Ronnie Sadka

Boston College - Carroll School of Management

Professor of Finance

140 Commonwealth Avenue

Chestnut Hill, MA 02467

United States

  • Boston College - Carroll School of Management

SCHOLARLY PAPERS

44

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54,482

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Top 929

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828

Scholarly Papers (44)

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1.

Intraday Patterns in the Cross-Section of Stock Returns

Downloads 6,793 ( 2,319)
Citation 97

Intraday Patterns in the Cross-Section of Stock Returns

Number of pages: 59 Posted: 17 Jun 2009 Last Revised: 27 May 2010
Steven L. Heston, Robert A. Korajczyk and Ronnie Sadka
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 5,777 (3,033)
Citation 10

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Return periodicity, Market Microstructure

Intraday Patterns in the Cross-Section of Stock Returns

Journal of Finance, 2010, Vol. 65, No. 4, pp. 1369-1407
Number of pages: 59 Posted: 21 Nov 2009 Last Revised: 14 Nov 2019
Steven L. Heston, Robert A. Korajczyk and Ronnie Sadka
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 1,016 (47,215)
Citation 87

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Return periodicity, Market Microstructure

2.

Momentum and Post-Earnings-Announcement Drift Anomalies: The Role of Liquidity Risk

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
Downloads 4,228 (5,247)
Citation 224

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Liquidity risk, Transaction costs, Price impact, Asset pricing, Momentum trading

3.

Are Momentum Profits Robust to Trading Costs?

Downloads 3,871 ( 6,043)
Citation 86

Are Momentum Profits Robust to Trading Costs?

Northwestern University Department of Finance Working Paper No. 289; AFA 2003 Washington, DC Meetings
Number of pages: 43 Posted: 28 Mar 2002
Robert A. Korajczyk and Ronnie Sadka
Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 3,871 (5,940)
Citation 86

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Momentum strategies, Transaction costs, Price impact, Optimal trading, Market efficiency

Are Momentum Profits Robust to Trading Costs?

Journal of Finance, Vol. 59, No. 3, pp. 1039-1082, June 2004
Posted: 29 Dec 2004
Robert A. Korajczyk and Ronnie Sadka
Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management

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Momentum strategies, transaction costs, price impact, optimal trading, market efficiency

4.

Seasonality in the Cross-Section of Expected Stock Returns

AFA 2006 Boston Meetings Paper
Number of pages: 37 Posted: 20 Mar 2005
Steven L. Heston and Ronnie Sadka
University of Maryland - Department of Finance and Boston College - Carroll School of Management
Downloads 2,927 (9,471)
Citation 1

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5.

Liquidity and the Post-Earnings-Announcement Drift

Downloads 2,137 (15,734)
Citation 58

Liquidity and the Post-Earnings-Announcement Drift

AFA 2008 New Orleans Meetings Paper
Number of pages: 35 Posted: 20 Mar 2007 Last Revised: 24 Aug 2011
Tarun Chordia, Ronnie Sadka, Amit Goyal, Gil Sadka and Lakshmanan Shivakumar
Emory University - Department of Finance, Boston College - Carroll School of Management, University of Lausanne, University of Texas at Dallas and London Business School
Downloads 1,673 (22,677)
Citation 58

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G11, G12, C11

Liquidity and the Post-Earnings-Announcement Drift

Financial Analysts Journal, Forthcoming
Number of pages: 36 Posted: 18 May 2009
Tarun Chordia, Amit Goyal, Gil Sadka, Ronnie Sadka and Lakshmanan Shivakumar
Emory University - Department of Finance, University of Lausanne, University of Texas at Dallas, Boston College - Carroll School of Management and London Business School
Downloads 464 (131,044)

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Research Sources, Equity Investments, Technical Analysis, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies

Liquidity and the Post-Earnings-Announcement Drift

Financial Analysts Journal, Vol. 65, No. 4, 2009
Posted: 09 Aug 2009
Tarun Chordia, Amit Goyal, Gil Sadka, Ronnie Sadka and Lakshmanan Shivakumar
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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Equity Investments, Research Sources, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies

6.

