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John Paul Broussard

Personal Details

First Name:John
Middle Name:Paul
Last Name:Broussard
Suffix:
RePEc Short-ID:pbr3
http://broussard.rutgers.edu
227 Penn Street BSB 440 Camden, NJ 08102
856-225-6647

Affiliation

School of Business
Rutgers University-Camden

Camden, New Jersey (United States)
http://camden-sbc.rutgers.edu/

: 856.225.6216
856.225.6231
227 Penn St., Camden, NJ 08102
RePEc:edi:sbrucus (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. Broussard, John Paul & Nikiforov, Andrei, 2014. "Intraday periodicity in algorithmic trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 196-204.
  2. Elizabeth B. Booth & G. Geoffrey Booth & John P. Broussard, 2014. "Communication Technology and Exchanging Financial Assets: A Historical Perspective," Business and Economic Research, Macrothink Institute, vol. 4(2), pages 308-322, December.
  3. Muravyev, Dmitriy & Pearson, Neil D. & Paul Broussard, John, 2013. "Is there price discovery in equity options?," Journal of Financial Economics, Elsevier, vol. 107(2), pages 259-283.
  4. Broussard, John Paul & Vaihekoski, Mika, 2012. "Profitability of pairs trading strategy in an illiquid market with multiple share classes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1188-1201.
  5. John Paul Broussard & Sheree A. Buchenroth & Eugene A. Pilotte, 2004. "CEO Incentives, Cash Flow, and Investment," Financial Management, Financial Management Association, vol. 33(2), Summer.
  6. John Broussard & Peter Koveos & Allan Young, 2002. "The Index of Economic Freedom and Economic Growth in Transition Economies," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 5(Special C), pages 21-36, December.
  7. Broussard, John Paul, 2001. "Extreme-value and margin setting with and without price limits," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 365-385.
  8. G. Geoffrey Booth & J. Broussard & Otto Loistl, 1999. "Reply to 'Note on "Earnings and stock returns: evidence from Germany" '," European Accounting Review, Taylor & Francis Journals, vol. 8(3), pages 565-568.
  9. Broussard, John Paul & Booth, G. Geoffrey, 1998. "The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting," European Journal of Operational Research, Elsevier, vol. 104(3), pages 393-402, February.
  10. G. Booth & John Broussard, 1998. "Setting NYSE Circuit Breaker Triggers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 187-204, June.
  11. G. Geoffrey Booth & John Paul Broussard & Teppo Martikainen & Vesa Puttonen, 1997. "Prudent Margin Levels in the Finnish Stock Index Futures Market," Management Science, INFORMS, vol. 43(8), pages 1177-1188, August.
  12. G. Geoffrey Booth & John Broussard & Otto Loistl, 1997. "Earnings and stock returns: evidence from Germany," European Accounting Review, Taylor & Francis Journals, vol. 6(4), pages 589-603.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Broussard, John Paul & Nikiforov, Andrei, 2014. "Intraday periodicity in algorithmic trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 196-204.

    Cited by:

    1. Batten, Jonathan A. & Lucey, Brian M. & Peat, Maurice, 2016. "Gold and silver manipulation: What can be empirically verified?," Economic Modelling, Elsevier, vol. 56(C), pages 168-176.

  2. Muravyev, Dmitriy & Pearson, Neil D. & Paul Broussard, John, 2013. "Is there price discovery in equity options?," Journal of Financial Economics, Elsevier, vol. 107(2), pages 259-283.

    Cited by:

