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Sadka, Ronnie's
Scholarly Papers
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Aggregate Statistics |
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Total Downloads
29,636 |
Total
Citations
672 |
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1.
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Are Momentum Profits Robust to Trading Costs?
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Korajczyk, Robert A. Northwestern University - Kellogg School of Management Sadka, Ronnie Boston College - Carroll School of Management
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Posted:
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28 Mar 02
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Last Revised:
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21 Jan 05
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3,570
(1,011)
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116
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Korajczyk, Robert A. Northwestern University - Kellogg School of Management Sadka, Ronnie Boston College - Carroll School of Management
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0
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Momentum strategies, transaction costs, price impact, optimal trading, market efficiency
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Korajczyk, Robert A. Northwestern University - Kellogg School of Management Sadka, Ronnie Boston College - Carroll School of Management
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3,570
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116
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Momentum strategies, Transaction costs, Price impact, Optimal trading, Market efficiency
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2.
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Intraday Patterns in the Cross-Section of Stock Returns
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Heston, Steven L. University of Maryland - Department of Finance Korajczyk, Robert A. Northwestern University - Kellogg School of Management Sadka, Ronnie Boston College - Carroll School of Management
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Posted:
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17 Jun 09
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Last Revised:
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27 May 10
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3,083
(1,293)
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21
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Heston, Steven L. University of Maryland - Department of Finance Korajczyk, Robert A. Northwestern University - Kellogg School of Management Sadka, Ronnie Boston College - Carroll School of Management
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21 Nov 09
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Last Revised:
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27 May 10
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429
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21
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Return periodicity, Market Microstructure
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Heston, Steven L. University of Maryland - Department of Finance Korajczyk, Robert A. Northwestern University - Kellogg School of Management Sadka, Ronnie Boston College - Carroll School of Management
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17 Jun 09
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Last Revised:
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27 May 10
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2,654
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21
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Return periodicity, Market Microstructure
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3.
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Konchitchki, Yaniv University of California, Berkeley - Haas School of Business Lou, Xiaoxia University of Delaware - Alfred Lerner College of Business and Economics Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie Boston College - Carroll School of Management
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11 Aug 09
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Last Revised:
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05 Feb 13
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2,438
(2,002)
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13
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Analyst forecasts, asset pricing, predictability, post-earnings-announcement drift
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4.
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Sadka, Ronnie Boston College - Carroll School of Management
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2,394
(2,071)
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155
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Liquidity risk, Transaction costs, Price impact, Asset pricing, Momentum trading
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5.
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Liquidity and the Post-Earnings-Announcement Drift
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Chordia, Tarun Emory University - Department of Finance Goyal, Amit University of Lausanne Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie Boston College - Carroll School of Management Shivakumar, Lakshmanan London Business School
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Posted:
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20 Mar 07
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Last Revised:
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11 Nov 11
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1,434
(5,049)
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56
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Chordia, Tarun Emory University - Department of Finance Goyal, Amit University of Lausanne Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie Boston College - Carroll School of Management Shivakumar, Lakshmanan London Business School
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0
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Equity Investments, Research Sources, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies
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Chordia, Tarun Emory University - Department of Finance Goyal, Amit University of Lausanne Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie Boston College - Carroll School of Management Shivakumar, Lakshmanan London Business School
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258
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56
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Research Sources, Equity Investments, Technical Analysis, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies
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Chordia, Tarun Emory University - Department of Finance Sadka, Ronnie Boston College - Carroll School of Management Goyal, Amit University of Lausanne Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Shivakumar, Lakshmanan London Business School
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20 Mar 07
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Last Revised:
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24 Aug 11
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1,176
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56
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G11, G12, C11
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6.
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Liquidity Risk and the Cross-Section of Hedge-Fund Returns
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Sadka, Ronnie Boston College - Carroll School of Management
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Posted:
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22 Mar 09
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Last Revised:
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09 Jan 12
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1,232
(6,525)
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54
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Sadka, Ronnie Boston College - Carroll School of Management
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40
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54
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Liquidity risk, Hedge funds, Price impact, Asset pricing
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Sadka, Ronnie Boston College - Carroll School of Management
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22 Mar 09
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Last Revised:
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12 Nov 09
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1,192
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54
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Liquidity risk, Hedge funds, Price impact, Asset pricing
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7.