Liquidity Level or Liquidity Risk? Evidence from the Financial Crisis

Downloads 2,038 (16,955)
Citation 8

Liquidity Level or Liquidity Risk? Evidence from the Financial Crisis

Number of pages: 19 Posted: 09 Jun 2010 Last Revised: 01 Feb 2013
Xiaoxia Lou and Ronnie Sadka
University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 2,038 (16,635)
Citation 8

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Liquidity risk, Liquidity Level, Asset pricing, Risk Management, Financial Crisis

Liquidity Level or Liquidity Risk? Evidence from the Financial Crisis

Financial Analysts Journal, Vol. 67, No. 3, 2011
Posted: 11 Jun 2011
Xiaoxia Lou and Ronnie Sadka
University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

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equity investments, portfolio management, equity portfolio management strategies, risk management, portfolio risk management, risk management strategies

7.

Liquidity Risk and the Cross-Section of Hedge-Fund Returns

Downloads 1,870 (19,458)
Citation 53

Liquidity Risk and the Cross-Section of Hedge-Fund Returns

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
Downloads 1,723 (21,659)
Citation 2

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Liquidity risk, Hedge funds, Price impact, Asset pricing

Liquidity Risk and the Cross-Section of Hedge-Fund Returns

FDIC Working Paper No. 2010-10
Number of pages: 35 Posted: 09 Jan 2012
Ronnie Sadka
Boston College - Carroll School of Management
Downloads 147 (422,959)
Citation 51

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Liquidity risk, Hedge funds, Price impact, Asset pricing

8.

Flattening the Illiquidity Curve: Retail Trading During the COVID-19 Lockdown

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 53 Posted: 05 Aug 2020 Last Revised: 17 May 2021
Gideon Ozik, Ronnie Sadka and Siyi Shen
EDHEC Business School, Boston College - Carroll School of Management and The Chinese University of Hong Kong, Shenzhen - School of Management and Economics
Downloads 1,817 (20,348)
Citation 1

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Illiquidity curve, COVID-19, retail investors, fintech, media attention

9.

Are You Trading Predictably?

Downloads 1,787 (20,877)

Are You Trading Predictably?

Number of pages: 19 Posted: 05 Jun 2010 Last Revised: 05 Sep 2010
Steven L. Heston, Robert A. Korajczyk, Ronnie Sadka and Lewis D. Thorson
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management, Boston College - Carroll School of Management and University of Washington - Foster School of Business
Downloads 1,787 (20,505)

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Trading, Microstructure, Periodicity, Anomaly

Are You Trading Predictably?

Financial Analysts Journal, Vol. 67, No. 2, 2011
Posted: 13 Apr 2011
Steven L. Heston, Robert A. Korajczyk, Ronnie Sadka and Lewis D. Thorson
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management, Boston College - Carroll School of Management and University of Washington - Foster School of Business

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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

10.

Competition Links and Stock Returns

Number of pages: 41 Posted: 23 Oct 2019
Assaf Eisdorfer, Kenneth Froot, Gideon Ozik and Ronnie Sadka
University of Connecticut - Department of Finance, Harvard University Graduate School of Business, EDHEC Business School and Boston College - Carroll School of Management
Downloads 1,768 (21,214)

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Text analysis, Competition, Asset pricing

11.

Pricing the Commonality Across Alternative Measures of Liquidity

Downloads 1,742 (21,714)
Citation 68

Pricing the Commonality Across Alternative Measures of Liquidity

Number of pages: 41 Posted: 11 May 2006
Robert A. Korajczyk and Ronnie Sadka
Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 1,742 (21,323)
Citation 68

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Liquidity, Risk Premium

Pricing the Commonality Across Alternative Measures of Liquidity

Journal of Financial Economics (JFE), Vol. 87, No. 1, 2008
Posted: 15 Jan 2008
Robert A. Korajczyk and Ronnie Sadka
Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management

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Liquidity, Risk Premium

12.

Analyst Disagreement, Mispricing and Liquidity

Journal of Finance, Forthcoming, EFA 2005 Moscow Meetings Paper
Number of pages: 42 Posted: 07 Jul 2004
Ronnie Sadka and Anna Scherbina
Boston College - Carroll School of Management and Brandeis University
Downloads 1,569 (25,458)
Citation 14

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Analyst disagreement, mispricing, liquidity, Kyle lambda, limits of arbitrage

13.

