Andrew Ellul

Andrew Ellul is Professor of Finance and Fred T. Greene Chair in Finance at Indiana University''s Kelley School of Business. He

Areas of Expertise

Corporate Finance, Institutional Investors, Ownership Structures and Governance, Family Firms, Market Microstructure

Academic Degrees

• PhD, London School of Economics and Political Science

Selected Publications

• Ellul, Andrew, and Vijay Yerramilli (2013), "Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies," Journal of Finance, 68(5) October, 1757-1803.
• Ellul, Andrew, Craig W. Holden, Pankaj Jain, and Robert Jennings (2007), “Order Dynamics: Recent Evidence from the NYSE,” Journal of Empirical Finance, Vol. 14, pp. 636-661.

Abstract We examine investor order choices using evidence from a recent period when the NYSE trades in decimals and allows automatic executions. We analyze the decision to submit or cancel an order or to take no action. For submitted orders, we distinguish order type (market vs. limit), order side (buy vs. sell), execution method (auction vs. automatic), and pricing aggressiveness. We find that the NYSE exhibits positive serial correlation in order type on an order-by-order basis, which suggests that follow-on order strategies dominate adverse selection or liquidity considerations at a moment in time. Aggregated levels of order flow also exhibit positive serial correlation in order type, but appear to be non-stationary processes. Overall, changes in aggregated order flow have an order-type serial correlation that is close to zero at short aggregation intervals, but becomes increasingly negative at longer intervals. This implies a liquidity exhaustion–replenishment cycle. We find that small orders routed to the NYSE''s floor auction process are sensitive to the quoted spread, but that small orders routed to the automatic execution system are not. Thus, in addition to foregoing price improvement, traders selecting the speed of automatic executions on the NYSE do so with little regard for the quoted cost of immediacy. As quoted depth increases, traders respond by competing on price via limit orders that undercut existing bid and ask prices. Limit orders are more likely and market sells are less likely late in the trading day. These results are helpful in understanding the order arrival process at the NYSE and have potential applications in academics and industry for optimizing order submission strategies.

• Battalio, Robert, Andrew Ellul, and Robert Jennings (2007), "Reputation Effects in Trading on the New York Stock Exchange," Journal of Finance, Vol. 62, No. 3, pp. 1243-1271.
• Ellul, Andrew (2006), “Ripples Through Markets: Inter-market Impacts Generated by Large Trades,” Journal of Financial Economics, Vol. 82, No. 1, pp. 173-196.
• Ellul, Andrew and Marco Pagano (2006), “IPO Underpricing and After-market Liquidity,” Review of Financial Studies, Vol. 19, No. 2, pp. 381-421.
• Ellul, Andrew, Hyun Shin, and Ian Tonks (2005), “Opening and Closing the Market: Evidence From the London Stock Exchange,” Journal of Financial and Quantitative Analysis, Vol. 40, No. 4, pp. 779-801.