    1. Kim, Donghan & Kim, Jun Sik & Seo, Sung Won, 2018. "What options to trade and when: Evidence from seasoned equity offerings," Journal of Financial Markets, Elsevier, vol. 37(C), pages 70-96.
    2. Ryu, Doojin & Yang, Heejin, 2017. "Price disagreements and adjustments in index derivatives markets," Economics Letters, Elsevier, vol. 151(C), pages 104-106.
    3. Chen, Zhuo & Lu, Andrea, 2017. "Slow diffusion of information and price momentum in stocks: Evidence from options markets," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 98-108.
    4. Chatrath, Arjun & Christie-David, Rohan A. & Miao, Hong & Ramchander, Sanjay, 2015. "Short-term options: Clienteles, market segmentation, and event trading," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 237-250.
    5. Delisle, R. Jared & Lee, Bong Soo & Mauck, Nathan, 2012. "The dynamic relation between short sellers, option traders, and aggregate returns," MPRA Paper 42566, University Library of Munich, Germany.
    6. Hao, (Grace) Qing, 2016. "Is there information leakage prior to share repurchase announcements? Evidence from daily options trading," Journal of Financial Markets, Elsevier, vol. 27(C), pages 79-101.
    7. Rourke, Thomas, 2014. "The delta- and vega-related information content of near-the-money option market trading activity," Journal of Financial Markets, Elsevier, vol. 20(C), pages 175-193.
    8. Jens Hilscher & Joshua M. Pollet & Mungo Wilson, 2011. "Are credit default swaps a sideshow? Evidence that Information Flows from Equity to CDS Markets," Working Papers 35, Brandeis University, Department of Economics and International Businesss School, revised May 2013.
    9. Vinay Patel, 2015. "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 27.
    10. Li, Wei-Xuan & French, Joseph J. & Chen, Clara Chia-Sheng, 2017. "Informed trading in S&P index options? Evidence from the 2008 financial crisis," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 40-65.
    11. Kryzanowski, Lawrence & Perrakis, Stylianos & Zhong, Rui, 2017. "Price discovery in equity and CDS markets," Journal of Financial Markets, Elsevier, vol. 35(C), pages 21-46.
    12. Piccotti, Louis R. & Schreiber, Ben Z., 2015. "Information shares of two parallel currency options markets: Trading costs versus transparency/tradability," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 210-229.
    13. Huh, Sahn-Wook & Lin, Hao & Mello, Antonio S., 2015. "Options market makers׳ hedging and informed trading: Theory and evidence," Journal of Financial Markets, Elsevier, vol. 23(C), pages 26-58.
    14. Santos, Francisco Luna & Garcia, Márcio Gomes Pinto & Medeiros, Marcelo Cunha, 2015. "Price Discovery in Brazilian FX Markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(1), October.
    15. Broussard, John Paul & Nikiforov, Andrei, 2014. "Intraday periodicity in algorithmic trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 196-204.
    16. Webb, Robert I. & Ryu, Doojin & Ryu, Doowon & Han, Joongho, 2016. "The price impact of futures trades and their intraday seasonality," Emerging Markets Review, Elsevier, vol. 26(C), pages 80-98.
    17. Lyudmila A. Glik & Oleg L. Kritski, 2014. "Detecting informed activities in European-style option tradings," Papers 1403.3294, arXiv.org.
    18. Lyudmila A. Glik & Oleg L. Kritski, 2014. "Finding informed traders in futures and their inderlying assets in intraday trading," Papers 1402.6583, arXiv.org.
    19. R. Jared DeLisle & Bong Soo Lee & Nathan Mauck, 2016. "The dynamic relation between options trading, short selling, and aggregate stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 645-671, October.
    20. Lin, Tse-Chun & Lu, Xiaolong, 2015. "Why do options prices predict stock returns? Evidence from analyst tipping," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 17-28.
    21. Chen, Wei-Peng & Chung, Huimin & Lien, Donald, 2016. "Price discovery in the S&P 500 index derivatives markets," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 438-452.
    22. Hu, Jianfeng, 2014. "Does option trading convey stock price information?," Journal of Financial Economics, Elsevier, vol. 111(3), pages 625-645.

  3. Broussard, John Paul & Vaihekoski, Mika, 2012. "Profitability of pairs trading strategy in an illiquid market with multiple share classes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1188-1201.

    Cited by:

    1. Fabio Pizzutilo, 2013. "A Note on the Effectiveness of Pairs Trading For Individual Investors," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 763-771.
    2. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Searching for Inefficiencies in Exchange Rate Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 405-432, March.
    3. Nyberg, Peter & Vaihekoski, Mika, 2014. "Descriptive analysis of the Finnish stock market : Part II," Research Discussion Papers 10/2014, Bank of Finland.
    4. Bruno Breyer Caldas & João Frois Caldeira & Guilherme Vale Moura, 2016. "Is Pairs Trading Performance Sensitive To The Methodologies?: A Comparison," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 130, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    5. R. Todd Smith & Xun Xu, 2017. "A good pair: alternative pairs-trading strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 1-26, February.
    6. Sharjil Muktafi Haque & A. K. Enamul Haque, 2014. "Pairs Trading Strategy in Dhaka Stock Exchange: Implementation and Profitability Analysis," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(8), pages 1091-1105, August.
    7. Brett C. Olsen & Sanjay R. Sisodiya & Judith Swisher & Neil Fargher, 2016. "A note on assessing the relation between CEO characteristics and stock performance: Alpha Above Replacement," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 787-802, September.
    8. Laila Taskeen Qazi & Atta Ur Rahman & Saleem Gul, 2015. "Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(3), pages 215-244.
    9. Krauss, Christopher, 2015. "Statistical arbitrage pairs trading strategies: Review and outlook," FAU Discussion Papers in Economics 09/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    10. João Frois Caldeira & Gulherme Valle Moura, 2013. "Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 49-80.
    11. Lei, Yaoting & Xu, Jing, 2015. "Costly arbitrage through pairs trading," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 1-19.
    12. Jia Miao & Jason Laws, 2016. "Profitability Of A Simple Pairs Trading Strategy: Recent Evidences From A Global Context," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-18, June.

