorithm

Journal of Financial Markets, Forthcoming
Number of pages: 59 Posted: 30 Nov 2012 Last Revised: 17 Jun 2015
Bidisha Chakrabarty, Roberto Pascual and Andriy Shkilko
Saint Louis University - Richard A. Chaifetz School of Business, Universidad de las Islas Baleares and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 1,201 (20,582)
Citation 19

Abstract:

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trade classification, bulk volume classification, tick rule, Lee and Ready, VPIN

2.

Momentum Strategies and Financial Databases: An Investigation of Intraday Pattern in Price Momentum

Number of pages: 31 Posted: 22 Oct 2004 Last Revised: 31 Mar 2017
Bidisha Chakrabarty and Charles Trzcinka
Saint Louis University - Richard A. Chaifetz School of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 852 (33,812)

Abstract:

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Momentum strategies, Financial Databases, Market Timing, CRSP, TAQ, Intraday Prices

3.

Limited Attention and Market Pricing of Earnings in a High Frequency World

Number of pages: 53 Posted: 25 Jul 2015 Last Revised: 14 Apr 2020
Bidisha Chakrabarty, Pamela C. Moulton and Xu (Frank) Wang
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Saint Louis University - Chaifetz School of Business
Downloads 666 (47,296)
Citation 7

Abstract:

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Limited attention, price efficiency, earnings announcements, high-frequency trading

4.

The Performance of Short-term Institutional Trades

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 52 Posted: 16 Feb 2013 Last Revised: 19 May 2016
Bidisha Chakrabarty, Pamela C. Moulton and Charles Trzcinka
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 526 (63,788)
Citation 12

Abstract:

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Institutional trading, short-term trades, trading skill, information

5.

Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5

Management Science, Forthcoming
Number of pages: 38 Posted: 21 Sep 2013 Last Revised: 31 Jul 2019
Saint Louis University - Richard A. Chaifetz School of Business, University of Memphis - Fogelman College of Business and Economics, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 491 (69,560)
Citation 4

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Liquidity; Unfiltered Market Access; Picking Off Risk; Latency-Sensitive Trading

6.

High-Frequency Traders and Price Informativeness during Earnings Announcements

Review of Accounting Studies, Forthcoming
Number of pages: 63 Posted: 09 Jul 2016 Last Revised: 26 May 2020
Neil Bhattacharya, Bidisha Chakrabarty and Xu (Frank) Wang
Singapore Management University - School of Accountancy, Saint Louis University - Richard A. Chaifetz School of Business and Saint Louis University - Chaifetz School of Business
Downloads 474 (72,594)
Citation 5

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High Frequency Trading; earnings announcements; earnings response coefficient; price impact of trades; analyst forecast

7.

Information transfers and learning in financial markets: Evidence from short selling around insider sales

Journal of Banking and Finance, Forthcoming
Number of pages: 43 Posted: 15 Jan 2008 Last Revised: 07 Jan 2013
Bidisha Chakrabarty and Andriy Shkilko
Saint Louis University - Richard A. Chaifetz School of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 411 (86,015)
Citation 6

Abstract:

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Insider trading; Short selling; Information transfers; Brokerage effect

8.

A New Approach to Estimating the Relation between Audit Fees and Financial Misconduct

Number of pages: 45 Posted: 03 Nov 2015 Last Revised: 05 Sep 2019
Bidisha Chakrabarty, Scott Duellman and Michael Hyman
Saint Louis University - Richard A. Chaifetz School of Business, Saint Louis University - Department of Accounting and Syracuse University - Joseph I. Lubin School of Accounting
Downloads 383 (93,341)

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Audit Fees; Benford Score; Financial Misconduct; Fraud

9.

A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market

CAEPR Working Paper No. 2006-015
Number of pages: 52 Posted: 04 Oct 2006
Bidisha Chakrabarty, Konstantin Tyurin, Zhaohui Han and Xiaoyong Zheng
Saint Louis University - Richard A. Chaifetz School of Business, ITG Inc., Financial Engineering, Financial Engineering Group, ITG Inc. and North Carolina State University
Downloads 381 (93,941)
Citation 3

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Market microstructure, limit order, competing risks, hazard rate, frailty

10.

CFO Gender and Financial Statement Irregularities

Forthcoming, Academy of Management Journal
Number of pages: 58 Posted: 06 Jun 2019
University of Alabama - Department of Management, University of Alabama - Culverhouse College of Commerce & Business Administration, Saint Louis University - Richard A. Chaifetz School of Business, University of Alabama and University of Missouri - Department of Management
Downloads 347 (104,671)

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Executive Gender, Upper Echelon, Female, Corporate Governance, CFO, Financial Misreporting

11.

