Premal P. Vora
About Teaching Advising Research Other
My Research Interests
I am engaged in two projects on the microstructure of financial markets in the U.S. In the first, I provide evidence on demand-side drivers of commonality in liquidity in the stock market. In the second, I examine the price impact of information dissemination in the market under different microstructure regimes.
I'm also currently writing a paper on the difference between knowledge based on summaries of data versus knowledge based on classical statistical techniques such as regression. The target audience for this paper is business professionals who use data for making decisions.
I occasionally write short papers that are presented at conferences related to the use of software. These short papers are practical pieces containing computer code that demonstrates a novel or better approach to solving a computing problem.
My Recent Papers
"Easy Rolling Statistics with PROC EXPAND" was presented at the 2008 SAS Global Forum in San Antonio, TX and at the NESUG 2007 in Baltimore, MD. This paper merely hints at the power of PROC EXPAND -- a phenomenally powerful SAS procedure. [MS Word document]
"The Liquidity of the Two Share Classes of Dual-Class Firms: Implications for Asset Pricing and Microstructure" was presented at a number of academic conferences. Demonstrates that the microstructure characteristics of the two classes of share of a dual-class firm is very different and that microstructure can also affect prices. [MS Word document]