Charles Trzcinka

Areas of Expertise

International stock market liquidity measures; asset management.

Academic Degrees

• PhD, Purdue University, 1980
• BA, Boston State College, 1973
• MBA, Purdue University, 1977
• MS, Purdue University, 1976

Professional Experience

• School of Management, University at Buffalo (SUNY), Sept. 1998-July 2000, Professor of Finance
• New York University Leonard K. Stern School of BUsiness, Sept. 1996 to Aug. 1998, Visiting Professor of Finance
• United States Securities and Exchange Commission, Sept. 1988 to Jan. 1990, Senior Research Economist
• China MBA Program Program, Dalian, China, May 1987-July 1987, Resident Dean
• Kelley School of Business, Indiana University, July 2000 to present, James and Virginia Cozad Professor of Finance
• School of Management, University at Buffalo (SUNY), Jan. 1986-Sept. 1996, Associate Professor of Finance
• School of Management, University at Buffalo (SUNY)., Sept. 1980-Aug. 1986, Assistant Professor of Finance
• School of Management, Syracuse University, Sept. 1979-Aug. 1980, Assistant Professor of Finance and Statistics
• Buffalo Chapter, United University Professions, 1999-2000, Vice President for Academic Affairs

Awards, Honors & Certificates

• 1995 Financial Management Association’s Silver Anniversary Best of the Best Research Award, ($3,500) and Best Paper in Investments ($1000), Financial Management Association annual meeting.
• 1993-1998 $20,000 from the Mobius Group for performance measurement of pension funds
• 1993 $10,000 from the Investment Company Institute, for research on Mutual Funds and Credit Allocation.
• 1991 MBA Professor of the Year (runner-up)
• 1990-1992 $140,000 National Science Foundation (grant number 150-4134A), "Unions and Corporate Takeovers," principal investigators Brian Becker and Charles Trzcinka.
• 1985 $7500 Bio-Technology Equipment Fund, University at Buffalo (SUNY)., "The Investigation of Option Prices and Short-Selling Constraints," principal investigator Charles Trzcinka, (report by Robert Welch).

Selected Publications

• Fong, K., C. W. Holden, and C. A. Trzcinka (2017), "What Are The Best Liquidity Proxies For Global Research?" Review of Finance, 21 (4), 1355-1401.
• Chakrabarty, Bidisha, Pamela Moulton, and Charles Trzcinka (2017), “The Performance of Short Term Institutional Trades,” Journal of Financial and Quantitative Analysis, 52 (4), 1403-1428.
  
• Feldman D., C. Trzcinka, and R. S. Winer (2014), “Pricing Under Noisy Signaling," Review of Quantitative Finance and Accounting, vol. 45, pp. 435 – 454.
• Berzins, Janis, Crocker Liu and Charles Trzcinka (2013), "Asset Management and Investment Banks," Journal of Financial Economics, 110(1): 215-231, (Awarded for Best Paper in Financial Institutions in the Midwest Finance Association Meetings in March 2013).
• Trzcinka, Charles, Stephen Horan, and Vahan Janjigian (2011), Forbes/CFA Investment Guide, Wiley. 
• Trzcinka, Charles (2010), Forbes Stock Market Course (2nd Edition), New York: Forbes Magazine. 
• Goyenko, Ruslan Y., Craig W. Holden, and Charles A. Trzcinka (2009), "Do Liquidity Measures Measure Liquidity?," Journal of Financial Economics, Vol. 92, No. 2, May, pp. 153-181.

Abstract Given the key role of liquidity in finance research, identifying high quality proxies based on daily (as opposed to intraday) data would permit liquidity to be studied over relatively long time frames and across many countries. Using new measures and widely employed measures in the literature, we run horse races of annual and monthly estimates of each measure against liquidity benchmarks. Our benchmarks are effective spread, realized spread, and price impact based on both Trade and Quote (TAQ) and Rule 605 data.We find that the new effective/realized spread measures win the majority of horse races, while the Amihud [2002. Illiquidity and stock returns: cross-section andtime-series effects. Journal of Financial Markets 5,31–56] measure does well measuring price impact.

• Chakrabarty, Bidisha and Charles Trzcinka (2006), “Momentum Strategies and Financial Databases: An Investigation of Intraday Pattern in Price Momentum,” Journal of Financial Research, Winter, pp. 441-462. 
• Trzcinka, Charles (2004), "Chapter 2," in Coping with Institutional Order Flow, Kluwer Academic Publishing.
• Gore, Angela, Kevin Sachs, and Charles Trzcinka (2004), “Financial Disclosure and Bond Insurance,” Journal of Law and Economics, April.
• Trzcinka, Charles (2003), Forbes Stock Market Course, New York: Forbes Magazine.
• Coggin, T. D. and C. A. Trzcinka (2000), "A Panel Study of U.S. Equity Pension Fund Manager Style Performance,"  Journal of Investing, Vol. 9, Summer, pp. 6-12.
• Kallberg, Jerry, Crocker Liu, and Charles Trzcinka (2000), “Mutual Fund of Reits: A Test of the Grossman-Stiglitz Hypothesis,” Journal of Financial and Quantitative Analysis, September, pp. 387-408.
• Trzcinka, Charles (1999), The Conflicting Views of Institutional Equity Investing in Financial Markets, Institutions & Instruments, Boston, MA: Basil Blackwell, Vol. 7, No. 5.
• Lesmond, David, Joseph Ogden, and Charles Trzcinka (1999), "A New Measure of Total Transactions Costs," Review of Financial Studies, Vol. 12, Winter, No. 5, pp. 1113-1141.