Lorne N. Switzer

Concordia University, Quebec - Department of Finance

Chair

John Molson School of Business

Montreal, Quebec H3G1M8

Canada

SCHOLARLY PAPERS

26

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4,477

SSRN CITATIONS
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Top 15,940

in Total Papers Citations

5

CROSSREF CITATIONS

47

Scholarly Papers (26)

1.

New Evidence on the Market Impact of Convertible Bond Issues in the U.S.

EFMA 2004 Basel Meetings Paper
Number of pages: 45 Posted: 14 May 2004
Indiana University Northwest - School of Business & Economics, Concordia University, Quebec - Department of Finance, EDHEC Business School and Concordia University
Downloads 1,120 (18,456)
Citation 12

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2.

The Behaviour of Small Cap vs. Large Cap Stocks in Recessions and Recoveries: Empirical Evidence for the United States and Canada

North American Journal of Economics and Finance, Vol. 21, pp. 332-346, 2010
Number of pages: 15 Posted: 03 Oct 2011
Lorne N. Switzer
Concordia University, Quebec - Department of Finance
Downloads 1,113 (18,650)

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Small-cap equities, business cycles, style based investing, market segmentation

Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets

Multinational Finance Journal, Forthcoming
Number of pages: 46 Posted: 25 Feb 2015
Lorne N. Switzer and Alan Picard
Concordia University, Quebec - Department of Finance and Concordia University, Quebec - Department of Finance
Downloads 247 (124,206)

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idiosyncratic volatility,expected returns;,developed vs. emerging markets, asset pricing, multifactor models

Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets

Multinational Finance Journal, Vol. 19, No. 3, p. 169-221, 2015
Number of pages: 53 Posted: 07 Nov 2015
Lorne N. Switzer and Alan Picard
Concordia University, Quebec - Department of Finance and Concordia University, Quebec - Department of Finance
Downloads 217 (141,405)

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idiosyncratic volatility; expected returns; developed vs. emerging markets; asset pricing; multifactor models

4.

Sources of Time Varying Risk and Risk Premia in U.S. Stock and Bond Markets

EFMA 2003 Helsinki Meetings
Number of pages: 48 Posted: 25 Apr 2003
Bala Arshanapalli, Lorne N. Switzer and Alexandre Vezina
Indiana University Northwest - School of Business & Economics, Concordia University, Quebec - Department of Finance and Concordia University, Quebec - Department of Finance
Downloads 321 (94,380)
Citation 1

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Liquidity Risk, Firm Risk, and Issue Risk Premium Effects on the Abnormal Returns to New Issues of Convertible Bonds

Number of pages: 55 Posted: 18 Feb 2009
Jinlin Liu and Lorne N. Switzer
Concordia University, Quebec - John Molson School of Business and Concordia University, Quebec - Department of Finance
Downloads 172 (175,545)
Citation 1

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convertible bond issuance effects, liquidity, firm risk, Vega

Liquidity Risk, Firm Risk, and Issue Risk Premium Effects on the Abnormal Returns to New Issues of Convertible Bonds

Number of pages: 55 Posted: 19 Mar 2009
Jinlin Liu and Lorne N. Switzer
Concordia University, Quebec - John Molson School of Business and Concordia University, Quebec - Department of Finance
Downloads 110 (251,483)
Citation 1

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convertible bonds, liquidity, firm risk, Vega

6.

Analyst Forecasts and the Rationality of Information Flows: Evidence from the Bloomberg G-7 Country Surveys

EFMA 2001 Lugano Meetings
Number of pages: 63 Posted: 28 May 2001
Lorne N. Switzer and Emmanuel A. Noel
Concordia University, Quebec - Department of Finance and Concordia University, Quebec - Department of Finance
Downloads 209 (146,837)

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7.

Shareholder Interests versus Board of Director Members’ Interests and the Profitability of Firms

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 26 Posted: 16 May 2011
Lorne N. Switzer and Cao Yu
Concordia University, Quebec - Department of Finance and Cornell University
Downloads 207 (148,161)

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board quality, agency costs, operating performance

8.

Bi-National News Effects and Exchange Rate Futures: The Case of Canadian Dollar Futures Contracts

EFMA 2004 Basel Meetings Paper
Number of pages: 44 Posted: 09 May 2004
John A. Doukas and Lorne N. Switzer
Old Dominion University - Strome College of Business and Concordia University, Quebec - Department of Finance
Downloads 124 (229,328)
Citation 7

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9.

