Tarun Chordia

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  • R. Howard Dobbs Professor of Finance
  • Phone: (404) 727-1620
  • Fax: (404) 727-5238

Mailing Address:

Goizueta Business School
Emory University
1300 Clifton Road NE
Atlanta, GA 30322

Biography

Tarun Chordia joined the Goizueta Business School in the fall of 2000. Tarun's research is grounded in both theory and empirical methods and spans a diverse area of financial economics. His teaching interests include securities and portfolios, financial institutions and fixed income markets. Prior to his doctoral studies, he worked for Citibank as a relationship and credit manager in the Financial Institutions Group.

Publications

  • Brennan, Michael and Tarun Chordia, 1993, Brokerage Commission Schedules, Journal of Finance 48, 1379 - 1402.
  • Chordia, Tarun and Avanidhar Subrahmanyam, 1995, Market Making, The Tick Size and Payment-for-Order-Flow: Theory and Evidence, Journal of Business 68, 543 - 576.
  • Chordia, Tarun, 1996, The Structure of Mutual Fund Charges, Journal of Financial Economics 41, lead article.
  • Brennan, Michael, Tarun Chordia and Avanidhar Subrahmanyam, 1998, Alternative Factor Specifications, Security Characteristics and the Cross-section of Expected Returns, Journal of Financial Economics 49, 345-374.
  • Chordia, Tarun and Bhaskaran Swaminathan, 2000, Trading Volume and Cross-Autocorrelations in Stock Returns, Journal of Finance 55, 913-936.
  • Chordia, Tarun, Richard Roll and Avanidhar Subrahmanyam, 2000, Commonality in Liquidity, Journal of Financial Economics 56, lead article.
  • Chordia, Tarun, Avanidhar Subrahmanyam, and Ravi Anshuman, 2001, Trading Activity and Expected Stock Returns, Journal of Financial Economics 59, lead article.
  • Chordia, Tarun, Richard Roll and Avanidhar Subrahmanyam, 2001, Market Liquidity and Trading Activity, Journal of Finance 56, 501-530.
  • Ball, Cliff and Tarun Chordia, 2001, True Spreads and Equilibrium Prices, Journal of Finance 56, 1801-1836.
  • Chordia Tarun and Lakshmanan Shivakumar, 2002, Momentum, Business Cycle and Time-Varying Expected Returns, Journal of Finance 57, 985-1019.
  • Chordia Tarun, Richard Roll and Avanidhar Subrahmanyam, 2002, Order Imbalance, Liquidity and Market Returns, Journal of Financial Economics 65, 111-130.
  • Chordia, Tarun and Avanidhar Subrahmanyam, 2004, Order Imbalance and Individual Stock Returns: Theory and Evidence, Journal of Financial Economics 72, 485-518.
  • Chordia, Tarun, Asani Sarkar and Avanidhar Subrahmanyam, 2005, An Empirical Analysis of Stock and Bond Market Liquidity, Review of Financial Studies 18, 85-130.
  • Chordia Tarun, Richard Roll and Avanidhar Subrahmanyam, 2005, Evidence on the Speed of Convergence to Market Efficiency, Journal of Financial Economics 76, 271-292.
  • Chordia Tarun and Lakshmanan Shivakumar, 2005, Inflation Illusion and Post-Earnings-Announcement Drift, Journal of Accounting Research 43, 521-556.
  • Avramov, Doron and Tarun Chordia, 2006, Asset Pricing Models and Financial Market Anomalies, Review of Financial Studies 19, 1001-1040.
  • Avramov, Doron, Tarun Chordia and Amit Goyal, 2006, The Impact of Trades on Daily Volatility, Review of Financial Studies 19, 1241-1278.
  • Chordia Tarun and Lakshmanan Shivakumar, 2006, Earnings and Price Momentum, Journal of Financial Economics 80, 627-656.
  • Avramov, Doron, Tarun Chordia and Amit Goyal, 2006, Liquidity and Autocorrelations in Individual Stock Returns, Journal of Finance 61, 2365-2394.
  • Avramov, Doron and Tarun Chordia, 2006, Stock Return Predictability, Journal of Financial Economics 82, 387-415.
  • Chordia Tarun, Sahn-Wook Huh and Avanidhar Subrahmanyam, 2007, The Cross-Section of Expected Trading Activity, Review of Financial Studies 20, 709-741.
  • Avramov, Doron, Tarun Chordia, Gergana Jostova and Alexander Philipov, 2007, Momentum and Credit Rating, Journal of Finance 62, 2503-2520.
  • Chordia Tarun, Richard Roll and Avanidhar Subrahmanyam, 2008, Liquidity and Market Efficiency, Journal of Financial Economics 87, lead article.
  • Avramov, Doron, Tarun Chordia, Gergana Jostova and Alexander Philipov, 2009, Dispersion in Analysts' Earnings Forecasts and Credit Rating, Journal of Financial Economics 91, 83-101.
  • Chordia, Tarun, Huh Sahn-Wook and Avanidhar Subrahmanyam, 2009, Theory-Based Illiquidity and Asset Pricing, Review of Financial Studies 22, 3629-3668.
  • Avramov, Doron, Tarun Chordia, Gergana Jostova and Alexander Philipov, 2009, Credit Ratings and the Cross-Section of Stock Returns, Journal of Financial Markets 12, 469-499.
  • Chordia, Tarun, Asani Sarkar and Avanidhar Subrahmanyam, Liquidity Dynamics and Cross-Autocorrelations, forthcoming, Journal of Financial and Quantitative Analysis.
  • Chordia, Tarun, Richard Roll and Avanidhar Subrahmanyam, Recent Trends in Trading Activity and Market Quality, forthcoming, Journal of Financial Economics.

