Vincent Bogousslavsky

Boston College - Department of Finance

Carroll School of Management

140 Commonwealth Avenue

Chestnut Hill, MA 02467-3808

United States

SCHOLARLY PAPERS

8

DOWNLOADS
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Top 7,142

in Total Papers Downloads

9,285

SSRN CITATIONS
Rank 24,319

SSRN RANKINGS

Top 24,319

in Total Papers Citations

29

CROSSREF CITATIONS

10

Scholarly Papers (8)

1.

Who Trades at the Close? Implications for Price Discovery and Liquidity

Number of pages: 59 Posted: 25 Nov 2019 Last Revised: 26 Oct 2022
Vincent Bogousslavsky and Dmitriy Muravyev
Boston College - Department of Finance and Michigan State University - Department of Finance
Downloads 1,980 (12,101)
Citation 7

Abstract:

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Closing auction, passive investing, price pressure, liquidity

2.

The Cross-Section of Intraday and Overnight Returns

Number of pages: 49 Posted: 16 Nov 2016 Last Revised: 16 Feb 2021
Vincent Bogousslavsky
Boston College - Department of Finance
Downloads 1,913 (12,763)
Citation 8

Abstract:

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Intraday Returns, Overnight Returns, Asset Pricing Anomalies, Mispricing

3.

Liquidity, Volume, and Order Imbalance Volatility

Journal of Finance, Forthcoming
Number of pages: 86 Posted: 07 Mar 2019 Last Revised: 08 Feb 2022
Vincent Bogousslavsky and Pierre Collin-Dufresne
Boston College - Department of Finance and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,200 (25,890)
Citation 4

Abstract:

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liquidity, volume, volatility, order imbalance, inventory risk, adverse selection

4.

Informed Trading Intensity

Number of pages: 72 Posted: 15 Jun 2021 Last Revised: 06 Feb 2022
Vincent Bogousslavsky, Vyacheslav Fos and Dmitriy Muravyev
Boston College - Department of Finance, Boston College - Department of Finance and Michigan State University - Department of Finance
Downloads 1,168 (26,944)

Abstract:

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Informed trading, machine learning, adverse selection, stock returns, intraday data

5.

Infrequent Rebalancing, Return Autocorrelation, and Seasonality

Journal of Finance, Volume 71, Issue 6, December 2016, Pages 2967-3006
Number of pages: 45 Posted: 11 Aug 2013 Last Revised: 09 Mar 2017
Vincent Bogousslavsky
Boston College - Department of Finance
Downloads 1,045 (31,612)
Citation 23

Abstract:

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infrequent rebalancing, return autocorrelation, return seasonality, dynamic equilibrium

6.

What Drives Momentum and Reversal? Evidence from Day and Night Signals

Number of pages: 54 Posted: 29 Apr 2022 Last Revised: 12 Sep 2022
Yashar H. Barardehi, Vincent Bogousslavsky and Dmitriy Muravyev
Chapman University - The George L. Argyros School of Business & Economics, Boston College - Department of Finance and Michigan State University - Department of Finance
Downloads 878 (40,417)

Abstract:

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Momentum, Reversal, Intraday, Overnight, Underreaction

7.

Seasonalities in Anomalies

Number of pages: 39 Posted: 03 Feb 2015 Last Revised: 08 Jul 2015
Vincent Bogousslavsky
Boston College - Department of Finance
Downloads 594 (67,614)
Citation 3

Abstract:

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return seasonality, asset pricing anomalies, January effect

8.

Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch

Swiss Finance Institute Research Paper No. 18-41
Number of pages: 62 Posted: 03 Jun 2015 Last Revised: 29 Jan 2020
Vincent Bogousslavsky, Pierre Collin-Dufresne and Mehmet Saglam
Boston College - Department of Finance, Ecole Polytechnique Fédérale de Lausanne and University of Cincinnati - Department of Finance - Real Estate
Downloads 507 (82,240)
Citation 1

Abstract:

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Liquidity, Algorithmic Trading, Institutional Trading Costs, Slow-Moving Capital, Market Making