Aggregate Earnings and Asset Prices

Downloads 1,564 (25,596)
Citation 56

Aggregate Earnings and Asset Prices

Journal of Accounting Research, Vol. 47, No. 5, 2009
Number of pages: 40 Posted: 20 Mar 2007 Last Revised: 24 Aug 2011
Ray Ball, Gil Sadka and Ronnie Sadka
University of Chicago - Booth School of Business, University of Texas at Dallas and Boston College - Carroll School of Management
Downloads 1,423 (28,923)
Citation 2

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Aggregate earnings, aggregate returns, excess volatility, anomalies

Aggregate Earnings and Asset Prices

Columbia Business School Research Paper
Number of pages: 41 Posted: 24 Aug 2011 Last Revised: 30 Aug 2011
Ray Ball, Gil Sadka and Ronnie Sadka
University of Chicago - Booth School of Business, University of Texas at Dallas and Boston College - Carroll School of Management
Downloads 141 (437,587)
Citation 54

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Earnings factors, aggregate returns, SUE, market-to-book, systematic risk, cash-flow news, asset pricing

14.

Media and Investment Management

Number of pages: 32 Posted: 04 Jul 2010 Last Revised: 26 Mar 2012
Gideon Ozik and Ronnie Sadka
EDHEC Business School and Boston College - Carroll School of Management
Downloads 1,417 (29,635)
Citation 5

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Media coverage, Hedge funds, Financial information, Asset pricing

15.

Common Patterns of Predictability in the Cross-Section of International Stock Returns

Downloads 1,396 (30,302)

Common Patterns of Predictability in the Cross-Section of International Stock Returns

Number of pages: 35 Posted: 20 Mar 2008
Steven L. Heston and Ronnie Sadka
University of Maryland - Department of Finance and Boston College - Carroll School of Management
Downloads 844 (61,112)

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International Stock Returns, Market Integration, Behavioral Finance

Common Patterns of Predictability in the Cross-Section of International Stock Returns

Number of pages: 31 Posted: 20 Mar 2007
Steven L. Heston and Ronnie Sadka
University of Maryland - Department of Finance and Boston College - Carroll School of Management
Downloads 552 (105,927)

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16.

Liquidity Risk and Mutual Fund Performance

AEA 2012 Chicago Meetings Paper
Number of pages: 54 Posted: 15 Mar 2011 Last Revised: 19 Dec 2022
Xi Dong, Shu Feng and Ronnie Sadka
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
Downloads 1,287 (34,198)
Citation 19

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Liquidity risk, Finanical institutions, Price impact, Asset pricing

17.

Hedge-Fund Performance and Liquidity Risk

Downloads 1,271 (34,743)
Citation 7

Hedge-Fund Performance and Liquidity Risk

Number of pages: 18 Posted: 27 Aug 2011
Ronnie Sadka
Boston College - Carroll School of Management
Downloads 1,271 (34,148)
Citation 7

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hedge funds, liquidity risk, share restriction, manager selection, risk management

Hedge-Fund Performance and Liquidity Risk

Journal of Investment Management (JOIM), Second Quarter 2012
Posted: 02 Jun 2012
Ronnie Sadka
Boston College - Carroll School of Management

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Hedge funds, liquidity risk, share restriction, manager selection, risk management

18.

Liquidity Risk and Accounting Information

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
Downloads 1,214 (37,096)
Citation 1

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Liquidity Risk, Trasparency, Information Quality, Asset Pricing, Financial Crisis

19.

Horizon Pricing

Downloads 1,160 (39,705)
Citation 19

Horizon Pricing

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
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 1,160 (39,063)
Citation 19

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asset pricing model, investment horizon, factors, characteristics

Horizon Pricing

Posted: 14 Jul 2012 Last Revised: 06 Mar 2013
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

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asset pricing model, investment horizon, factors, characteristics

20.

Predictability and the Earnings-Returns Relation

Downloads 971 (51,144)
Citation 7

Predictability and the Earnings-Returns Relation

Number of pages: 44 Posted: 05 Mar 2007 Last Revised: 24 Aug 2011
Gil Sadka and Ronnie Sadka
University of Texas at Dallas and Boston College - Carroll School of Management
Downloads 874 (58,214)
Citation 5

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Valuation, profitability, predictability, asset pricing

Predictability and the Earnings-Returns Relation

Journal of Financial Economics, Vol. 94, No. 1, pp. 81-106, 2008
Number of pages: 44 Posted: 20 Oct 2011
Gil Sadka and Ronnie Sadka
University of Texas at Dallas and Boston College - Carroll School of Management
Downloads 97 (585,332)
Citation 2

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Predictability and the Earnings-Returns Relation

Journal of Financial Economics, Forthcoming
Posted: 26 Nov 2008
Gil Sadka and Ronnie Sadka
University of Texas at Dallas and Boston College - Carroll School of Management

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Valuation, profitability, predictability, asset pricing

21.