Working Papers

  • Brennan, Michael, Tarun Chordia, Avanidhar Subrahmanyam and Qing Tong, Sell-side Liquidity and the Cross-Section of Expected Stock Returns.

Areas of Specialization

  • Asset Pricing
  • Liquidity
  • Market Micro-Structure
  • Financial Institutions

Achievements and Honors

  • Second prize, Chicago Quantitative Alliance, IBES competition, 1996
  • Second prize, Fama-DFA prize for best paper published in the Journal of Financial Economics in areas of Capital Markets and Asset Pricing, 1998
  • Winner, Fama-DFA prize for best paper published in the Journal of Financial Economics in areas of Capital Markets and Asset Pricing, 2000
  • Roger F. Murray prize 2001, The Institute for Quantitative Research in Finance, for the paper - Market Liquidity, Trading Activity and Order Imbalance
  • Caldwell Award for excellence in research, Goizueta Business School, Emory University
  • Third Prize, Chicago Quantitative Alliance Academic Competition, 2003
  • Second prize, Chicago Quantitative Alliance Academic Competition, 2005
  • Jordan Researcher Award for excellence in research, Goizueta Business School, Emory University, 2005
  • Best Paper Award, Market Microstructure Track, Financial Management Association, 2005
  • NYSE best paper award, Microstructure of International Financial Markets, Indian School of Business - Liquidity and Market Efficiency, 2006
  • Financial Management Association, Asian conference best paper award, Anomalies and Financial Distress, 2010

Memberships and Activities

  • Program committee for the AFA, EFA, FMA and the WFA meetings and referee for numerous journals

Selected Consulting Clients

  • New York Stock Exchange
  • Bird and Loechl

Education

  • Ph.D., University of California - Los Angeles, Los Angeles, CA 1993
  • Master's, Tulane University, New Orleans, LA 1987
  • Master's Chemical Engineering, Tulane University, New Orleans, LA 1985
  • Bachelor's Chemical Engineering, Indian Institute of Technology, Delhi, India 1984