Catch Me If You Can: Improving the Scope and Accuracy of Fraud Prediction

Number of pages: 51 Posted: 09 Apr 2019 Last Revised: 15 Feb 2020
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business, Saunders College of Business and Saint Louis University - Chaifetz School of Business
Downloads 322 (113,447)
Citation 4

Abstract:

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fraud; accounting quality; Benford’s Law; F-score; earnings manipulation; earnings misstatement

12.

Management Risk Incentives and the Readability of Corporate Disclosures

Financial Management, Forthcoming
Number of pages: 54 Posted: 09 Feb 2014 Last Revised: 11 Feb 2021
Saint Louis University - Richard A. Chaifetz School of Business, Saint Louis University - Department of Accounting, University of Central Oklahoma and Saint Louis University - Chaifetz School of Business
Downloads 281 (131,066)

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Executive Compensation; Disclosure Obfuscation; Option Vega; Textual Analysis

13.

When a Halt is Not a Halt: An Analysis of Off-NYSE Trading During NYSE Market Closures

Journal of Financial Intermediation, Forthcoming
Number of pages: 45 Posted: 20 Mar 2007 Last Revised: 15 Jun 2011
Bidisha Chakrabarty, Shane A. Corwin and Marios A. Panayides
Saint Louis University - Richard A. Chaifetz School of Business, University of Notre Dame - Mendoza College of Business and University of Cyprus - Department of Accounting and Finance
Downloads 241 (152,996)
Citation 2

Abstract:

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Trading halt, Price discovery, Off-NYSE trading, ECN

14.

Order Exposure in High Frequency Markets

Number of pages: 50 Posted: 21 Nov 2017 Last Revised: 13 Dec 2020
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 239 (154,194)
Citation 1

Abstract:

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Hidden orders, high frequency trading, order exposure

Earnings Announcements and Attention Constraints: The Role of Market Design

Number of pages: 53 Posted: 11 Mar 2009 Last Revised: 12 Jan 2012
Bidisha Chakrabarty and Pamela C. Moulton
Saint Louis University - Richard A. Chaifetz School of Business and Cornell University - SC Johnson College of Business
Downloads 237 (154,964)
Citation 8

Abstract:

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earnings announcements, disclosure, attention constraints, limited attention, dedicated market makers, liquidity

Earnings Announcements and Attention Constraints: The Role of Market Design

Journal of Accounting & Economics (JAE), Forthcoming
Posted: 22 Jan 2012
Bidisha Chakrabarty and Pamela C. Moulton
Saint Louis University - Richard A. Chaifetz School of Business and Cornell University - SC Johnson College of Business

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earnings announcements, liquidity, attention constraints, market microstructure

Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited

Number of pages: 42 Posted: 07 Feb 2011 Last Revised: 12 Jan 2012
Bidisha Chakrabarty, Pamela C. Moulton and Andriy Shkilko
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 203 (179,826)
Citation 11

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Trade Classification, Short Sales, Lee-Ready, Trade Initiation

Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited

Journal of Financial Markets, Forthcoming
Posted: 22 Jan 2012
Bidisha Chakrabarty, Pamela C. Moulton and Andriy Shkilko
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Wilfrid Laurier University - Lazaridis School of Business and Economics

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trade classification, short sales, long sales, Lee-Ready algorithm, short sale aggressiveness

17.

Trade Classification Algorithms for Electronic Communications Network Trades

Journal of Banking and Finance, Forthcoming
Number of pages: 27 Posted: 22 Jan 2007
Bidisha Chakrabarty, Bingguang Li, Vanthuan Nguyen and Robert A. Van Ness
Saint Louis University - Richard A. Chaifetz School of Business, Shenandoah University - Harry F. Byrd, Jr. School of Business, Morgan State University and University of Mississippi - Department of Finance
Downloads 200 (182,565)
Citation 4

Abstract:

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Trade classification, Lee and Ready algorithms, tick rule, quote rule

18.

Do Dealers Infer Information from Order Flow?

Number of pages: 40 Posted: 22 Oct 2004
Bidisha Chakrabarty
Saint Louis University - Richard A. Chaifetz School of Business
Downloads 184 (196,784)

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Dealer Market, Quote Leadership, Error Correction, Co-Integration, NASDAQ, Information Signal

19.

Can Sub-Penny Pricing Reduce Trading Costs?