The Periodic Structure of Returns to Buying Winners and Selling Losers

Number of pages: 35 Posted: 13 Jan 2004
Steven L. Heston and Ronnie Sadka
University of Maryland - Department of Finance and Boston College - Carroll School of Management
Downloads 940 (53,486)

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Momentum, long-run reversal, periodic structure of stock returns

22.

The Post-Earnings-Announcement Drift and Liquidity Risk

Number of pages: 41 Posted: 19 Jan 2004
Gil Sadka and Ronnie Sadka
University of Texas at Dallas and Boston College - Carroll School of Management
Downloads 912 (55,759)
Citation 7

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Post-Earnings-Announcement Drift, Liquidity Risk, Market Efficiency, Asset Pricing, SUE, Information Uncertainty

23.

Narrative Momentum

Number of pages: 69 Posted: 13 Aug 2024 Last Revised: 11 Feb 2025
Hojoon Lee, Xiaoxia Lou, Gideon Ozik and Ronnie Sadka
Boston College - Department of Finance, University of Delaware - Alfred Lerner College of Business and Economics, EDHEC Business School and Boston College - Carroll School of Management
Downloads 882 (58,378)

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Economic narratives, Investor underreaction, Media coverage, Analyst forecasts

24.

The Divergence of Liquidity Commonality in the Cross-Section of Stocks

Number of pages: 52 Posted: 09 Nov 2006 Last Revised: 19 May 2018
Avraham Kamara, Xiaoxia Lou and Ronnie Sadka
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
Downloads 852 (61,233)
Citation 40

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systematic liquidity, systematic risk, institutional investors, diversification

25.

Maturity Driven Mispricing of Options

Number of pages: 51 Posted: 29 Nov 2016 Last Revised: 30 Aug 2018
Assaf Eisdorfer, Ronnie Sadka and Alexei Zhdanov
University of Connecticut - Department of Finance, Boston College - Carroll School of Management and Pennsylvania State University
Downloads 708 (78,191)
Citation 1

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Option returns; Investor inattention

26.

What Do Measures of Real-Time Corporate Sales Tell Us About Earnings Surprises and Post-Announcement Returns?

Downloads 702 (79,071)
Citation 7

What Do Measures of Real-Time Corporate Sales Tell Us About Earnings Surprises and Post-Announcement Returns?

Number of pages: 52 Posted: 01 Sep 2016
Kenneth Froot, Namho Kang, Gideon Ozik and Ronnie Sadka
Harvard University Graduate School of Business, Bentley University - Department of Finance, EDHEC Business School and Boston College - Carroll School of Management
Downloads 643 (87,251)

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Earnings Announcement, Insider Trading, Private Information

What Do Measures of Real-Time Corporate Sales Tell Us About Earnings Surprises and Post-Announcement Returns?

NBER Working Paper No. w22366
Number of pages: 55 Posted: 27 Jun 2016 Last Revised: 11 Feb 2023
Kenneth Froot, Namho Kang, Gideon Ozik and Ronnie Sadka
Harvard University Graduate School of Business, Bentley University - Department of Finance, EDHEC Business School and Boston College - Carroll School of Management
Downloads 59 (782,397)
Citation 7

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27.

Do Hedge Funds Reduce Idiosyncratic Risk?

Downloads 691 (80,631)
Citation 3

Do Hedge Funds Reduce Idiosyncratic Risk?

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 82 Posted: 11 Mar 2011 Last Revised: 14 May 2013
Namho Kang, Peter Kondor, Peter Kondor and Ronnie Sadka
Bentley University - Department of Finance, London School of Economics & Political Science (LSE)Central European University (CEU) and Boston College - Carroll School of Management
Downloads 684 (80,512)
Citation 3

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idiosyncratic risk, hedge funds

Idiosyncratic Return Volatility in the Cross-Section of Stocks

CEPR Discussion Paper No. DP8307
Number of pages: 49 Posted: 18 Apr 2011
Namho Kang, Peter Kondor, Peter Kondor and Ronnie Sadka
Bentley University - Department of Finance, London School of Economics & Political Science (LSE)Central European University (CEU) and Boston College - Carroll School of Management
Downloads 7 (1,334,977)
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Hedge funds, idiosyncratic risk, limits to arbitrage

28.

