User profiles for J. Hasbrouck

Joel Hasbrouck

- Verified email at stern.nyu.edu - Cited by 18884

Jay Hasbrouck

- Verified email at filamentinsight.com - Cited by 615

Stalking the “efficient price” in market microstructure specifications: an overview

J Hasbrouck - Journal of Financial Markets, 2002 - Elsevier
In virtually all microstructure models, expectations of security payoffs are important determinants
of prices and trading strategies. The principle that revisions to this expectation should …

What do we know about phonological awareness in Spanish?

CA Denton, JE Hasbrouck, LR Weaver… - Reading …, 2000 - Taylor & Francis
In this review, we examined the role of phonological awareness in literacy development for
Spanish-speaking students. There appears to be a close relationship between Spanish-…

Environmental sustainability and interaction

…, B Friedman, SR Fussell, J Hasbrouck… - CHI'07 extended …, 2007 - dl.acm.org
By its nature, the discipline of human computer interaction must take into consideration the
issues that are most pertinent to humans. We believe that the CHI community faces an …

Measuring the information content of stock trades

J Hasbrouck - The Journal of Finance, 1991 - Wiley Online Library
Hasbrouck suggests that the two effects can be partially resolved according to the persistence
of their impact on the security price. Inventory control effects are inherently transient, while …

Common factors in prices, order flows, and liquidity

J Hasbrouck, DJ Seppi - Journal of financial Economics, 2001 - Elsevier
How important are cross-stock common factors in the price discovery/liquidity provision process
in equity markets? We investigate two aspects of this question for the 30 Dow stocks. First…

One security, many markets: Determining the contributions to price discovery

J Hasbrouck - The journal of Finance, 1995 - Wiley Online Library
… of variation in this efficient price to trades and (in Hasbrouck (1993b)) orders. The present
piece can … The proportion of this for market j relative to the total variance is defined as market j's

A bright green perspective on sustainable choices

A Woodruff, J Hasbrouck, S Augustin - proceedings of the SIGCHI …, 2008 - dl.acm.org
We present a qualitative study of 35 United States households whose occupants have
made significant accommodations to their homes and behaviors in order to be more …

Trading costs and returns for US equities: Estimating effective costs from daily data

J Hasbrouck - The Journal of Finance, 2009 - Wiley Online Library
… This study generalizes the Hasbrouck model and applies it to daily CRSP US equity data.
The CRSP/Gibbs estimates are then compared to estimates based on high-frequency trade …

Trades, quotes, inventories, and information

J Hasbrouck - Journal of financial economics, 1988 - Elsevier
This empirical examination of the relation between trades and quote revisions for New York
Stock Exchange-listed stocks is designed to ascertain asymmetric-information and inventory-…

The summary informativeness of stock trades: An econometric analysis

J Hasbrouck - The Review of Financial Studies, 1991 - academic.oup.com
In a security market with asymmetrically informed participants, trades are signals of private
information. In this article, new measures of trade informativeness are proposed based on a …