Hendrik Bessembinder

Professor & Labriola Chair

  • Professor & Labriola Chair, Finance
  • 3052 Citations
  • 26 h-Index
1991 …2018

Research Output 1991 2018

  • 3052 Citations
  • 26 h-Index
  • 35 Article
2018

The “roll yield” myth

Bessembinder, H. Jan 1 2018 In : Financial Analysts Journal. 74, 2, p. 41-53 13 p.

Research output: Contribution to journalArticle

Cash flow
Price changes
Assets
Investors
Futures prices
2015
4 Citations

Market Making Contracts, Firm Value, and the IPO Decision

Bessembinder, H., Hao, J. & Zheng, K. Oct 1 2015 In : Journal of Finance. 70, 5, p. 1997-2028 32 p.

Research output: Contribution to journalArticle

Market making
Secondary market
Firm value
Liquidity
Market makers
4 Citations

Predictable corporate distributions and stock returns

Bessembinder, H. & Zhang, F. 2015 In : Review of Financial Studies. 28, 4, p. 1199-1241 43 p.

Research output: Contribution to journalArticle

Stock returns
Announcement
Dividends
Stock splits
Seasonality
2014
6 Citations

Liquidity, resiliency and market quality around predictable trades: Theory and evidence

Bessembinder, H., Carrion, A., Tuttle, L. & Venkataraman, K. Nov 6 2014 (Accepted/In press) In : Journal of Financial Economics.

Research output: Contribution to journalArticle

Liquidity
Traders
Resiliency
Trade theory
Market quality
2013
23 Citations

Firm characteristics and long-run stock returns after corporate events

Bessembinder, H. & Zhang, F. Jul 2013 In : Journal of Financial Economics. 109, 1, p. 83-102 20 p.

Research output: Contribution to journalArticle

Stock returns
Firm characteristics
Liquidity
Mergers
Momentum
43 Citations

Noisy prices and inference regarding returns

Asparouhova, E., Bessembinder, H. & Kalcheva, I. Apr 2013 In : Journal of Finance. 68, 2, p. 665-714 50 p.

Research output: Contribution to journalArticle

Inference
Economics
Firm size
Deviation
Firm characteristics
5 Citations

Trading activity and transaction costs in structured credit products

Bessembinder, H., Maxwell, W. F. & Venkataraman, K. Nov 2013 In : Financial Analysts Journal. 69, 6, p. 55-67 13 p.

Research output: Contribution to journalArticle

Transaction costs
Trading activity
Credit
Retail
Trade size
2010
68 Citations

Liquidity biases in asset pricing tests

Asparouhova, E., Bessembinder, H. & Kalcheva, I. May 2010 In : Journal of Financial Economics. 96, 2, p. 215-237 23 p.

Research output: Contribution to journalArticle

Liquidity
Asset pricing
Illiquidity
Premium
Security price
2009
36 Citations

Hidden liquidity: An analysis of order exposure strategies in electronic stock markets

Bessembinder, H., Panayides, M. & Venkataraman, K. Dec 2009 In : Journal of Financial Economics. 94, 3, p. 361-383 23 p.

Research output: Contribution to journalArticle

Liquidity
Order size
Traders
Stock market
Stock exchange
104 Citations

Measuring abnormal bond performance

Bessembinder, H., Kahle, K. M., Maxwell, W. F. & Xu, D. Oct 2009 In : Review of Financial Studies. 22, 10, p. 4219-4258 40 p.

Research output: Contribution to journalArticle

Bond returns
Test statistic
Abnormal returns
Mergers and acquisitions
Event study
2008
50 Citations

Markets: Transparency and the corporate bond market

Bessembinder, H. & Maxwell, W. Mar 2008 In : Journal of Economic Perspectives. 22, 2, p. 217-234 18 p.

Research output: Contribution to journalArticle

Corporate bonds
Market transparency
Bond market
2006
8 Citations

Gains from trade under uncertainty: The case of electric power markets

Bessembinder, H. & Lemmon, M. L. Jul 2006 In : Journal of Business. 79, 4, p. 1755-1782 28 p.

Research output: Contribution to journalArticle

Uncertainty
Real-time
Diversification
Economics
Estimate
116 Citations

Market transparency, liquidity externalities, and institutional trading costs in corporate bonds

Bessembinder, H., Maxwell, W. & Venkataraman, K. Nov 2006 In : Journal of Financial Economics. 82, 2, p. 251-288 38 p.

Research output: Contribution to journalArticle

Liquidity
Trading costs
Market transparency
Corporate bonds
Externalities
2004
49 Citations

Does an electronic stock exchange need an upstairs market?

Bessembinder, H. & Venkataraman, K. Jul 2004 In : Journal of Financial Economics. 73, 1, p. 3-36 34 p.

Research output: Contribution to journalArticle

Liquidity
Stock exchange
Prediction
Broker
Execution costs
2003
139 Citations

Issues in assessing trade execution costs

Bessembinder, H. May 2003 In : Journal of Financial Markets. 6, 3, p. 233-257 25 p.

Research output: Contribution to journalArticle

Execution costs
Trading costs
Nasdaq
Seller
Buyers
62 Citations

Quote-based competition and trade execution costs in NYSE-listed stocks

Bessembinder, H. Dec 2003 In : Journal of Financial Economics. 70, 3, p. 385-422 38 p.

Research output: Contribution to journalArticle

Execution costs
New York Stock Exchange
Liquidity
Routing
Capitalization
162 Citations

Trade Execution Costs and Market Quality after Decimalization

Bessembinder, H. Dec 2003 In : Journal of Financial and Quantitative Analysis. 38, 4, p. 747-777 31 p.

