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5,241
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Citation
101
Number of pages: 59
Posted: 17 Jun 2009
Last Revised: 27 May 2010
University of Maryland - Department of Finance,
Northwestern University and Boston College - Carroll School of Management
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4,449
(2,415)
Abstract:
Return periodicity, Market Microstructure
Journal of Finance, 2010, Vol. 65, No. 4, pp. 1369-1407
Number of pages: 59
Posted: 21 Nov 2009
Last Revised: 14 Nov 2019
University of Maryland - Department of Finance,
Northwestern University and Boston College - Carroll School of Management
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792
(37,364)
Abstract:
Return periodicity, Market Microstructure
Northwestern University Department of Finance Working Paper No. 289; AFA 2003 Washington, DC Meetings
Number of pages: 43
Posted: 28 Mar 2002
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3,840
(3,076)
Abstract:
Momentum strategies, Transaction costs, Price impact, Optimal trading, Market efficiency
Journal of Finance, Vol. 59, No. 3, pp. 1039-1082, June 2004
Posted: 29 Dec 2004
Abstract:
Momentum strategies, transaction costs, price impact, optimal trading, market efficiency
Journal of Financial Economics, Forthcoming, EFA 2004 Maastricht Meetings Paper No. 5290
Number of pages: 46
Posted: 09 Sep 2003
Ronnie Sadka
Boston College - Carroll School of Management
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3,802
(3,202)
Abstract:
Liquidity risk, Transaction costs, Price impact, Asset pricing, Momentum trading
AFA 2006 Boston Meetings Paper
Number of pages: 37
Posted: 20 Mar 2005
University of Maryland - Department of Finance and Boston College - Carroll School of Management
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2,211
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Abstract:
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1,897
( 10,242)
Citation
3
Number of pages: 19
Posted: 09 Jun 2010
Last Revised: 01 Feb 2013
University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
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1,897
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Abstract:
Liquidity risk, Liquidity Level, Asset pricing, Risk Management, Financial Crisis
Financial Analysts Journal, Vol. 67, No. 3, 2011
Posted: 11 Jun 2011
University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Abstract:
equity investments, portfolio management, equity portfolio management strategies, risk management, portfolio risk management, risk management strategies
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1,846
( 10,684)
Citation
44
AFA 2008 New Orleans Meetings Paper
Number of pages: 35
Posted: 20 Mar 2007
Last Revised: 24 Aug 2011
Emory University - Department of Finance, Boston College - Carroll School of Management, University of Lausanne, University of Texas at Dallas and London Business School
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1,475
(14,967)
Abstract:
G11, G12, C11
Financial Analysts Journal, Forthcoming
Number of pages: 36
Posted: 18 May 2009
Emory University - Department of Finance, University of Lausanne, University of Texas at Dallas, Boston College - Carroll School of Management and London Business School
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371
(97,167)
Abstract:
Research Sources, Equity Investments, Technical Analysis, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies
Financial Analysts Journal, Vol. 65, No. 4, 2009
Posted: 09 Aug 2009
Emory University - Department of Finance, University of Lausanne, University of Texas at Dallas, Boston College - Carroll School of Management and London Business School
Abstract:
Equity Investments, Research Sources, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies
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1,704
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Citation
47
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 36
Posted: 22 Mar 2009
Last Revised: 12 Nov 2009
Ronnie Sadka
Boston College - Carroll School of Management
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1,608
(13,059)
Abstract:
Liquidity risk, Hedge funds, Price impact, Asset pricing
FDIC Working Paper No. 2010-10
Number of pages: 35
Posted: 09 Jan 2012
Ronnie Sadka
Boston College - Carroll School of Management
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96
(329,897)
Abstract:
Liquidity risk, Hedge funds, Price impact, Asset pricing
