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Faculty
Gideon Saar
Professor Saar's research interests are in market microstructure, behavioral finance, stock market return predictability, and institutional investors. His current research focuses on using individual investor trading to predict returns, examining the effects of taxation on the behavior of traders, analyzing the listing choice of firms, and relating systematic liquidity to the risk premium of assets. He has published in the leading finance journals, including the Journal of Finance, the Review of Financial Studies, the Journal of Financial Economics, and the Journal of Financial and Quantitative Analysis. Saar was previously on the faculty of the Stern School of Business at New York University. In addition to his doctorate in finance, he holds an undergraduate degree in finance and a master's degree in economics. At the request of the New York Stock Exchange, Saar spent the 2001-2002 academic year as the NYSE's visiting research economist.
Selected Publications and Working Papers
How Noise Trading Affects Markets: An Experimental Analysis (with Robert Bloomfield and Maureen O'Hara) forthcoming in the Review of Financial Studies.
Individual Investor Trading and Stock Returns (with Ron Kaniel and Sheridan Titman) forthcoming in the Journal of Finance.
Asset Returns and the Listing Choice of Firms (with Shmuel Baruch) forthcoming in the Review of Financial Studies.
Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE (with Ekkehart Boehmer and Lei Yu), Journal of Finance 60 (2005), 783-815.
The 'Make or Take' Decision in an Electronic Market: Evidence on the Evolution of Liquidity (with Robert Bloomfield and Maureen O'Hara), Journal of Financial Economics 75 (2005), 165-199.
Dynamic Volume-Return Relation of Individual Stocks (with Guillermo Llorente, Roni Michaely, and Jiang Wang), Review of Financial Studies 15 (2002), 1005-1047.
Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation, Review of Financial Studies 14 (2001), 1153-1181.
How Stock Splits Affect Trading: A Microstructure Approach (with David Easley and Maureen O'Hara), Journal of Financial and Quantitative Analysis 36 (2001), 25-51.
gs25@cornell.edu
455 Sage Hall
Johnson Graduate School of Management
Cornell University
Ithaca, NY 14853-6201
607-255-7484