Number of pages: 37 Posted: 22 Oct 2004
Bidisha Chakrabarty and Kee H. Chung
Saint Louis University - Richard A. Chaifetz School of Business and State University of New York at Buffalo - School of Management
Downloads 176 (204,555)
Citation 2

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Decimalization, Sub-penny Quotation, Markov Chain Monte Carlo, Quote Aggressiveness, Spreads, Electronic Communications Networks

20.

Effects of a Speed Bump on Market Quality and Exchange Competition

Number of pages: 64 Posted: 08 Nov 2018 Last Revised: 26 Oct 2020
Bidisha Chakrabarty, Jianning Huang and Pankaj K. Jain
Saint Louis University - Richard A. Chaifetz School of Business, Saint Francis Xavier University and University of Memphis - Fogelman College of Business and Economics
Downloads 171 (209,697)
Citation 1

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Speed bump; High-speed trading; Stock-exchange performance; Multi market trading; Market quality

21.

The Effect of Regulatory Reforms on Institutional and Retail Investors: Evidence from Restatements before and after the Sarbanes-Oxley Act

Number of pages: 41 Posted: 14 Jan 2011 Last Revised: 27 Feb 2012
Bidisha Chakrabarty, Ananth Seetharaman and Weimin Wang
Saint Louis University - Richard A. Chaifetz School of Business, Saint Louis University - Department of Accounting and Saint Louis University
Downloads 132 (259,187)

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Restatement, Sarbanes-Oxley, Retail and Institutional Investors

22.

Effects of a Speed Bump on Market Quality and Exchange Competition

Number of pages: 64 Posted: 19 Jun 2018 Last Revised: 26 Oct 2020
Bidisha Chakrabarty, Jianning Huang and Pankaj K. Jain
Saint Louis University - Richard A. Chaifetz School of Business, Saint Francis Xavier University and University of Memphis - Fogelman College of Business and Economics
Downloads 121 (276,527)
Citation 1

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Speed bump; High-speed trading; Stock-exchange performance; Multi market trading; Market quality

23.

The Effect of Disclosure Opacity on Trading Opacity: New Evidence from ADR Trades in Dark Pools

Pace University Finance Research Paper No. 2019/01
Number of pages: 64 Posted: 07 May 2019 Last Revised: 24 Oct 2020
Thomas Jason Boulton, Marcus V. Braga-Alves and Bidisha Chakrabarty
Miami University, Pace University - Lubin School of Business and Saint Louis University - Richard A. Chaifetz School of Business
Downloads 80 (362,464)

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Accounting quality, Disclosure, Dark pools, Liquidity, Opacity

24.

Trading System Upgrades and Short-Sale Bans: Uncoupling the Effects of Technology and Regulation

Journal of Empirical Finance, Forthcoming
Number of pages: 43 Posted: 27 Jan 2016 Last Revised: 24 May 2017
Bidisha Chakrabarty, Pamela C. Moulton and Roberto Pascual
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Universidad de las Islas Baleares
Downloads 67 (399,992)

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Technological Upgrades, SIBE-Smart, Colocation, Short-Sale Ban, High-Speed Trading, Equity Market Liquidity

25.

Tick Size Pilot Program and the Information Structure of US Stock Markets

Number of pages: 43 Posted: 15 Oct 2019 Last Revised: 02 Mar 2021
Bidisha Chakrabarty, Justin Cox and James Upson
Saint Louis University - Richard A. Chaifetz School of Business, Appalachian State University and University of Texas at El Paso
Downloads 52 (452,012)

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Tick size pilot program, Information structure, ISO, Price Discovery

Hidden Liquidity: Order Exposure Strategies Around Earnings Announcements

Journal of Business Finance & Accounting, Vol. 35, Issue 9-10, pp. 1220-1244, November/December 2008
Number of pages: 25 Posted: 21 Nov 2008
Bidisha Chakrabarty and Kenneth W. Shaw
Saint Louis University - Richard A. Chaifetz School of Business and University of Missouri at Columbia - School of Accountancy
Downloads 2 (785,995)
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Hidden Liquidity: Order Exposure Strategies Around Earnings Announcements

Journal of Business, Finance and Accounting, Forthcoming
Posted: 08 Jul 2008
Bidisha Chakrabarty and Kenneth W. Shaw
Saint Louis University - Richard A. Chaifetz School of Business and University of Missouri at Columbia - School of Accountancy

Abstract:

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Hidden Orders, ECNs, Earnings announcement

27.

Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders

Posted: 25 Mar 2008
Konstantin Tyurin and Bidisha Chakrabarty
ITG Inc., Financial Engineering and Saint Louis University - Richard A. Chaifetz School of Business

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Fleeting Orders, Quote Aggressiveness, Competing Risks, Principal Components, Order cancellation