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1,596
( 13,467)
Number of pages: 19
Posted: 05 Jun 2010
Last Revised: 05 Sep 2010
University of Maryland - Department of Finance,
Northwestern University , Boston College - Carroll School of Management and University of Washington - Foster School of Business
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1,596
(13,223)
Abstract:
Trading, Microstructure, Periodicity, Anomaly
Financial Analysts Journal, Vol. 67, No. 2, 2011
Posted: 13 Apr 2011
University of Maryland - Department of Finance,
Northwestern University , Boston College - Carroll School of Management and University of Washington - Foster School of Business
Abstract:
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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1,571
( 13,805)
Citation
43
Number of pages: 41
Posted: 11 May 2006
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1,571
(13,558)
Abstract:
Liquidity, Risk Premium
Journal of Financial Economics (JFE), Vol. 87, No. 1, 2008
Posted: 15 Jan 2008
Abstract:
Liquidity, Risk Premium
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1,460
( 15,527)
Citation
30
Journal of Accounting Research, Vol. 47, No. 5, 2009
Number of pages: 40
Posted: 20 Mar 2007
Last Revised: 24 Aug 2011
University of Chicago - Booth School of Business, University of Texas at Dallas and Boston College - Carroll School of Management
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1,362
(16,984)
Abstract:
Aggregate earnings, aggregate returns, excess volatility, anomalies
Columbia Business School Research Paper
Number of pages: 41
Posted: 24 Aug 2011
Last Revised: 30 Aug 2011
University of Chicago - Booth School of Business, University of Texas at Dallas and Boston College - Carroll School of Management
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98
(325,412)
Abstract:
Earnings factors, aggregate returns, SUE, market-to-book, systematic risk, cash-flow news, asset pricing
Journal of Finance, Forthcoming, EFA 2005 Moscow Meetings Paper
Number of pages: 42
Posted: 07 Jul 2004
Boston College - Carroll School of Management and Brandeis University
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1,421
(16,224)
Abstract:
Analyst disagreement, mispricing, liquidity, Kyle lambda, limits of arbitrage
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1,252
( 19,637)
Number of pages: 35
Posted: 20 Mar 2008
University of Maryland - Department of Finance and Boston College - Carroll School of Management
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770
(38,815)
Abstract:
International Stock Returns, Market Integration, Behavioral Finance
Number of pages: 31
Posted: 20 Mar 2007
University of Maryland - Department of Finance and Boston College - Carroll School of Management
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482
(71,323)
Abstract:
Downloads
1,165
( 21,901)
Number of pages: 18
Posted: 27 Aug 2011
Ronnie Sadka
Boston College - Carroll School of Management
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1,165
(21,520)
Abstract:
hedge funds, liquidity risk, share restriction, manager selection, risk management
Journal of Investment Management (JOIM), Second Quarter 2012
Posted: 02 Jun 2012
Ronnie Sadka
Boston College - Carroll School of Management
Abstract:
Hedge funds, liquidity risk, share restriction, manager selection, risk management
Journal of Accounting & Economics (JAE), Forthcoming
Number of pages: 18
Posted: 14 Aug 2011
Last Revised: 26 Aug 2011
Ronnie Sadka
Boston College - Carroll School of Management
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1,139
(22,643)
Abstract:
Liquidity Risk, Trasparency, Information Quality, Asset Pricing, Financial Crisis
Management Science, Forthcoming, AEA 2012 Chicago Meetings Paper
Number of pages: 54
Posted: 15 Mar 2011
Last Revised: 20 Jan 2019
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Boston University and Boston College - Carroll School of Management
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1,104
(23,700)
Abstract:
Liquidity risk, Finanical Institutions, Price impact, Asset pricing
Number of pages: 32
Posted: 04 Jul 2010
Last Revised: 26 Mar 2012
EDHEC Business School and Boston College - Carroll School of Management
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1,094
(24,019)
Abstract:
Media coverage, Hedge funds, Financial information, Asset pricing
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1,002
( 27,286)
Journal of Financial and Quantitative Analysis (JFQA), 51 (December 2016), 1769-1793.