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Sadka, Ronnie Boston College - Carroll School of Management Scherbina, Anna University of California, Davis - Graduate School of Management
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1,213
(6,677)
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48
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Analyst disagreement, mispricing, liquidity, Kyle lambda, limits of arbitrage
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8.
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Heston, Steven L. University of Maryland - Department of Finance Sadka, Ronnie Boston College - Carroll School of Management
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1,211
(6,697)
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16
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9.
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Pricing the Commonality Across Alternative Measures of Liquidity
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Korajczyk, Robert A. Northwestern University - Kellogg School of Management Sadka, Ronnie Boston College - Carroll School of Management
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Posted:
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11 May 06
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Last Revised:
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15 Jan 08
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1,188
(6,933)
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83
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Korajczyk, Robert A. Northwestern University - Kellogg School of Management Sadka, Ronnie Boston College - Carroll School of Management
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0
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Liquidity, Risk Premium
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Korajczyk, Robert A. Northwestern University - Kellogg School of Management Sadka, Ronnie Boston College - Carroll School of Management
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1,188
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83
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Liquidity, Risk Premium
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10.
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Aggregate Earnings and Asset Prices
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Ball, Ray University of Chicago Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie Boston College - Carroll School of Management
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Posted:
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20 Mar 07
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Last Revised:
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30 Aug 11
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1,179
(7,026)
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23
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Ball, Ray University of Chicago Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie Boston College - Carroll School of Management
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24 Aug 11
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Last Revised:
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30 Aug 11
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50
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22
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Earnings factors, aggregate returns, SUE, market-to-book, systematic risk, cash-flow news, asset pricing
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Ball, Ray University of Chicago Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie Boston College - Carroll School of Management
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| Posted: |
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20 Mar 07
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Last Revised:
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24 Aug 11
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1,129
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22
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Aggregate earnings, aggregate returns, excess volatility, anomalies
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11.
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Are You Trading Predictably?
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Heston, Steven L. University of Maryland - Department of Finance Korajczyk, Robert A. Northwestern University - Kellogg School of Management Sadka, Ronnie Boston College - Carroll School of Management Thorson, Lewis D. University of Washington - Foster School of Business
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Posted:
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05 Jun 10
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Last Revised:
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13 Apr 11
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1,133
(7,521)
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Heston, Steven L. University of Maryland - Department of Finance Korajczyk, Robert A. Northwestern University - Kellogg School of Management Sadka, Ronnie Boston College - Carroll School of Management Thorson, Lewis D. University of Washington - Foster School of Business
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0
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Behavioral Finance, Institutional Investor Decision Making; Equity Investments, Performance Measurement and Evaluation, Specific Investor Issues, Institutional Investors, Portfolio Management: Equity Portfolio Management Strategies
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Heston, Steven L. University of Maryland - Department of Finance Korajczyk, Robert A. Northwestern University - Kellogg School of Management Sadka, Ronnie Boston College - Carroll School of Management Thorson, Lewis D. University of Washington - Foster School of Business
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05 Jun 10
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Last Revised:
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05 Sep 10
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1,133
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Trading, Microstructure, Periodicity, Anomaly
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12.
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Liquidity Level or Liquidity Risk? Evidence from the Financial Crisis
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Lou, Xiaoxia University of Delaware - Alfred Lerner College of Business and Economics Sadka, Ronnie Boston College - Carroll School of Management
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Posted:
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09 Jun 10
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Last Revised:
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01 Feb 13
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1,104
(7,863)
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7
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Lou, Xiaoxia University of Delaware - Alfred Lerner College of Business and Economics Sadka, Ronnie Boston College - Carroll School of Management
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0
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equity investments, portfolio management, equity portfolio management strategies, risk management, portfolio risk management, risk management strategies
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Lou, Xiaoxia University of Delaware - Alfred Lerner College of Business and Economics Sadka, Ronnie Boston College - Carroll School of Management
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| Posted: |
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09 Jun 10
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Last Revised:
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01 Feb 13
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1,104
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7
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Liquidity risk, Liquidity Level, Asset pricing, Risk Management, Financial Crisis
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13.
