AProf Ingrid Lo

Associate Professor School of Economics and Finance

Courses

Teaching in 2017

AProf Ingrid Lo profile picture

Qualifications

BA The Chinese University of Hong Kong
MA PhD University of Western Ontario

Research interests

Market Microstructure, Financial Econometrics, Empirical Asset Pricing

Publications

  • 'Private information flow and price discovery in the U.S. Treasury Market' (with George Jiang), Journal of Banking and Finance, 47 (2014), pp. 118–133.
  • 'Information shocks, liquidity shocks, jumps, and price discovery – evidence from the U.S. Treasury Market' (with George Jiang and Adrien Verdelhan), Journal of Financial and Quantitative Analysis, 46, 2 (2011), pp. 527–551.
  • 'Order aggressiveness and quantity: How are they determined in a limit order market?' (with Stephen Sapp), Journal of International Financial Markets, Institutions and Money, 20, 3 (2010), pp. 213-237.
  • 'Order submission: The choice between limit and market orders' ( with Stephen Sapp), Journal of International Money and Finance, 27 (2008), pp. 1056–1073.
  • 'Portfolio formations can affect asset pricing tests', Journal of Asset Management, 5 (2004), pp. 203–216.

Book chapters

  • 'Pretrade and posttrade transparency' (with Stephen Sapp), Market Microstructure in Emerging and Developed Markets, edited by K. Baker (2013), pp. 345–364.
  • 'Misspecification in the linear pricing model', Linear Factor Models in Finance, edited by John Knight and Stephen Satchell, Butterworth-Heinemann (2005), pp. 30–60.
  • 'Implications of the method of portfolio formation on empirical asset pricing tests', Linear Factor Models in Finance, edited by John Knight and Stephen Satchell, Butterworth-Heinemann (2005), pp. 95–149.