Knowledge & Expertise

Faculty and Instructors

Wisconsin School of Business

Kenneth Kavajecz

Professor - Finance
Wisconsin Alumni Chair of Investments

Kenneth A. Kavajecz is Wisconsin Alumni Chair of Investments in the Department of Finance, Investment and Banking at the Wisconsin School of Business.

His research focuses on the structure of financial markets with an emphasis on liquidity provision, market microstructure, and investments. His research has appeared in the Journal of Finance, Journal of Financial Economics, and the Review of Financial Studies. He has served as a member of the Economic Advisory Board for the National Association of Securities Dealers.

His academic awards include the 2000 Financial Management Association best micro-structure paper for “Liquidity Provision during Circuit Breakers and Extreme Market Movements” and a nomination for the Smith Breeden Prize for the Best Paper in the Journal of Finance in 2005. He has been awarded numerous MBA teaching awards at the Wharton School and the Wisconsin School of Business, as well as the David W. Hauck Award for Outstanding Teaching in the undergraduate division at the Wharton School in 1998 and the Doctoral Teaching Award at Northwestern University in 1996.

Kavajecz holds a bachelor’s degree in economics from the University of Wisconsin-Madison and a M.S. and Ph.D. in finance from the Kellogg School of Management at Northwestern University.
 

Selected Published Journal Articles

Beber, A., Brandt, M., & Kavajecz, K. (2011). What Can Equity Sector Orderflow tell us about the Economy?. Review of Financial Studies (24), 3688-3730.
Beber, A., Brandt, M., & Kavajecz, K. (2009). Flight-to-Quality or a Flight-to-Liquidity? Evidence from the Euro-Area Bond Market. Review of Financial Studies (22), 925-957.
Brandt, M., Kavajecz, K., & Underwood, S. (2007). Price Discovery in the Treasury Futures Market. Journal of Futures Markets (27), 1-32.
Clayton, M., Jorgensen, B., & Kavajecz, K. (2006). On the Presence and Market-Structure of Exchanges around the World. Journal of Financial Markets (9), 27-48.
Caglio, C., & Kavajecz, K. (2006). A Specialist's Quoted Depth as a Strategic Choice Variable: An Application to Spread Decomposition Models. Journal of Financial Research (29), 383-398.
Kavajecz, K., & Keim, D. (2005). Packaging Liquidity: Blind Auctions and Transaction Efficiencies. Journal of Financial and Quantitative Analysis (40), 465-492.
Goldstein, M., & Kavajecz, K. (2004). Trading Strategies during Circuit Breakers and Extreme Market Movements. Journal of Financial Markets (7), 301-333.
Kavajecz, K., & Odders-White, E. (2004). Technical Analysis and Liquidity Provision,. Review of Financial Studies (17), 1043-1071.
Brandt, M., & Kavajecz, K. (2004). Price Discovery in the U.S. Treasury Market: The Impact of Order Flow and Liquidity on the Yield Curve. Journal of Finance (59), 2623-2654.
Kavajecz, K., & Odders-White, E. (2001). Volatility and Market Structure. Journal of Financial Markets (4), 359-384.
Kavajecz, K., & Odders-White, E. (2001). An Examination of Changes in Specialists' Posted Price Schedules. Review of Financial Studies (14), 681-704.
Goldstein, M., & Kavajecz, K. (2000). Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE. Journal of Finance Economics (56), 125-149.
Kavajecz, K. (1999). A Specialist's Quoted Depth and the Limit Order Book. Journal of Finance (54), 747-771.
Kavajecz, K., & Collins, S. (1995). Rationality of the Preliminary Money Stock Estimates. Review of Economics and Statistics (February), 32-41.
Anderson, R., & Kavajecz, K. (1994). A Historical Perspective on the Federal Reserve's Monetary Aggregates: Definition, Construction, and Targeting. Federal Reserve Bank of St. Louis Review (March/April), 1-66.

Submitted Working Papers

Jorgensen, B., Kavajecz, K., & Swisher, S. (2011). The Historical Evolution of Financial Exchanges. Working Paper
Brandt, M., Kavajecz, K., & Underwood, S. Functions of the Repurchase Agreement Markets. Working Paper

Graduate Courses

Ethics, Integrity and Society
Course DescriptionThis class is designed to prepare students for dealing with ethical challenges in the world outside academia. Focus is on the role of personal values in all types of decision making, from personal to professional.
(BUS 710 Section 1), Spring 2011.

Ethics, Integrity and Society
Course DescriptionThis class is designed to prepare students for dealing with ethical challenges in the world outside academia. Focus is on the role of personal values in all types of decision making, from personal to professional.
(BUS 710 Section 2), Spring 2011.



Presentations

2010 American Finance Association Annual Meeting
What does Equity Sector Orderflow Tell Us about the Economy?

Wisconsin School of Business
What can Equity Orderflow tell you about the Economy?

2008 NBER Microstructure Conference
What can Equity Sector Orderflow Tell Us about the Economy?


Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-area Bond Market


Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market


Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

2002 Society for Financial Studies' Conference on Investments in Imperfect Capital Markets
Technical Analysis and Liquidity Provision

2002 Western Finance Association Annual Meetings
Packaging Liquidity: Blind Auctions and Transaction Cost Efficiencies

2001 Conference on Market Microstructure and High-Frequency Data in Finance
Liquidity in the U.S. Government Treasury Market: Asymmetric Information, Inventory and Supply Shifts

2000 Western Finance Association Annual Meeting
Liquidity Provision during Circuit Breakers and Extreme Market Movements

1999 Conference on Alternative Market Structures for Securities Markets
On the Formation and Structure of International Exchanges

1999 Conference on U.S. Equity Markets in Transition
Liquidity Provision during Circuit Breakers and Extreme Market Movements

1999 NBER Microstructure Conference
Liquidity Provision during Circuit Breakers and Extreme Market Movements

1996 Western Finance Association Annual Meetings
A Specialist's Quoted Depth and the Limit Order Book

1993 Economic Policy Conference
A Historical Perspective on the Federal Reserve's Monetary Aggregates: Definition, Construction and Targeting

Editorial Boards

Review of Financial Studies - September 2010 - September 2010
Ad Hoc Reviewer

Review of Financial Studies - May 2010 - May 2010
Ad Hoc Reviewer

Review of Financial Studies - March 2010 - March 2010
Ad Hoc Reviewer

Journal of Financial Markets - February 2010 - February 2010
Ad Hoc Reviewer

Photograph of Kenneth Kavajecz

Kenneth Kavajecz

 
Professor | Finance
Wisconsin Alumni Chair of Investments
(608) 265-3494
4287 Grainger Hall