Professor of Finance
Paul Schultz is the John and Maude Clarke Professor of Finance at the University of Notre Dame. He has published numerous papers in the Journal of Finance, Journal of Financial Economics, and other academic journals. He is an Associate Editor of the Journal of Financial and Quantitative Analysis and a former Associate Editor of the Journal of Finance. He has served on the Nasdaq Academic Advisory Board and on the Managed Fund Association Academic Advisory Council. His paper with William Christie, “Why Do Nasdaq Market Makers Avoid Odd-Eighth Quote?” won the Smith-Breeden Prize for best paper in the Journal of Finance in 1994. It spawned a $1 billion lawsuit and the reorganization of the Nasdaq stock market.
“Liquidity in a Market for Unique Assets: Specified Pool and To-Be-Announced Trading in the Mortgage Backed Securities Market” with Pengjie Gao and Zhaogang Song, Journal of Finance 2017.
Agency mortgage‐backed securities (MBS) trade simultaneously in a market for specified pools (SPs) and in the to‐be‐announced (TBA) forward market. TBA trading creates liquidity by allowing thousands of different MBS to be traded in a handful of TBA contracts. SPs that are eligible to be traded as TBAs have significantly lower trading costs than other SPs. We present evidence that TBA eligibility, in addition to characteristics of TBA‐eligible SPs, lowers trading costs. We show that dealers hedge SP inventory with TBA trades, and they are more likely to prearrange trades in SPs that are difficult to hedge.