Research output: Contribution to journalArticle

Market quality
Decimalization
Execution costs
Nasdaq
New York Stock Exchange
2002
284 Citations

Equilibrium pricing and optimal hedging in electricity forward markets

Bessembinder, H. & Lemmon, M. L. Jun 2002 In : Journal of Finance. 57, 3, p. 1347-1382 36 p.

Research output: Contribution to journalArticle

Equilibrium pricing
Forward markets
Electricity
Hedging
Derivatives
2000
33 Citations
Liquidity
Nasdaq
Tick size
Market makers
Stock market
1999
129 Citations

Trade execution costs on NASDAQ and the NYSE: A post-reform comparison

Bessembinder, H. Sep 1999 In : Journal of Financial and Quantitative Analysis. 34, 3, p. 387-407 21 p.

Research output: Contribution to journalArticle

New York Stock Exchange
Execution costs
Cross-sectional regression
Tick size
Regression analysis
1998
131 Citations

Market efficiency and the returns to technical analysis

Bessembinder, H. & Chan, K. Jun 1998 In : Financial Management. 27, 2, p. 5-17 13 p.

Research output: Contribution to journalArticle

Market efficiency
Technical analysis
Trading costs
Non-synchronous trading
Equity
2 Citations

Trading costs and volatility for technology stocks

Bessembinder, H. & Kaufman, H. M. Sep 1998 In : Financial Analysts Journal. 54, 5, p. 64-71 8 p.

Research output: Contribution to journalArticle

Trading costs
Nasdaq
New York Stock Exchange
Bid
Median
1997
157 Citations

A comparison of trade execution costs for NYSE and NASDAQ-listed stocks

Bessembinder, H. & Kaufman, H. M. Sep 1997 In : Journal of Financial and Quantitative Analysis. 32, 3, p. 287-310 24 p.

Research output: Contribution to journalArticle

Capitalization
Execution costs
New York Stock Exchange
Trading costs
Stock market
116 Citations

A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks

Bessembinder, H. & Kaufman, H. M. Dec 1997 In : Journal of Financial Economics. 46, 3, p. 293-319 27 p.

Research output: Contribution to journalArticle

Information flow
Execution costs
New York Stock Exchange
Bid/ask spread
Market makers
46 Citations

The degree of price resolution and equity trading costs

Bessembinder, H. Jul 1997 In : Journal of Financial Economics. 45, 1, p. 9-34 26 p.

Research output: Contribution to journalArticle

Trading costs
Execution costs
Equity
Nasdaq
New York Stock Exchange
1996
106 Citations

An empirical examination of information, differences of opinion, and trading activity

Bessembinder, H., Chan, K. & Seguin, P. J. Jan 1996 In : Journal of Financial Economics. 40, 1, p. 105-134 30 p.

Research output: Contribution to journalArticle

Trading activity
Open interest
Divergence
Information flow
Equity
41 Citations

Is there a term structure of futures volatilities? Reevaluating the Samuelson hypothesis

Bessembinder, H., Coughenour, J. F., Seguin, P. J. & Smoller, M. M. Dec 1 1996 In : Journal of Derivatives. 4, 2, p. 45-58 14 p.

Research output: Contribution to journalArticle

Term structure
Price changes
Clustering
Derivatives
Prediction
1995
160 Citations

Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure

BESSEMBINDER, H. E. N. D. R. I. K., COUGHENOUR, J. A. Y. F., SEGUIN, P. A. U. L. J. & SMOLLER, M. A. R. G. A. R. E. T. M. O. N. R. O. E. 1995 In : Journal of Finance. 50, 1, p. 361-375 15 p.

Research output: Contribution to journalArticle

Mean reversion
Asset prices
Term structure
Investors
Financial assets
145 Citations

The profitability of technical trading rules in the Asian stock markets

Bessembinder, H. & Chan, K. 1995 In : Pacific-Basin Finance Journal. 3, 2-3, p. 257-284 28 p.

Research output: Contribution to journalArticle

Asian stock markets
Technical trading rules
Profitability
Asia
Malaysia
1994
95 Citations

Bid-ask spreads in the interbank foreign exchange markets

Bessembinder, H. 1994 In : Journal of Financial Economics. 35, 3, p. 317-348 32 p.

Research output: Contribution to journalArticle

Foreign exchange market
Currency
Costs
Bid/ask spread
Liquidity
1993
19 Citations

An empirical analysis of risk premia in futures markets

Bessembinder, H. 1993 In : Journal of Futures Markets. 13, 6, p. 611-630 20 p.

Research output: Contribution to journalArticle

Empirical analysis
Futures markets
Risk premia
287 Citations

Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets

Bessembinder, H. & Seguin, P. J. 1993 In : Journal of Financial and Quantitative Analysis. 28, 1, p. 21-39 19 p.

Research output: Contribution to journalArticle

Price volatility
Market depth
Trading volume
Futures markets
Open interest
1992
182 Citations

Futures‐Trading Activity and Stock Price Volatility

BESSEMBINDER, H. E. N. D. R. I. K. & SEGUIN, P. A. U. L. J. 1992 In : Journal of Finance. 47, 5, p. 2015-2034 20 p.

Research output: Contribution to journalArticle

Stock price volatility
Futures trading
Trading activity
Equity
Life cycle
84 Citations

Time-varying risk premia and forecastable returns in futures markets

Bessembinder, H. & Chan, K. 1992 In : Journal of Financial Economics. 32, 2, p. 169-193 25 p.

Research output: Contribution to journalArticle

Time-varying risk
Risk premia
Equity
Futures markets
Latent variables
1991
156 Citations
Investment incentives
Firm value
Hedging
Forward contracts
Incremental