Dominik Rösch

State University of New York at Buffalo - School of Management

Assistant Professor

Jacobs Management Center

Buffalo, NY 14222

United States

http://dominikroesch.com

Erasmus University - Rotterdam School of Management

Irregular Staff

P.O. Box 1738

Rotterdam, 3000 DR

Netherlands

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 14,948

SSRN RANKINGS

Top 14,948

in Total Papers Downloads

4,202

SSRN CITATIONS
Rank 20,950

SSRN RANKINGS

Top 20,950

in Total Papers Citations

35

CROSSREF CITATIONS

14

Scholarly Papers (11)

1.

Asset Pricing: A Tale of Night and Day

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 65 Posted: 15 Feb 2018 Last Revised: 03 Dec 2019
Terrence Hendershott, Dmitry Livdan and Dominik Rösch
University of California, Berkeley - Haas School of Business, University of California, Berkeley and State University of New York at Buffalo - School of Management
Downloads 879 (34,002)
Citation 18

Abstract:

Loading...

2.

Does Floor Trading Matter?

Number of pages: 68 Posted: 26 May 2020 Last Revised: 26 Jan 2021
University of Utah - David Eccles School of Business, University of Utah - Department of Finance and State University of New York at Buffalo - School of Management
Downloads 608 (56,007)
Citation 2

Abstract:

Loading...

Algorithmic trading, DMM, human trading, floor trading, liquidity, market making, market quality, price efficiency

3.

The Dynamics of Market Efficiency

Review of Financial Studies, Forthcoming
Number of pages: 69 Posted: 21 May 2012 Last Revised: 30 Jun 2016
State University of New York at Buffalo - School of Management, University of California, Los Angeles (UCLA) - Finance Area and Erasmus University - Rotterdam School of Management
Downloads 539 (64,914)
Citation 11

Abstract:

Loading...

market efficiency, co-movement, funding liquidity, hedge funds, algorithmic trading

4.

The Impact of Arbitrage on Market Liquidity

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 108 Posted: 20 Jul 2013 Last Revised: 08 Oct 2020
Dominik Rösch
State University of New York at Buffalo - School of Management
Downloads 472 (76,552)
Citation 1

Abstract:

Loading...

arbitrage, liquidity, efficiency, fragmentation, market integration

5.

Tick Size, Liquidity for Small and Large Orders, and Price Informativeness: Evidence from the Tick Size Pilot Program

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 85 Posted: 04 Aug 2018 Last Revised: 08 Aug 2019
Kee H. Chung, Albert J. Lee and Dominik Rösch
State University of New York at Buffalo - School of Management, Truman State University - Department of Business Administration and State University of New York at Buffalo - School of Management
Downloads 458 (79,378)
Citation 10

Abstract:

Loading...

Tick size; Pilot program; Pricing efficiency; Liquidity spillover

6.

How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective

forthcoming in Management Science
Number of pages: 66 Posted: 04 Aug 2014 Last Revised: 01 Mar 2021
Erasmus University Rotterdam (EUR) - Finance, California Institute of Technology, State University of New York at Buffalo - School of Management, Erasmus University - Rotterdam School of Management and Norwegian School of Economics (NHH) - Department of Finance
Downloads 423 (87,133)
Citation 4

Abstract:

Loading...

Equity markets, jumps, financial crises, contagion, liquidity, trading activity

A Portfolio Optimization Approach to Identifying Private Information

Number of pages: 46 Posted: 01 Dec 2014 Last Revised: 08 Oct 2018
Dion Bongaerts, Dominik Rösch and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Finance, State University of New York at Buffalo - School of Management and Erasmus University - Rotterdam School of Management
Downloads 325 (116,709)
Citation 1

Abstract:

Loading...

XPIN, informed trading, private information, portfolio optimization model

Cross-Sectional Identification of Informed Trading

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 44 Posted: 01 Feb 2016
Dion Bongaerts, Dominik Rösch and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Finance, State University of New York at Buffalo - School of Management and Erasmus University - Rotterdam School of Management
Downloads 83 (372,704)

Abstract:

Loading...

XPIN, informed trading, private information, portfolio optimization model

8.

Competition and Exchange Data Fees

Number of pages: 54 Posted: 02 Nov 2020 Last Revised: 02 Aug 2021
Jonathan Brogaard, James Brugler and Dominik Rösch
University of Utah - David Eccles School of Business, University of Melbourne - Department of Finance and State University of New York at Buffalo - School of Management
Downloads 140 (257,992)

Abstract:

Loading...

Data Fees, Exchange Competition

9.

Investor short-termism and real investment

Journal of Financial Markets, Forthcoming
Number of pages: 56 Posted: 13 Dec 2019 Last Revised: 09 Apr 2021
State University of New York at Buffalo - School of Management, University of California, Los Angeles (UCLA) - Finance Area and Erasmus University - Rotterdam School of Management
Downloads 135 (265,514)

Abstract:

Loading...

investor short-termism, market liquidity; real investment; investment-to-price sensitivity

10.

Day and Night Returns for Chinese Stocks

Number of pages: 55 Posted: 05 May 2021 Last Revised: 23 Jun 2021
Chaoqun Ma, Ru Xiao and Dominik Rösch
Hunan University - Business School, Hunan University - Business School and State University of New York at Buffalo - School of Management
Downloads 96 (337,376)

Abstract:

Loading...

Chinese Stocks, Day Trading, Day-Night, Illiquidity Premium

11.

Transparency and Liquidity in a Multi-Market Setting

Number of pages: 41 Posted: 28 May 2021
Pouyan Ghazizadeh, Erik Peek and Dominik Rösch
Amsterdam Business School - University of Amsterdam, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and State University of New York at Buffalo - School of Management
Downloads 44 (504,146)

Abstract:

Loading...

transparency, liquidity, trading volume, American Depository Receipts