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

41

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782

CROSSREF CITATIONS

280

Scholarly Papers (41)

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1.

Intraday Patterns in the Cross-Section of Stock Returns

Downloads 5,582 ( 1,987)
Citation 104

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 4,723 (2,650)
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 859 (38,947)
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 3,892 (3,722)
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 3,845 ( 3,801)

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 3,845 (3,738)
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 2,421 (8,184)
Citation 1

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5.

Liquidity Level or Liquidity Risk? Evidence from the Financial Crisis

Downloads 1,932 ( 11,797)
Citation 3

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 1,932 (11,567)
Citation 3

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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

6.

Liquidity and the Post-Earnings-Announcement Drift

Downloads 1,876 ( 12,380)
Citation 44

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 1,488 (17,420)
Citation 47

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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 388 (105,984)

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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

7.

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

Downloads 1,732 ( 14,062)
Citation 48

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 1,634 (15,138)
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 98 (366,793)
Citation 51

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Liquidity risk, Hedge funds, Price impact, Asset pricing

8.

Are You Trading Predictably?

Downloads 1,622 ( 15,572)

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 1,622 (15,301)

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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

9.

Pricing the Commonality Across Alternative Measures of Liquidity

Downloads 1,591 ( 16,047)
Citation 42

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 1,591 (15,762)
Citation 42

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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

10.

Aggregate Earnings and Asset Prices

Downloads 1,472 ( 18,036)
Citation 30

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 1,371 (19,696)
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 101 (359,623)
Citation 30

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

11.

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 1,432 (18,800)
Citation 14

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

12.

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 1,337 (20,831)
Citation 1

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

13.

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

Downloads 1,277 ( 22,309)

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 781 (44,187)

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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 496 (79,347)

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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 1,200 (24,494)
Citation 5

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Media coverage, Hedge funds, Financial information, Asset pricing

15.

Hedge-Fund Performance and Liquidity Risk

Downloads 1,190 ( 24,785)

Hedge-Fund Performance and Liquidity Risk

Number of pages: 18 Posted: 27 Aug 2011
Ronnie Sadka
Boston College - Carroll School of Management
Downloads 1,190 (24,375)
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

16.

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 1,181 (25,024)

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Text analysis, Competition, Asset pricing

17.

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 1,155 (25,882)
Citation 1

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

18.

Liquidity Risk and Mutual Fund Performance

Management Science, Forthcoming, AEA 2012 Chicago Meetings Paper
Number of pages: 54 Posted: 15 Mar 2011 Last Revised: 20 Jan 2019
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 1,140 (26,356)
Citation 5

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Liquidity risk, Finanical Institutions, Price impact, Asset pricing

19.

Horizon Pricing

Downloads 1,029 ( 30,546)

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 1,029 (30,111)
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 892 ( 37,396)
Citation 42

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 817 (41,643)
Citation 4

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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 75 (431,949)
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 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 872 (38,600)
Citation 7

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

22.

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 835 (40,986)

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

23.

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 784 (44,563)
Citation 15

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systematic liquidity, systematic risk, institutional investors, diversification

24.

Do Hedge Funds Reduce Idiosyncratic Risk?

Downloads 608 ( 62,179)
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 603 (62,051)
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 5 (861,915)
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Hedge funds, idiosyncratic risk, limits to arbitrage

25.

Mispricing and Costly Arbitrage

Downloads 548 ( 70,885)
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 548 (70,077)
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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26.

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 537 (72,696)
Citation 2

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

27.

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

Downloads 508 ( 77,810)
Citation 11

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 487 (81,149)

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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 2022
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 21 (708,786)
Citation 7

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28.

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
Ohio State University (OSU) - Department of Accounting & Management Information Systems, University of Texas at Dallas and Boston College - Carroll School of Management
Downloads 508 (77,810)

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

29.

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 497 (79,937)
Citation 14

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

30.

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 482 (82,927)
Citation 1

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Option returns; Investor inattention

31.

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 471 (85,299)
Citation 5

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

32.

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 450 (89,966)
Citation 2

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33.

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 415 (98,862)

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Activism, Hedge Fund, Investor Protection

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, Boston College - Carroll School of Management and University of Delaware - Alfred Lerner College of Business and Economics
Downloads 410 (100,282)
Citation 10

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

35.

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, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 307 (137,903)
Citation 4

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

36.

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 273 (155,518)
Citation 2

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

37.

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 133 (293,900)

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Activism, Hedge Fund, Investor Protection

38.

The Rising Importance of Aggregate Earnings

Georgetown McDonough School of Business Research Paper No. 4068891
Number of pages: 54 Posted: 08 Apr 2022
Gil Sadka, Ronnie Sadka and Ayung Tseng
University of Texas at Dallas, Boston College - Carroll School of Management and Georgetown University - McDonough School of Business
Downloads 105 (347,876)

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firm-specific idiosyncratic earnings, systematic aggregate earnings, firm stock returns, earnings response coefficient, firm-level time-series regression, production network, input-output

39.

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 99 (361,633)
Citation 3

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Systematic risk, Systematic liquidity, Diversi

40.

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

41.

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: 412
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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 412

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