Vincent Bogousslavsky

Boston College - Department of Finance

Carroll School of Management

140 Commonwealth Avenue

Chestnut Hill, MA 02467-3808

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 12,159

SSRN RANKINGS

Top 12,159

in Total Papers Downloads

4,776

SSRN CITATIONS
Rank 23,737

SSRN RANKINGS

Top 23,737

in Total Papers Citations

28

CROSSREF CITATIONS

12

Scholarly Papers (6)

1.

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 1,313 (17,986)
Citation 8

Abstract:

Loading...

Intraday Returns, Overnight Returns, Asset Pricing Anomalies, Mispricing

2.

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

Number of pages: 67 Posted: 25 Nov 2019 Last Revised: 03 Dec 2020
Vincent Bogousslavsky and Dmitriy Muravyev
Boston College - Department of Finance and Michigan State University - Department of Finance
Downloads 996 (27,011)
Citation 7

Abstract:

Loading...

Closing auction, passive investing, price pressure, liquidity, investor disagreement

3.

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 889 (31,743)
Citation 23

Abstract:

Loading...

infrequent rebalancing, return autocorrelation, return seasonality, dynamic equilibrium

4.

Liquidity, Volume, and Order Imbalance Volatility

Swiss Finance Institute Research Paper No. 19-69
Number of pages: 75 Posted: 07 Mar 2019 Last Revised: 14 Jan 2021
Vincent Bogousslavsky and Pierre Collin-Dufresne
Boston College - Department of Finance and Ecole Polytechnique Fédérale de Lausanne
Downloads 605 (53,272)
Citation 4

Abstract:

Loading...

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

5.

Seasonalities in Anomalies

Number of pages: 39 Posted: 03 Feb 2015 Last Revised: 08 Jul 2015
Vincent Bogousslavsky
Boston College - Department of Finance
Downloads 518 (64,725)

Abstract:

Loading...

return seasonality, asset pricing anomalies, January effect

6.

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 455 (76,213)
Citation 1

Abstract:

Loading...

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