  4. John Paul Broussard & Sheree A. Buchenroth & Eugene A. Pilotte, 2004. "CEO Incentives, Cash Flow, and Investment," Financial Management, Financial Management Association, vol. 33(2), Summer.

    Cited by:

    1. Firth, Michael & Malatesta, Paul H. & Xin, Qingquan & Xu, Liping, 2012. "Corporate investment, government control, and financing channels: Evidence from China's Listed Companies," Journal of Corporate Finance, Elsevier, vol. 18(3), pages 433-450.
    2. Ranjan D’Mello & Xinghua Gao & Yonghong Jia, 2017. "Internal control and internal capital allocation: evidence from internal capital markets of multi-segment firms," Review of Accounting Studies, Springer, vol. 22(1), pages 251-287, March.
    3. Imen Derouiche & Majdi Hassan & Sarra Amdouni, 2018. "Ownership structure and investment-cash flow sensitivity," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 22(1), pages 31-54, March.
    4. Beatriz Mariano & Josep Tribó Giné, 2015. "Creditor Intervention, Investment, and Growth Opportunities," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(2), pages 203-228, April.
    5. Riachi, Ilham & Schwienbacher, Armin, 2015. "Investment, firm performance and securitization: Evidence from industrial companies," Finance Research Letters, Elsevier, vol. 13(C), pages 17-28.
    6. Fu, Richard & Wedge, Lei, 2011. "Managerial ownership and the disposition effect," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2407-2417, September.

  5. Broussard, John Paul, 2001. "Extreme-value and margin setting with and without price limits," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 365-385.

    Cited by:

    1. Shanker, Latha & Balakrishnan, Narayanaswamy, 2005. "Optimal clearing margin, capital and price limits for futures clearinghouses," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1611-1630, July.
    2. Cotter, JOhn & Dowd, Kevin, 2006. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," MPRA Paper 3505, University Library of Munich, Germany.
    3. john cotter & kevin dowd, 2011. "Estimating financial risk measures for futures positions: a non-parametric approach," Papers 1103.5666, arXiv.org.
    4. Russell Barker & Andrew Dickinson & Alex Lipton & Rajeev Virmani, 2016. "Systemic Risks in CCP Networks," Papers 1604.00254, arXiv.org.
    5. Brooks, C. & Clare, A.D. & Dalle Molle, J.W. & Persand, G., 2005. "A comparison of extreme value theory approaches for determining value at risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 339-352, March.
    6. Chen-Yu Chen & Jian-Hsin Chou & Hung-Gay Fung & Yiuman Tse, 2017. "Setting the futures margin with price limits: the case for single-stock futures," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 219-237, January.
    7. John Cotter, 2006. "Extreme Value Estimation of Boom and Crash Statistics," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 553-566.
    8. Raymond Knott & Marco Polenghi, 2006. "Assessing central counterparty margin coverage on futures contracts using GARCH models," Bank of England working papers 287, Bank of England.

  6. Broussard, John Paul & Booth, G. Geoffrey, 1998. "The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting," European Journal of Operational Research, Elsevier, vol. 104(3), pages 393-402, February.

    Cited by:

    1. Chen-Yu Chen & Jian-Hsin Chou & Hung-Gay Fung & Yiuman Tse, 2017. "Setting the futures margin with price limits: the case for single-stock futures," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 219-237, January.
    2. Basu, Sanjay, 2011. "Comparing simulation models for market risk stress testing," European Journal of Operational Research, Elsevier, vol. 213(1), pages 329-339, August.
    3. Liu, Qingfu & Tse, Yiuman, 2017. "Overnight returns of stock indexes: Evidence from ETFs and futures," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 440-451.

  7. G. Booth & John Broussard, 1998. "Setting NYSE Circuit Breaker Triggers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 187-204, June.

    Cited by:

    1. John W. Galbraith, 2004. "Circuit Breakers and the Tail Index of Equity Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 109-129.
    2. Gong-meng Chen & Oliver Rui & Steven Wang, 2005. "The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 159-182, September.
    3. Broussard, John Paul, 2001. "Extreme-value and margin setting with and without price limits," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 365-385.
    4. Lam, Kin & Yu, P.L.H. & Lee, P.H., 2010. "A margin scheme that advises on when to change required margin," European Journal of Operational Research, Elsevier, vol. 207(1), pages 524-530, November.