Number of pages: 59
Posted: 22 Jul 2012
Last Revised: 21 Jun 2018
University of Washington - Michael G. Foster School of Business,
Northwestern University , University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
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1,002
(26,874)
Abstract:
asset pricing model, investment horizon, factors, characteristics
Posted: 14 Jul 2012
Last Revised: 06 Mar 2013
University of Washington - Michael G. Foster School of Business,
Northwestern University , University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Abstract:
asset pricing model, investment horizon, factors, characteristics
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888
( 32,388)
Citation
39
Number of pages: 44
Posted: 05 Mar 2007
Last Revised: 24 Aug 2011
University of Texas at Dallas and Boston College - Carroll School of Management
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815
(35,870)
Abstract:
Valuation, profitability, predictability, asset pricing
Journal of Financial Economics, Vol. 94, No. 1, pp. 81-106, 2008
Number of pages: 44
Posted: 20 Oct 2011
University of Texas at Dallas and Boston College - Carroll School of Management
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73
(390,169)
Abstract:
Journal of Financial Economics, Forthcoming
Posted: 26 Nov 2008
University of Texas at Dallas and Boston College - Carroll School of Management
Abstract:
Valuation, profitability, predictability, asset pricing
Number of pages: 41
Posted: 23 Oct 2019
University of Connecticut - Department of Finance, National Bureau of Economic Research (NBER), EDHEC Business School and Boston College - Carroll School of Management
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877
(32,937)
Abstract:
Text analysis, Competition, Asset pricing
Number of pages: 41
Posted: 19 Jan 2004
University of Texas at Dallas and Boston College - Carroll School of Management
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867
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Abstract:
Post-Earnings-Announcement Drift, Liquidity Risk, Market Efficiency, Asset Pricing, SUE, Information Uncertainty
Number of pages: 35
Posted: 13 Jan 2004
University of Maryland - Department of Finance and Boston College - Carroll School of Management
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821
(36,030)
Abstract:
Momentum, long-run reversal, periodic structure of stock returns
Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 53
Posted: 05 Aug 2020
Last Revised: 17 May 2021
EDHEC Business School, Boston College - Carroll School of Management and The Chinese University of Hong Kong, Shenzhen - School of Management and Economics
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809
(36,894)
Abstract:
Illiquidity curve, COVID-19, retail investors, fintech, media attention
Number of pages: 52
Posted: 09 Nov 2006
Last Revised: 19 May 2018
University of Washington - Michael G. Foster School of Business, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
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780
(38,673)
Abstract:
systematic liquidity, systematic risk, institutional investors, diversification
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587
( 56,416)
Citation
3
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 82
Posted: 11 Mar 2011
Last Revised: 14 May 2013
Bentley University - Department of Finance, London School of Economics & Political Science (LSE) and Boston College - Carroll School of Management
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582
(56,374)
Abstract:
idiosyncratic risk, hedge funds
CEPR Discussion Paper No. DP8307
Number of pages: 49
Posted: 18 Apr 2011
Bentley University - Department of Finance, London School of Economics & Political Science (LSE) and Boston College - Carroll School of Management
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5
(764,731)
Idiosyncratic Return Volatility in the Cross-Section of Stocks
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Abstract:
Hedge funds, idiosyncratic risk, limits to arbitrage
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540
( 62,594)
Citation
1
Number of pages: 20
Posted: 31 Aug 2008
Boston College - Carroll School of Management and Brandeis University
Downloads
540
(61,902)
Abstract:
limits to arbitrage, liquidity, analyst disagreement
Journal of Investment Management (JOIM), First Quarter 2010
Posted: 13 Mar 2010
Last Revised: 03 Jun 2010
Boston College - Carroll School of Management and Brandeis University
Abstract:
Number of pages: 32
Posted: 05 Mar 2010
Last Revised: 17 Mar 2010
EDHEC Business School and Boston College - Carroll School of Management
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525
(64,795)
Abstract:
Information, Media coverage, Hedge funds, Fund flows, Asset pricing
Northwestern University Department of Finance Working Paper No. 277
Number of pages: 32
Posted: 05 Apr 2002
Ronnie Sadka
Boston College - Carroll School of Management
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494
(69,947)
Abstract:
Momentum strategies, Transaction costs, Price impact, Market efficiency, January effect
Columbia Business School Research Paper No. 11-1, Management Science, Forthcoming.
