Rodney N Sullivan

University of Virginia, Darden Graduate School of Business

P.O. Box 6550

Charlottesville, VA 22906-6550

United States

  • University of Virginia, Darden Graduate School of Business

    • Email
    • Tel: 434-243-0644
SCHOLARLY PAPERS

20

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SSRN CITATIONS
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Top 18,734

in Total Papers Citations

38

CROSSREF CITATIONS

26

Scholarly Papers (20)

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1.

The Low-Volatility Anomaly: Market Evidence on Systematic Risk versus Mispricing

Financial Analysts Journal 72 (1), 36-47, January/February 2016
Number of pages: 32 Posted: 13 Jan 2011 Last Revised: 16 Jul 2016
Xi Li, Rodney N Sullivan and Luis García-Feijóo
University of Arkansas - Department of Finance, University of Virginia, Darden Graduate School of Business and Florida Atlantic University - Department of Finance
Downloads 1,778 (16,331)
Citation 2

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low-volatility stocks, market, risk, mispricing

2.

The Limits to Arbitrage and the Low-Volatility Anomaly

Financial Analysts Journal 70 (1), 52-64, January/February 2014.
Number of pages: 31 Posted: 12 Jan 2011 Last Revised: 19 Oct 2014
Xi Li, Rodney N Sullivan and Luis García-Feijóo
University of Arkansas - Department of Finance, University of Virginia, Darden Graduate School of Business and Florida Atlantic University - Department of Finance
Downloads 1,475 (21,791)
Citation 8

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low-volatility, arbitrage

3.

How Index Trading Increases Market Vulnerability

Financial Analysts Journal, Forthcoming
Number of pages: 30 Posted: 11 Aug 2011 Last Revised: 01 Nov 2011
Rodney N Sullivan and James X. Xiong
University of Virginia, Darden Graduate School of Business and Morningstar Investment Management
Downloads 1,433 (22,759)
Citation 8

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market risk, risk management

4.

Hedge Fund Risk and Drawdowns

Darden Business School Working Paper No. 3783426, 2021
Number of pages: 12 Posted: 11 Feb 2021 Last Revised: 27 Jul 2021
Rodney N Sullivan
University of Virginia, Darden Graduate School of Business
Downloads 1,372 (24,271)

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hedge funds, manager performance, asset pricing, factor analysis, performance attribution

5.

Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios

Financial Analysts Journal, Forthcoming
Number of pages: 34 Posted: 16 Aug 2013 Last Revised: 18 Dec 2014
Luis García-Feijóo, Lawrence Edward Kochard, Rodney N Sullivan and Peng Wang
Florida Atlantic University - Department of Finance, University of Virginia (UVA), Investment Management Company, University of Virginia, Darden Graduate School of Business and TIAA Institute - Covariance Capital Management
Downloads 1,311 (25,913)
Citation 3

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idiosyncratic risk, asset pricing, low-volatility anomaly, arbitrage, asset pricing

6.

Twenty-Five Years of Hedge Fund Returns

The Journal of Alternative Investments, Forthcoming, Darden Business School Working Paper No. 3498595
Number of pages: 34 Posted: 11 Dec 2019 Last Revised: 26 Jul 2021
Rodney N Sullivan
University of Virginia, Darden Graduate School of Business
Downloads 646 (69,098)
Citation 3

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hedge funds, manager performance, asset pricing, factor analysis, performance attribution

7.

The Limits to Arbitrage Revisited: The Accrual and Asset Growth Anomalies

Financial Analysts Journal 67 (4-5), 50-66, July/August, 2011
Number of pages: 34 Posted: 09 Aug 2011 Last Revised: 19 Oct 2014
Xi Li and Rodney N Sullivan
University of Arkansas - Department of Finance and University of Virginia, Darden Graduate School of Business
Downloads 464 (103,977)
Citation 2

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Behavioral Finance, Limits to Arbitrage, Equity Investments, Equity Market Valuation and Return Analysis, Risk Management, Portfolio Risk Management, Risk Management Strategies, Portfolio Management, Risk Management, Equity Portfolio Management Strategies, Active Management

8.

Sell-Side Analysts and Gender: A Comparison of Performance, Behavior, and Career Outcomes

Financial Analysts Journal 69 (2), 83-94, March/April 2013.
Number of pages: 28 Posted: 18 Mar 2011 Last Revised: 19 Oct 2014
Xi Li, Rodney N Sullivan, Danielle Xu and Guodong Gao
University of Arkansas - Department of Finance, University of Virginia, Darden Graduate School of Business, Gonzaga University and Chicago Equity Partners
Downloads 383 (130,328)
Citation 6

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gender, sell-side analyst, investment recommendations, performance, behavior, career outcomes

9.