Smart Money or Smart about Money? Evidence from Hedge Funds

Number of pages: 45 Posted: 04 Nov 2009 Last Revised: 16 Mar 2010
Gideon Ozik and Ronnie Sadka
EDHEC Business School and Boston College - Carroll School of Management
Downloads 656 (86,210)
Citation 5

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Hedge funds, Fund flows, Smart money, Asset pricing, Flow impact

29.

Illiquidity and Earnings Predictability

Columbia Business School Research Paper No. 11-1, Management Science, Forthcoming.
Number of pages: 45 Posted: 04 Mar 2011 Last Revised: 31 Oct 2018
Jon N. Kerr, Gil Sadka and Ronnie Sadka
Brigham Young University - School of Accountancy, University of Texas at Dallas and Boston College - Carroll School of Management
Downloads 640 (89,168)

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stock prices, aggregate earnings, illiquidity, expected returns, expected earnings

30.

Mispricing and Costly Arbitrage

Downloads 602 (96,216)
Citation 1

Mispricing and Costly Arbitrage

Number of pages: 20 Posted: 31 Aug 2008
Ronnie Sadka and Anna Scherbina
Boston College - Carroll School of Management and Brandeis University
Downloads 602 (94,931)
Citation 1

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limits to arbitrage, liquidity, analyst disagreement

Mispricing and Costly Arbitrage

Journal of Investment Management (JOIM), First Quarter 2010
Posted: 13 Mar 2010 Last Revised: 03 Jun 2010
Ronnie Sadka and Anna Scherbina
Boston College - Carroll School of Management and Brandeis University

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31.

The Seasonality of Momemtum: Analysis of Tradability

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
Downloads 597 (97,201)
Citation 14

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Momentum strategies, Transaction costs, Price impact, Market efficiency, January effect

32.

Does Recognition Explain the Media-Coverage Discount? Contrary Evidence from Hedge Funds

Number of pages: 32 Posted: 05 Mar 2010 Last Revised: 17 Mar 2010
Gideon Ozik and Ronnie Sadka
EDHEC Business School and Boston College - Carroll School of Management
Downloads 564 (104,470)
Citation 3

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Information, Media coverage, Hedge funds, Fund flows, Asset pricing

33.

Implied Cost of Capital in the Cross-Section of Stocks

Number of pages: 39 Posted: 29 Apr 2015 Last Revised: 03 May 2017
Namho Kang and Ronnie Sadka
Bentley University - Department of Finance and Boston College - Carroll School of Management
Downloads 512 (117,826)
Citation 2

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34.

Can Liquidity Events Explain the Low-Short-Interest Puzzle? Implications from the Options Market

EFA 2006 Zurich Meetings
Number of pages: 43 Posted: 07 Dec 2005
Jefferson Duarte, Ronnie Sadka and Xiaoxia Lou
Rice University - Jesse H. Jones Graduate School of Business, Boston College - Carroll School of Management and University of Delaware - Alfred Lerner College of Business and Economics
Downloads 456 (135,464)
Citation 10

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Short-sale constraints, Liquidity, Limits to arbitrage, Asset-pricing anomalies

35.

Investor Protection and the Long-Run Performance of Activism

Journal of Financial and Quantitative Analysis (JFQA)
Number of pages: 66 Posted: 12 Nov 2016 Last Revised: 13 Jul 2020
Pouyan Foroughi, Namho Kang, Gideon Ozik and Ronnie Sadka
York University - Schulich School of Business, Bentley University - Department of Finance, EDHEC Business School and Boston College - Carroll School of Management
Downloads 428 (145,899)

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Activism, Hedge Fund, Investor Protection

36.

The Rising Importance of Aggregate Earnings for Asset Prices

Georgetown McDonough School of Business Research Paper No. 4068891
Number of pages: 54 Posted: 08 Apr 2022 Last Revised: 13 Sep 2022
Gil Sadka, Ronnie Sadka and Ayung Tseng
University of Texas at Dallas, Boston College - Carroll School of Management and UC Davis, Graduate School of Management
Downloads 404 (155,955)

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firm-specific earnings, market-wide aggregate earnings, firm stock returns, earnings response coefficient, production network, input-output, earnings timeliness predictability

37.