  8. G. Geoffrey Booth & John Paul Broussard & Teppo Martikainen & Vesa Puttonen, 1997. "Prudent Margin Levels in the Finnish Stock Index Futures Market," Management Science, INFORMS, vol. 43(8), pages 1177-1188, August.

    Cited by:

    1. Kevin Dowd & John Cotter, 2011. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," Working Papers 200742, Geary Institute, University College Dublin.
    2. Cotter, John, 2001. "Margin exceedences for European stock index futures using extreme value theory," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1475-1502, August.
    3. Pin-Huang Chou & Mei-Chen Lin & Min-Teh Yu, 2006. "Margins and Price Limits in Taiwan's Stock Index Futures Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(1), pages 62-88, February.
    4. G. Booth & John Broussard, 1998. "Setting NYSE Circuit Breaker Triggers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 187-204, June.
    5. Cotter, JOhn & Dowd, Kevin, 2006. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," MPRA Paper 3505, University Library of Munich, Germany.
    6. Cotter, John & Longin, Francois, 2004. "Margin setting with high-frequency data," MPRA Paper 3528, University Library of Munich, Germany, revised 2006.
    7. Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2012. "The Risk Map: A New Tool for Validating Risk Models," Working Papers halshs-00746273, HAL.
    8. Shi, Wei & Irwin, Scott H., 2006. "What Happens when Peter can't Pay Paul: Risk Management at Futures Exchange Clearinghouses," 2006 Annual meeting, July 23-26, Long Beach, CA 21087, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    9. Jorge Cruz Lopez & Jeffrey Harris & Christophe Hurlin & Christophe Pérignon, 2015. "CoMargin," Working Papers halshs-00979440, HAL.
    10. Kuan, Chung-Ming & Yeh, Jin-Huei & Hsu, Yu-Chin, 2009. "Assessing value at risk with CARE, the Conditional Autoregressive Expectile models," Journal of Econometrics, Elsevier, vol. 150(2), pages 261-270, June.
    11. Robert A. Jones & Christophe Pérignon, 2013. "Derivatives Clearing, Default Risk, and Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 373-400, June.
    12. Chen-Yu Chen & Jian-Hsin Chou & Hung-Gay Fung & Yiuman Tse, 2017. "Setting the futures margin with price limits: the case for single-stock futures," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 219-237, January.
    13. Broussard, John Paul, 2001. "Extreme-value and margin setting with and without price limits," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 365-385.
    14. Lam, Kin & Yu, P.L.H. & Lee, P.H., 2010. "A margin scheme that advises on when to change required margin," European Journal of Operational Research, Elsevier, vol. 207(1), pages 524-530, November.
    15. Gong Xue & Songsak Sriboonchitta, 2013. "The optimal margin setting: The application of bivariate EVT method," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 2(3), pages 56-74, September.
    16. Raymond Knott & Marco Polenghi, 2006. "Assessing central counterparty margin coverage on futures contracts using GARCH models," Bank of England working papers 287, Bank of England.
    17. Chiu, Chien-Liang & Chiang, Shu-Mei & Hung, Jui-Cheng & Chen, Yu-Lung, 2006. "Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 353-374.
    18. Nikkinen, Jussi, 2003. "Impact of foreign ownership restrictions on stock return distributions: evidence from an option market," Journal of Multinational Financial Management, Elsevier, vol. 13(2), pages 141-159, April.

  9. G. Geoffrey Booth & John Broussard & Otto Loistl, 1997. "Earnings and stock returns: evidence from Germany," European Accounting Review, Taylor & Francis Journals, vol. 6(4), pages 589-603.

    Cited by:

    1. G. Geoffrey Booth & J. Broussard & Otto Loistl, 1999. "Reply to 'Note on "Earnings and stock returns: evidence from Germany" '," European Accounting Review, Taylor & Francis Journals, vol. 8(3), pages 565-568.
    2. Pascal Dumontier & Bernard Raffournier, 2002. "Accounting and capital markets: a survey of the European evidence," European Accounting Review, Taylor & Francis Journals, vol. 11(1), pages 119-151.
    3. Dimitrios Kousenidis & Christos Negakis & Iordanis Floropoulos, 2000. "Size and book-to-market factors in the relationship between average stock returns and average book returns: some evidence from an emerging market," European Accounting Review, Taylor & Francis Journals, vol. 9(2), pages 225-243.
    4. Irena Jindrichovska, 2001. "The relationship between accounting numbers and returns: some empirical evidence from the emerging market of the Czech Republic," European Accounting Review, Taylor & Francis Journals, vol. 10(1), pages 107-131.

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