Investing in the Asset Growth Anomaly Across the Globe

Journal of Investment Management 13, 1-21, 2015
Number of pages: 33 Posted: 10 May 2014 Last Revised: 16 Jul 2016
Xi Li and Rodney N Sullivan
University of Arkansas - Department of Finance and University of Virginia, Darden Graduate School of Business
Downloads 352 (142,662)
Citation 4

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asset growth anomaly, asset pricing

10.

Multi-Period After-Tax Reporting: A Practical Solution

The Journal of Wealth Management, Winter 2018, 21 (3) 11-25; DOI: 10.3905/jwm.2018.21.3.011
Number of pages: 36 Posted: 30 Mar 2018 Last Revised: 01 Feb 2020
Nathan Sosner, Rodney N Sullivan and Liliana Urrutia
AQR Capital Management, LLC, University of Virginia, Darden Graduate School of Business and AQR Capital Management, LLC
Downloads 241 (210,832)
Citation 1

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after tax reporting, tax efficient investing, wealth management

11.

Putting 2020 into Perspective: Diversification May Work Better than You Think

Number of pages: 9 Posted: 28 Aug 2020
Rodney N Sullivan
University of Virginia, Darden Graduate School of Business
Downloads 106 (418,375)

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Asset Allocation, Portfolio Management, Diversification, Downside Risk

12.

Measuring Global Systemic Risk: What are Markets Saying About Risk?

Journal of Portfolio Management, Vol. 37, No. 1, Fall 2010, https://doi.org/10.3905/jpm.2010.37.1.067
Posted: 21 May 2019
Rodney N Sullivan, Steven P. Peterson and David T. Waltenbaugh
University of Virginia, Darden Graduate School of Business, Virginia Retirement System (VRS) and Virginia Retirement System (VRS)

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13.

Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations

Journalof Portfolio Management, Vol. 38, No. 4, 2012, https://doi.org/10.3905/jpm.2012.38.4.026
Posted: 21 May 2019
Peng Wang, Rodney N Sullivan and Yizhi Ge
TIAA Institute - Covariance Capital Management, University of Virginia, Darden Graduate School of Business and Georgetown University

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Extreme Tail Risk, CVaR Optimization, Regime Change, Markov Switching Model, Dynamic Asset Allocation, TAA

14.

Liquidity-Driven Dynamic Asset Allocation

Journal of Portfolio Management, Forthcoming
Posted: 28 Nov 2012 Last Revised: 10 Mar 2016
James X. Xiong, Rodney N Sullivan and Peng Wang
Morningstar Investment Management, University of Virginia, Darden Graduate School of Business and TIAA Institute - Covariance Capital Management

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asset allocation, dynamic asset allocation, liquidity

15.

How Index Trading Increases Market Vulnerability

Financial Analysts Journal, Vol. 68, No. 2, 2012
Posted: 26 Mar 2012
James X. Xiong and Rodney N Sullivan
Morningstar Investment Management and University of Virginia, Darden Graduate School of Business

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Equity Investments, Equity Markets, Characteristics, Institutions, and Benchmarks, Security Market Indices and Benchmarks, Portfolio Management, Equity Portfolio Management Strategies, Passive Management, Mutual Funds, Pooled Funds, and Exchange-Traded Funds (ETFs), Risk Management, Risk Management

16.

Using Investment Consumption Value to Select Asset Classes: A Non-Traditional Approach

Journal of Portfolio Management, Vol. 34, No. 2, 2008
Posted: 24 Sep 2010
Rodney N Sullivan
University of Virginia, Darden Graduate School of Business

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17.

A Dynamic Future for Active Quant Investing

Journal of Portfolio Management 37 (3), 29-36, Spring 2011.
Posted: 22 Sep 2010 Last Revised: 24 Sep 2018
Rodney N Sullivan and Xi Li
University of Virginia, Darden Graduate School of Business and University of Arkansas - Department of Finance

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18.

Taming Global Village Risk

Journal of Portfolio Management, Vol. 34, No. 4, 2008
Posted: 25 Mar 2009 Last Revised: 08 Nov 2010
Rodney N Sullivan
University of Virginia, Darden Graduate School of Business

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19.

Markets in Crisis

Financial Analysts Journal, Vol. 65, No. 1, 2009, available at: http://www.cfapubs.org/doi/abs/10.2469/faj.v65.n1.3
Posted: 31 Jan 2009 Last Revised: 27 Mar 2009
Rodney N Sullivan and John C. Bogle
University of Virginia, Darden Graduate School of Business and The Vanguard Group

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Advocacy, Regulatory, and Legislative Issues: Advocacy Issues; Investment Industry: Future Directions and Sources of Change, Historical Trends

20.

Taming Global Village Risk II: Understanding and Mitigating Bubbles

Journal of Portfolio Management, Summer 2009
Posted: 30 Apr 2008 Last Revised: 08 Nov 2010
Rodney N Sullivan
University of Virginia, Darden Graduate School of Business

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