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Mahendrarajah Nimalendran

John H. and Mary Lou Dasburg Chair
Full Professor

University of Florida
Warrington College of Business
Finance, Insurance and Real Estate Department
Stuzin Hall 303C
PO Box 117168
Gainesville, FL 32611

(352) 392-9526
Email | Homepage

Education

  • PhD - Business Administration (Finance), University of Michigan, 1990
  • MBA - University of Michigan, 1986
  • MSME - Mechanical Engineering, University of Hawaii, 1978
  • BSc - University of Sri Lanka, 1973

Research Areas

  • Asset pricing models
  • Econometrics
  • market microstructure
  • Information Economics
  • Investments
  • Empirical Methods in Finance

Errors in variables problems in finance
Published Year: 1996
Authors: G. Maddala, G. Maddala, C. Rao, Mahendrarajah Nimalendran

Sources of stock return volatility
Published Year: 1997
Authors: M. Zhu, Mahendrarajah Nimalendran


Market evidence on the opaqueness of financial firms' assets
Published Year: 1997
Authors: M. Flannery, S. Kwan, Mahendrarajah Nimalendran

CVaR-LASSO Enhanced Index Replication (CLEIR): Outperforming by Minimizing Downside Risk
Journal: Applied Economics
Accepted Year: 2019
Authors: Unknown


Informational Linkages Between Dark and Lit Trading Venues
Journal: Journal of Financial Markets
Published Year: 2014
Authors: Ray Sugata, Mahendrarajah Nimalendran


The 2007-09 Financial Crisis and Bank Opaqueness
Journal: Journal of Financial Intermediation
Published Year: 2013
Authors: Mark Flannery, S. Kwan, Mahendrarajah Nimalendran


Margins and Hedge Fund Contagion
Journal: Journal of Financial and Quantitative Analysis
Published Year: 2011
Authors: E. Dudley, Mahendrarajah Nimalendran


Are Institutional Investors Really Prudent Investors? The Effect of Fiduciary Standards on Institutional Holdings of (Non-) Dividend-Paying Stocks
Journal: Financial Management
Published Year: 2008
Authors: K. Hankins, M. Flannery, Mahendrarajah Nimalendran


Do Today's Trades Affect Tomorrow's IPO Allocations?
Journal: Journal of Financial Economics
Published Year: 2007
Authors: J. Ritter, D. Zhang, Mahendrarajah Nimalendran


Market Evidence on the Opaqueness of Financial Firms' Assets
Journal: Journal of Financial Economics
Published Year: 2004
Authors: M. Flannery, S. Kwan, Mahendrarajah Nimalendran


Do Thinly-Traded Stocks Benefit from Specialist Intervention
Journal: Journal of Banking & Finance
Published Year: 2003
Authors: Giovanni Petrella, Mahendrarajah Nimalendran


Market Structure and Trader Anonymity: An Analysis of Insider Trading
Journal: Journal of Financial and Quantitative Analysis
Published Year: 2003
Authors: J. Garfinkel, Mahendrarajah Nimalendran


Time Variation of Ex-Dividend Day Stock Returns and Corporate Dividend Capture
Journal: Journal of Finance
Published Year: 2000
Authors: A. Naranjo, M. Ryngaert, Mahendrarajah Nimalendran


Time Variation of Ex-Dividend Day Stock Returns and Corporate Dividend Capture: A Reexamination
Journal: The Journal of Finance
Published Year: 2000
Authors: Andy Naranjo, Mahendrarajah Nimalendran, Mike Ryngaert


Estimating Returns on Commercial Real Estate: A New Methodology Using Latent Variable Models
Journal: Real Estate Economics
Published Year: 2000
Authors: D. Ling, A. Naranjo, Mahendrarajah Nimalendran


The Impact of Government Intervention on Transactions Costs in Foreign Exchange Markets
Journal: Review of Financial Studies, The
Published Year: 2000
Authors: A. Naranjo, Mahendrarajah Nimalendran


Estimating Returns on Commercial Real Estate: A New Methodology Using Latent-Variable Models
Journal: Real Estate Economics
Published Year: 2000
Authors: David Ling, Andy Naranjo, Mahendrarajah Nimalendran


Government Intervention and Adverse Selection Costs in Foreign Exchange Markets
Journal: Review of Financial Studies
Published Year: 2000
Authors: Andy Naranjo, Mahendrarajah Nimalendran


Stock Returns, Dividend Yields, and Taxes
Journal: Journal of Finance
Published Year: 1998
Authors: A. Naranjo, M. Ryngaert, Mahendrarajah Nimalendran


Stock Returns, Dividend Yields, and Taxes
Journal: The Journal of Finance
Published Year: 1998
Authors: Andy Naranjo, Mahendrarajah Nimalendran, Mike Ryngaert


Changes in Trading Activity Following Stock Splits and Their Effect on Volatility and the Adverse Information Component of the Bid-Ask Spread
Journal: Journal of Financial Research, The
Published Year: 1998
Authors: A. Desai, S. Venkataraman, Mahendrarajah Nimalendran


An Unobserved Component Panel Data Model to Study the Effects of Earnings Surprises on Stock Prices, Volume of Trading and Bid-Ask Spreads
Journal: Journal of Econometrics
Published Year: 1995
Authors: G. Maddala, Mahendrarajah Nimalendran


Estimating the Effects of Information Surprises and Trading on Stock Returns Using a Mixed Jump Diffusion Model
Journal: Review of Financial Studies, The
Published Year: 1994
Authors: Mahendrarajah Nimalendran


Trading Volume and Transactions Costs in Specialist Markets
Journal: Journal of Finance
Published Year: 1994
Authors: T. George, G. Kaul, Mahendrarajah Nimalendran


Estimation of the Bid-Ask Spread and its Components: A New Approach,
Journal: Review of Financial Studies, The
Published Year: 1991
Authors: G. Kaul, Mahendrarajah Nimalendran


Components of Short Horizon Individual Security Returns
Journal: Journal of Financial Economics
Published Year: 1991
Authors: J. Conrad, G. Kaul, Mahendrarajah Nimalendran


Price Reversals: Bid-Ask Errors or Market Overreaction?
Journal: Journal of Financial Economics
Published Year: 1991
Authors: G. Kaul, Mahendrarajah Nimalendran