Chris Lamoureux's Research Page
- Unpublished working papers:
- ``Risk, Return, and the Optimal Exploitation of Stock Characteristics,''
(with Huacheng Zhang). New revision posted January 17, 2014. Preliminary draft first posted September 10, 2013.
- ``Dimensions of Limits to Arbitrage: Evidence from
Coupon Spreads and Repo Specials in the 10-Year US Treasury Market'' (with George Theocharides). New revision posted July 29, 2013.
First posted November 30, 2012.
- ``Public Information and
Stale Limit Orders: The Evidence'' (with Qin Wang). New draft posted August 23, 2013. First posted October 2, 2012.
- ``There and Back Again: A Stock's Tale.'' New
revision posted September 27, 2013. (First posted June 28, 2012.)
- ``Measuring Private Information
in a Canonical Specialist Market: A Comparative Study,'' (with Qin Wang). New revision posted May 14, 2013.
First posted July 3, 2012.
- ``Estimating and
Testing Arbitrage Models without Adding an Error Model: An Application to Cox, Ingersoll, and Ross,''
(with Ken Roskelley). New revision posted May 14, 2013. (First
posted August 8, 2005.)
``Costs of Capital and Public Issuance Choice,'' (with Ali Nejadmalayeri).
New revision posted September 13, 2011. (This paper replaces an earlier
paper entitled, ``Capital Market Conditions and Public Issuance Choice.'')
- ``Information in
Option Prices and the Underlying Asset Dynamics,'' (with Alex Paseka).
New revision posted October 30, 2009. (First posted on June 24, 2004.)
- ``Microstructure with Multiple Assets: An Experimental Investigation into Direct and Indirect Dealer Competition'' with Chuck Schnitzlein. (updated March 18, 2003).
- ``To Err is Human - But Dealers' Abilities to find non-Dominated Strategies Depends
on Market Transparency'' with Chuck Schnitzlein. (updated June 7, 2001).
in Stock Returns: Asymmetries and Other Patterns'' with Sunil Panikkath.
- Discussions and Other materials.
- Data, Programs and Other Resources.