Number of pages: 45
Posted: 04 Mar 2011
Last Revised: 31 Oct 2018
Ohio State University (OSU) - Department of Accounting & Management Information Systems, University of Texas at Dallas and Boston College - Carroll School of Management
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493
(70,117)
Abstract:
stock prices, aggregate earnings, illiquidity, expected returns, expected earnings
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462
( 75,902)
Citation
13
Number of pages: 52
Posted: 01 Sep 2016
National Bureau of Economic Research (NBER), Bentley University - Department of Finance, EDHEC Business School and Boston College - Carroll School of Management
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444
(78,813)
Abstract:
Earnings Announcement, Insider Trading, Private Information
NBER Working Paper No. w22366
Number of pages: 55
Posted: 27 Jun 2016
Last Revised: 11 Feb 2021
National Bureau of Economic Research (NBER), Bentley University - Department of Finance, EDHEC Business School and Boston College - Carroll School of Management
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18
(658,202)
Abstract:
Number of pages: 45
Posted: 04 Nov 2009
Last Revised: 16 Mar 2010
EDHEC Business School and Boston College - Carroll School of Management
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454
(77,513)
Abstract:
Hedge funds, Fund flows, Smart money, Asset pricing, Flow impact
Number of pages: 39
Posted: 29 Apr 2015
Last Revised: 03 May 2017
Bentley University - Department of Finance and Boston College - Carroll School of Management
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430
(82,631)
Abstract:
Number of pages: 51
Posted: 29 Nov 2016
Last Revised: 30 Aug 2018
University of Connecticut - Department of Finance, Boston College - Carroll School of Management and Pennsylvania State University
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411
(87,097)
Abstract:
Option returns; Investor inattention
EFA 2006 Zurich Meetings
Number of pages: 43
Posted: 07 Dec 2005
Rice University, Boston College - Carroll School of Management and University of Delaware - Alfred Lerner College of Business and Economics
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404
(88,873)
Abstract:
Short-sale constraints, Liquidity, Limits to arbitrage, Asset-pricing anomalies
8th Annual Texas Finance Festival
Number of pages: 43
Posted: 07 Apr 2006
Rice University, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
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300
(123,855)
Abstract:
Short-sale constraints, Liquidity, Limits to arbitrage, Asset-pricing anomalies
Number of pages: 55
Posted: 03 Jul 2015
Last Revised: 04 Jul 2015
Boston College - Carroll School of Management and Boston College - Carroll School of Management
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259
(144,220)
Abstract:
Idiosyncratic Crash Risk; Equity Incentives; Executive Compensation; Implied Volatility Smirk; Risk-Taking Incentives; Transparency
Journal of Financial and Quantitative Analysis (JFQA)
Number of pages: 66
Posted: 12 Nov 2016
Last Revised: 13 Jul 2020
York University - Schulich School of Business, Bentley University - Department of Finance, EDHEC Business School and Boston College - Carroll School of Management
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214
(173,372)
Abstract:
Activism, Hedge Fund, Investor Protection
Number of pages: 51
Posted: 04 Sep 2015
Last Revised: 20 Nov 2015
Bentley University - Department of Finance, EDHEC Business School and Boston College - Carroll School of Management
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130
(265,034)
Abstract:
Activism, Hedge Fund, Investor Protection
Number of pages: 24
Posted: 02 Nov 2012
University of Washington - Michael G. Foster School of Business, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
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98
(323,128)
Abstract:
Systematic risk, Systematic liquidity, Diversi
Journal of Portfolio Management, Vol. 45, No. 1, (Fall 2018): 96-105.
Posted: 29 Dec 2016
Last Revised: 02 Nov 2018
University of Washington - Michael G. Foster School of Business,
Northwestern University , University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Abstract:
Investor Horizon, Investor Clientele, Asset Pricing Model, Risk Factors
Financial Analysts Journal, Vol. 66, No. 1, 2010
Posted: 18 Feb 2010
University of Washington - Michael G. Foster School of Business, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Abstract:
Equity Investments, Investment Industry, Historical Trends, Portfolio Management, Portfolio Construction, Rebalancing, and Implementation, Risk Measurement and Management, Equity Portfolios