Can Liquidity Events Explain the Low-Short-Interest Puzzle? Implications from the Options Market*

8th Annual Texas Finance Festival
Number of pages: 43 Posted: 07 Apr 2006
Jefferson Duarte, Xiaoxia Lou and Ronnie Sadka
Rice University - Jesse H. Jones Graduate School of Business, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 354 (182,305)
Citation 6

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Short-sale constraints, Liquidity, Limits to arbitrage, Asset-pricing anomalies

38.

Executive Compensation Convexity and Firm Crash Risk

Number of pages: 55 Posted: 03 Jul 2015 Last Revised: 04 Jul 2015
Musa Amadeus and Ronnie Sadka
Boston College - Carroll School of Management and Boston College - Carroll School of Management
Downloads 343 (187,000)
Citation 2

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Idiosyncratic Crash Risk; Equity Incentives; Executive Compensation; Implied Volatility Smirk; Risk-Taking Incentives; Transparency

39.

Fund Structure, Investor Protection, and the Long-Run Performance of Activism

Number of pages: 51 Posted: 04 Sep 2015 Last Revised: 20 Nov 2015
Namho Kang, Gideon Ozik and Ronnie Sadka
Bentley University - Department of Finance, EDHEC Business School and Boston College - Carroll School of Management
Downloads 161 (391,612)

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Activism, Hedge Fund, Investor Protection

40.

Has the US Stock Market Become More Vulnerable Over Time?

Number of pages: 24 Posted: 02 Nov 2012
Avraham Kamara, Xiaoxia Lou and Ronnie Sadka
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
Downloads 126 (477,837)
Citation 3

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Systematic risk, Systematic liquidity, Diversi

41.

Innocuous Noise? Social Media and Asset Prices

Number of pages: 42 Posted: 05 Apr 2024
Namho Kang, Xiaoxia Lou, Gideon Ozik, Ronnie Sadka and Siyi Shen
Bentley University - Department of Finance, University of Delaware - Alfred Lerner College of Business and Economics, EDHEC Business School, Boston College - Carroll School of Management and The Chinese University of Hong Kong, Shenzhen - School of Management and Economics
Downloads 125 (480,795)

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Reddit, Social Media, Retail trading, Price informativeness, Liquidity, Anomalies

42.

Quantifying Narratives and their Impact on Financial Markets

Journal of Portfolio Management, April 2023, 49 (5) 82 - 95 DOI: 10.3905/jpm.2023.1.472
Posted: 08 Aug 2022 Last Revised: 09 Apr 2024
Rajeev Bhargava, Xiaoxia Lou, Gideon Ozik, Ronnie Sadka and Travis Whitmore
State Street Associates, University of Delaware - Alfred Lerner College of Business and Economics, EDHEC Business School, Boston College - Carroll School of Management and State Street Associates

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Media Sentiment, Investor Behavior, Economic Themes, Narratives, Market Drivers

43.

Short-Horizon Beta or Long-Horizon Alpha?

Journal of Portfolio Management, Vol. 45, No. 1, (Fall 2018): 96-105.
Posted: 29 Dec 2016 Last Revised: 02 Nov 2018
Avraham Kamara, Robert A. Korajczyk, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

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Investor Horizon, Investor Clientele, Asset Pricing Model, Risk Factors

44.

Has the U.S. Stock Market Become More Vulnerable Over Time?

Financial Analysts Journal, Vol. 66, No. 1, 2010
Posted: 18 Feb 2010
Avraham Kamara, Xiaoxia Lou and Ronnie Sadka
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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Equity Investments, Investment Industry, Historical Trends, Portfolio Management, Portfolio Construction, Rebalancing, and Implementation, Risk Measurement and Management, Equity Portfolios

Other Papers (1)

Total Downloads: 438
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1.

Skin in the Game versus Skimming the Game: Governance, Share Restrictions, and Insider Flows

Forthcoming, Journal of Financial and Quantitative Analysis
Number of pages: 51 Posted: 15 Mar 2011 Last Revised: 03 Feb 2014
Gideon Ozik and Ronnie Sadka
EDHEC Business School and Boston College - Carroll School of Management
Downloads 438

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Hedge funds; Governance; Fund flows; Inside information; Asset pricing