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Andrew Ellul is Professor of Finance and Fred T. Greene Chair in Finance at Indiana University's Kelley School of Business. He joined Indiana University after completing his Ph.D. at the London School of Economics and Political Science. His research interests focus on institutional investors’ trading and risk management, empirical corporate finance, labor and finance and market microstructure. He is an Editor of the Review of Finance, the journal of the European Finance Association, a Research Associate of Centre for Economic Policy Research, Center for Studies of Economics and Finance, European Corporate Governance Institute, Systemic Risk Centre and Financial Markets Group and serves on the organization committees of the leading finance conferences. His research has been accepted for publication by the leading finance and economics journals, including the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, and the American Economic Review, and presented at the top finance conferences in the US and internationally. Andrew has received awards for both teaching and research, specifically the Morgan Stanley Equity Market Microstructure Award, the European Finance Association’s Best Paper Award, the Best Paper Award at the Financial Management Association’s Annual Meeting, and the Europlace Institute of Finance Award. Andrew is also a member of the European Central Bank’s Task Force for the implementation of IFRS 9 by European banks. He teaches courses in corporate finance and investment analysis at the undergraduate, graduate (MBA) and PhD levels and has won several teaching awards.
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, A., Pagano, M., and Scognamiglio, A. (2020). Career Risk and Market Discipline in Asset Management. The Review of Financial Studies, 33(2), 783-828.
Ellul, A., and Pagano, M. (2019). Corporate leverage and employees’ rights in bankruptcy. Journal of Financial Economics, 133(3), 685-707.
Ellul, A., and Panayides, M. (2018). Do Financial Analysts Restrain Insiders’ Informational Advantage?. Journal of Financial and Quantitative Analysis, 53(1), 203-241.
Ellul, A., Pagano, M., and Schivardi, F. (2018). Employment and Wage Insurance within Firms. The Review of Financial Studies, 31(4), 1298–1340.
Ellul, A., Jappelli, T., Pagano, M., and Panunzi, F. (2016). Transparency, Tax Pressure, and Access to Finance. Review of Finance, 20(1), 37-76.
Ellul, A., Jotikasthira, C., Lundblad, C., and Wang, Y. (2015). Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading. Journal of Finance, 70(6), 2489-2538.
Ellul, A., Jotikasthira, C. L., and Wang, Y. (2014). Mark-to-Market Accounting and Systemic Risk in the Financial Sector. Economic Policy, 29(78), 299-341.
Ellul, A., and Yerramilli, V. (2013). Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies. Journal of Finance, 68(5), 1757-1803.
Ellul, A., Holden, C. W., Jain, P., and Jennings, R. (2007). Order Dynamics: Recent Evidence from the NYSE. Journal of Empirical Finance, 14(5), 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, R., Ellul, A., and Jennings, R. (2007). Reputation Effects in Trading on the New York Stock Exchange. Journal of Finance, 62(3), 1243-1271.
Ellul, A. (2006). Ripples Through Markets: Inter-market Impacts Generated by Large Trades. Journal of Financial Economics, 82(1), 173-196.
Ellul, A., and Pagano, M. (2006). IPO Underpricing and After-market Liquidity. Review of Financial Studies, 19(2), 381-421.
Ellul, A., Shin, H., and Tonks, I. (2005). Opening and Closing the Market: Evidence From the London Stock Exchange. Journal of Financial and Quantitative Analysis, 40(4), 779-801.