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Common Patterns of Predictability in the Cross-Section of International Stock Returns
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Heston, Steven L. University of Maryland - Department of Finance Sadka, Ronnie Boston College - Carroll School of Management
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Posted:
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20 Mar 07
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Last Revised:
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20 Mar 08
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768
(13,960)
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Heston, Steven L. University of Maryland - Department of Finance Sadka, Ronnie Boston College - Carroll School of Management
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437
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International Stock Returns, Market Integration, Behavioral Finance
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Heston, Steven L. University of Maryland - Department of Finance Sadka, Ronnie Boston College - Carroll School of Management
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331
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14.
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Sadka, Ronnie Boston College - Carroll School of Management
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14 Aug 11
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Last Revised:
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26 Aug 11
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734
(14,881)
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2
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Liquidity Risk, Trasparency, Information Quality, Asset Pricing, Financial Crisis
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15.
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Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie Boston College - Carroll School of Management
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730
(15,003)
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14
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Post-Earnings-Announcement Drift, Liquidity Risk, Market Efficiency, Asset Pricing, SUE, Information Uncertainty
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16.
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Hedge-Fund Performance and Liquidity Risk
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Sadka, Ronnie Boston College - Carroll School of Management
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Posted:
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27 Aug 11
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Last Revised:
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02 Jun 12
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712
(15,581)
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Sadka, Ronnie Boston College - Carroll School of Management
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0
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Hedge funds, liquidity risk, share restriction, manager selection, risk management
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Sadka, Ronnie Boston College - Carroll School of Management
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712
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hedge funds, liquidity risk, share restriction, manager selection, risk management
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17.
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Heston, Steven L. University of Maryland - Department of Finance Sadka, Ronnie Boston College - Carroll School of Management
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699
(16,005)
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1
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Momentum, long-run reversal, periodic structure of stock returns
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18.
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Predictability and the Earnings-Returns Relation
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Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie Boston College - Carroll School of Management
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Posted:
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05 Mar 07
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Last Revised:
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20 Oct 11
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687
(16,421)
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20
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Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie Boston College - Carroll School of Management
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50
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20
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Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie Boston College - Carroll School of Management
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0
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Valuation, profitability, predictability, asset pricing
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Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie Boston College - Carroll School of Management
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05 Mar 07
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Last Revised:
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24 Aug 11
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637
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20
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Valuation, profitability, predictability, asset pricing
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19.
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Kamara, Avraham University of Washington - Michael G. Foster School of Business Lou, Xiaoxia University of Delaware - Alfred Lerner College of Business and Economics Sadka, Ronnie Boston College - Carroll School of Management
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611
(19,463)
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20
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systematic liquidity, systematic risk, institutional investors, diversification
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20.
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Ozik, Gideon EDHEC Business School Sadka, Ronnie Boston College - Carroll School of Management
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05 Mar 10
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Last Revised:
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17 Mar 10
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417
(32,257)
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2
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Information, Media coverage, Hedge funds, Fund flows, Asset pricing
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21.
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Sadka, Ronnie Boston College - Carroll School of Management
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409
(33,102)
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9
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Momentum strategies, Transaction costs, Price impact, Market efficiency, January effect
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22.
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Dong, Xi INSEAD - Finance Feng, Shu Boston University Sadka, Ronnie Boston College - Carroll School of Management
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15 Mar 11
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Last Revised:
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25 Mar 13
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365
(38,078)
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Liquidity risk, Finanical Institutions, Price impact, Asset pricing
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23.
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Mispricing and Costly Arbitrage
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Sadka, Ronnie Boston College - Carroll School of Management Scherbina, Anna University of California, Davis - Graduate School of Management
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Posted:
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31 Aug 08
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Last Revised:
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03 Jun 10
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357
(39,094)
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1
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Sadka, Ronnie Boston College - Carroll School of Management Scherbina, Anna University of California, Davis - Graduate School of Management
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13 Mar 10
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Last Revised:
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03 Jun 10
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0
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Sadka, Ronnie Boston College - Carroll School of Management Scherbina, Anna University of California, Davis - Graduate School of Management
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357
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1
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limits to arbitrage, liquidity, analyst disagreement
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24.
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Ozik, Gideon EDHEC Business School Sadka, Ronnie Boston College - Carroll School of Management
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04 Jul 10
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Last Revised:
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26 Mar 12
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340
(41,520)
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Media coverage, Hedge funds, Financial information, Asset pricing
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25.