Index Participation Units and the Structure of Equity Market Demand: Evidence from New Issues and Redemptions of Spdrs

EFMA 2003 Helsinki Meetings
Number of pages: 55 Posted: 19 Apr 2003
Bala Arshanapalli, Lorne N. Switzer and Jonathan Arbesfeld
Indiana University Northwest - School of Business & Economics, Concordia University, Quebec - Department of Finance and Concordia University, Quebec - Department of Finance
Downloads 121 (233,534)
Citation 1

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10.

Volume-Volatility Interactions between Exchange Traded Derivatives and OTC Derivatives

Review of Futures Markets, Vol. 16, pp. 171-196, 2007
Number of pages: 26 Posted: 03 Oct 2011
Lorne N. Switzer and Haibo Fan
Concordia University, Quebec - Department of Finance and Concordia University, Quebec
Downloads 111 (248,600)

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OTC versus futures currency derivatives, GARCH, causality, substitutes

11.

The Benefits of International Diversification: Market Development, Corporate Governance, Market Cap, and Structural Change Effects

International Review of Financial Analysis, Forthcoming
Number of pages: 43 Posted: 27 Feb 2015
Lorne N. Switzer and Cagdas Tahaoglu
Concordia University, Quebec - Department of Finance and Concordia University, Quebec - Department of Finance
Downloads 105 (258,492)

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international diversification, emerging markets, corporate governance, size effects, portfolio performance

12.

The Value of Private Information in Investment Research: Do Company On-Site Visits Affect the Trading Patterns and Performance of Professional Investors?

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 48 Posted: 17 Sep 2012
Lorne N. Switzer and Mariane Keushgerian
Concordia University, Quebec - Department of Finance and Concordia University, Quebec
Downloads 85 (296,543)

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Private information, Company on-site visits, Portfolio performance

13.

Settlement Method of Eurodollar Futures and Expiration Day Effects: An Analysis of Intraday Price Volatility

Journal of Multinational Financial Management, Vol. 5, No. 2/3, 1995
Number of pages: 14 Posted: 15 Jan 2013
Tae H. Park and Lorne N. Switzer
Concordia University, Quebec - Department of Finance and Concordia University, Quebec - Department of Finance
Downloads 76 (317,044)

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eurodollar futures, market microstructure, manipulation

14.

The Transaction Costs of Risk Management vs. Speculation in an Electronic Trading Environment: Evidence from the Montreal Exchange

Journal of Trading, Vol. 2, pp. 82-100, Fall 2007
Number of pages: 20 Posted: 02 Oct 2011
Lorne N. Switzer and Haibo Fan
Concordia University, Quebec - Department of Finance and Concordia University, Quebec
Downloads 57 (368,763)

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transactions costs, electronic trading, futures markets

Do Company Visits Add Value for Professional Investors?

Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 23, No. 1, 2013
Number of pages: 24 Posted: 12 Nov 2015
Lorne N. Switzer and Mariane Keushgerian
Concordia University, Quebec - Department of Finance and Concordia University, Quebec
Downloads 43 (424,585)

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Do Company Visits Add Value for Professional Investors?

Journal of Applied Finance, Spring/Summer 2013, Volume 23, No. 1
Posted: 16 Jul 2013
Lorne N. Switzer and Mariane Keushgerian
Concordia University, Quebec - Department of Finance and Concordia University, Quebec

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on-site visits, portfolio turnover, non-public information

16.

Effects of Federal Support on Company-Financed R and D: The Case of Energy

Management Science, Vol. 30, No. 5 (May, 1984), pp. 562-571
Number of pages: 11 Posted: 09 Mar 2015
Edwin Mansfield and Lorne N. Switzer
Independent and Concordia University, Quebec - Department of Finance
Downloads 15 (555,837)

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Energy R&D, federal government support

17.

The Determinants of Industrial R&D: A Funds Flow Simultaneous Equation Approach

Review of Economics and Statistics, Vol. 66, No. 1, 1984
Number of pages: 7 Posted: 11 Mar 2015
Lorne N. Switzer
Concordia University, Quebec - Department of Finance
Downloads 11 (580,820)

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R&D determinants; funds flows; simultaneous equations

18.