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Duarte, Jefferson Rice University Sadka, Ronnie Boston College - Carroll School of Management Lou, Xiaoxia University of Delaware - Alfred Lerner College of Business and Economics
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324
(43,945)
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2
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Short-sale constraints, Liquidity, Limits to arbitrage, Asset-pricing anomalies
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26.
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Ozik, Gideon EDHEC Business School Sadka, Ronnie Boston College - Carroll School of Management
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04 Nov 09
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Last Revised:
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16 Mar 10
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283
(51,494)
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3
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Hedge funds, Fund flows, Smart money, Asset pricing, Flow impact
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27.
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Kerr, Jon N. Columbia University - Columbia Business School Sadka, Gil Columbia Business School - Accounting, Business Law & Taxation Sadka, Ronnie Boston College - Carroll School of Management
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04 Mar 11
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Last Revised:
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18 Mar 13
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225
(66,205)
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1
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stock prices, aggregate earnings, illiquidity, expected returns, expected earnings
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28.
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Duarte, Jefferson Rice University Lou, Xiaoxia University of Delaware - Alfred Lerner College of Business and Economics Sadka, Ronnie Boston College - Carroll School of Management
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205
(72,843)
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2
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Short-sale constraints, Liquidity, Limits to arbitrage, Asset-pricing anomalies
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29.
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Ozik, Gideon EDHEC Business School Sadka, Ronnie Boston College - Carroll School of Management
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15 Mar 11
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Last Revised:
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26 Mar 12
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194
(76,971)
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1
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Hedge funds; Governance; Fund flows; Inside information; Asset pricing
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30.
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Idiosyncratic Return Volatility in the Cross-Section of Stocks
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Kang, Namho Boston College Kondor, Peter Central European University (CEU) Sadka, Ronnie Boston College - Carroll School of Management
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Posted:
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11 Mar 11
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Last Revised:
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14 May 13
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186
(80,584)
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1
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Kang, Namho Boston College Kondor, Peter Central European University (CEU) Sadka, Ronnie Boston College - Carroll School of Management
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4
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1
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Hedge funds, idiosyncratic risk, limits to arbitrage
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Kang, Namho Boston College Kondor, Peter Central European University (CEU) Sadka, Ronnie Boston College - Carroll School of Management
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11 Mar 11
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Last Revised:
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14 May 13
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182
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1
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idiosyncratic risk, hedge funds
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31.
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Horizon Pricing
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Kamara, Avraham University of Washington - Michael G. Foster School of Business Korajczyk, Robert A. Northwestern University - Kellogg School of Management Lou, Xiaoxia University of Delaware - Alfred Lerner College of Business and Economics Sadka, Ronnie Boston College - Carroll School of Management
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Posted:
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14 Jul 12
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Last Revised:
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06 Mar 13
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182
(81,819)
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Kamara, Avraham University of Washington - Michael G. Foster School of Business Korajczyk, Robert A. Northwestern University - Kellogg School of Management Lou, Xiaoxia University of Delaware - Alfred Lerner College of Business and Economics Sadka, Ronnie Boston College - Carroll School of Management
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| Posted: |
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22 Jul 12
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Last Revised:
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06 Mar 13
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182
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asset pricing model, investment horizon, factors, characteristics
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Kamara, Avraham University of Washington - Michael G. Foster School of Business Korajczyk, Robert A. Northwestern University - Kellogg School of Management Lou, Xiaoxia University of Delaware - Alfred Lerner College of Business and Economics Sadka, Ronnie Boston College - Carroll School of Management
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14 Jul 12
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Last Revised:
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06 Mar 13
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asset pricing model, investment horizon, factors, characteristics
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32.
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Kamara, Avraham University of Washington - Michael G. Foster School of Business Lou, Xiaoxia University of Delaware - Alfred Lerner College of Business and Economics Sadka, Ronnie Boston College - Carroll School of Management
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29
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1
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Systematic risk, Systematic liquidity, Diversi
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33.
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Kamara, Avraham University of Washington - Michael G. Foster School of Business Lou, Xiaoxia University of Delaware - Alfred Lerner College of Business and Economics Sadka, Ronnie Boston College - Carroll School of Management
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Equity Investments, Investment Industry, Historical Trends, Portfolio Management, Portfolio Construction, Rebalancing, and Implementation, Risk Measurement and Management, Equity Portfolios
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