R&D Price Indexes and Real R&D Expenditures in the United States

Research Policy, Vol. 12, 1983
Number of pages: 8 Posted: 09 Mar 2015
Edwin Mansfield, Anthony Romeo and Lorne N. Switzer
Independent, Independent and Concordia University, Quebec - Department of Finance
Downloads 10 (587,347)

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19.

Price Indices for Industrial R&D: A Project Level Approach

Lorne Switzer, "Price Indices for Industrial R&D: A Project Level Approach," R&D Management, 13. 3, 1983, pp.101-106.
Number of pages: 6 Posted: 09 Mar 2015
Lorne N. Switzer
Concordia University, Quebec - Department of Finance
Downloads 2 (644,716)

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20.

Default Risk Estimation, Bank Credit Risk, and Corporate Governance

Financial Markets, Institutions & Instruments, Vol. 22, Issue 2, pp. 91-112, 2013
Number of pages: 22 Posted: 20 Apr 2013
Lorne N. Switzer and Jun Wang
Concordia University, Quebec - Department of Finance and Concordia University, Quebec
Downloads 1 (656,915)
Citation 2
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bank credit risk, default structure and timing; governance

21.

Market Efficiency and Returns from Convertible Bond Hedging and Arbitrage Strategies

Journal of Alternative Investments, Vol. 11, No. 3, 2009, https://doi.org/10.3905/JAI.2009.11.3.037
Posted: 22 May 2019
Frank J. Fabozzi, Jinlin Liu and Lorne N. Switzer
EDHEC Business School, Concordia University, Quebec - John Molson School of Business and Concordia University, Quebec - Department of Finance

Abstract:

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convertible arbitrage, market efficiency, law of one price

22.

Volatility Measures as Predictors of Extreme Returns

Review of Financial Economics, Forthcoming
Posted: 11 Apr 2017
Lorne N. Switzer, Cagdas Tahaoglu and zhao yun
Concordia University, Quebec - Department of Finance, Concordia University, Quebec - Department of Finance and Independent

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Extreme returns, Implied volatility, Conditional volatility, Idiosyncratic volatility, Expected shortfall.

23.

Are There Benefits from Dynamic Asset Allocation Strategies Across Hedge Funds?

Journal of Portfolio Management, Vol. 37, No. 3, 2011
Posted: 06 Oct 2011
Lorne N. Switzer and Andrey Omelchak
Concordia University, Quebec - Department of Finance and LionGuard Capital Management Inc.

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dynamic asset allocation, hedge funds, time varying volatility

24.

The Effects of Macroeconomic Announcements on Equity Returns and Their Connections to Fama-French Factors

Applied Financial Economics, Vol. 20, No. 16, 2010
Posted: 07 Jun 2011
Bala Arshanapalli, William Nelson and Lorne N. Switzer
Indiana University Northwest - School of Business & Economics, Indiana University Northwest and Concordia University, Quebec - Department of Finance

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Marcoeconomic announcements, Fama-French Factors

25.

Interactions between Exchange Traded Derivatives and OTC Derivatives: Evidence for the Canadian Dollar Futures vs. OTC Markets

International Journal of Business, Vol. 13, No. 1, 2008
Posted: 10 Jun 2008
Lorne N. Switzer and Haibo Fan
Concordia University, Quebec - Department of Finance and Concordia University, Quebec

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OTC and exchange traded derivatives, Foreign exchange, Volume and volatility causality, Substitutability vs. complementarity

26.

Risk Management of Real Estate: The Case of Real Estate Swaps

J. OF REAL ESTATE FINANCE AND ECONOMICS
Posted: 15 May 2000
Tae H. Park and Lorne N. Switzer
Concordia University, Quebec - Department of Finance and Concordia University, Quebec - Department of Finance

Abstract:

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Other Papers (1)

Total Downloads: 17
1.

Erratum to ‘The Behaviour of Small Cap vs. Large Cap Stocks in Recessions and Recoveries: Empirical Evidence for the United States and Canada’

Number of pages: 2 Posted: 06 Oct 2011 Last Revised: 09 Oct 2011
Lorne N. Switzer
Concordia University, Quebec - Department of Finance
Downloads 17

Abstract:

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small-cap equities, business cycles, style based investing