Louis Gagnon

Queen's School of Business

Professor of Finance and Distinguished Faculty Fellow

Kingston, Ontario K7L 3N6

Canada

View CV
SCHOLARLY PAPERS

15

DOWNLOADS
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SSRN RANKINGS

Top 6,342

in Total Papers Downloads

5,614

CITATIONS
Rank 4,696

SSRN RANKINGS

Top 4,696

in Total Papers Citations

112

Scholarly Papers (15)

1.

Multi-Market Trading and Arbitrage

Journal of Financial Economics (JFE), Vol. 97, No. 1, July 2010
Number of pages: 53 Posted: 17 Aug 2004 Last Revised: 12 Jul 2010
Louis Gagnon and George Andrew Karolyi
Queen's School of Business and Cornell University - Johnson Graduate School of Management
Downloads 1,615 (7,959)
Citation 48

Abstract:

International finance, multi-market trading, cross-listed stocks, arbitrage

2.

Information, Trading Volume and International Stock Market Comovements

International Finance Review, Vol. 4, pp. 351-381, 2003
Number of pages: 37 Posted: 24 Apr 1998 Last Revised: 12 Jul 2010
Louis Gagnon and George Andrew Karolyi
Queen's School of Business and Cornell University - Johnson Graduate School of Management
Downloads 981 (17,453)
Citation 5

Abstract:

3.
Downloads 938 ( 18,687)
Citation 11

Do International Cross-Listings Still Matter?

Johnson School Research Paper Series No. 32-2010
Number of pages: 43 Posted: 29 Jul 2010
George Andrew Karolyi and Louis Gagnon
Cornell University - Johnson Graduate School of Management and Queen's School of Business
Downloads 485 (45,754)
Citation 11

Abstract:

Do International Cross-Listings Still Matter?

EVIDENCE ON FINANCIAL GLOBALIZATION AND CRISES, Thorsten Beck, Sergio Schmukler, Stijn Claessens, eds., Elsevier North-Holland Publishers, 2010
Number of pages: 42 Posted: 11 Jul 2010 Last Revised: 28 Jul 2010
Louis Gagnon and George Andrew Karolyi
Queen's School of Business and Cornell University - Johnson Graduate School of Management
Downloads 453 (49,906)
Citation 11

Abstract:

Multi-market trading, Idiosyncratic risk, limits to arbitrage, Information, Volume, Comovements, Spillovers, International finance

4.

Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks

Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 4, August 2009, Dice Center Working Paper No. 2006-11, Fisher College of Business Working Paper No. 2007-03-004
Number of pages: 50 Posted: 28 Jun 2006 Last Revised: 12 Jul 2010
Louis Gagnon and George Andrew Karolyi
Queen's School of Business and Cornell University - Johnson Graduate School of Management
Downloads 612 (31,865)
Citation 16

Abstract:

Information, Volume, Comovements, Spillovers, Cross-listed stocks, International finance, Multi-market trading, American Depositary Receipts

5.

Distribution of Ownership, Short Sale Constraints, and Market Efficiency: Evidence from Cross-Listed Stocks

Forthcoming in Financial Management
Number of pages: 51 Posted: 15 Mar 2010 Last Revised: 07 Jan 2014
Louis Gagnon and Jonathan L. Witmer
Queen's School of Business and Bank of Canada
Downloads 472 (45,265)
Citation 14

Abstract:

Short sale restrictions; Cross-listed stocks; Market efficiency; Limits to arbitrage; Location of trading; Ownership concentration

6.

The Dynamic Volume-Return Relationship of Individual Stocks: The International Evidence

AFA 2008 New Orleans Meetings Paper
Number of pages: 36 Posted: 08 Mar 2007
Queen's School of Business, Cornell University - Johnson Graduate School of Management and Seoul National University Business School
Downloads 315 (66,972)
Citation 3

Abstract:

Information, Volume, Volume-return relation, Information asymmetry, International finance, International markets

7.

An Unexpected Test of the Bonding Hypothesis

Johnson School Research Paper Series No. 50-2011
Number of pages: 61 Posted: 21 Nov 2011 Last Revised: 11 Jun 2017
Louis Gagnon and George Andrew Karolyi
Queen's School of Business and Cornell University - Johnson Graduate School of Management
Downloads 231 (84,096)

Abstract:

Multi-market trading, Cross-listed stocks, Regulatory change

8.

Spillover Effects from US Class Action Lawsuits: Evidence from Foreign Firms Cross-Listed in the US

Number of pages: 56 Posted: 26 Feb 2014 Last Revised: 03 Mar 2014
Yi Ding, Louis Gagnon and Xiaoqiao Wang
Queen's University, Queen's School of Business and Queen's University
Downloads 75 (200,538)

Abstract:

Multi-market trading; cross-listed stocks; class action lawsuits; spillovers

9.

Hedging Foreign Currency Portfolios

Journal of Empirical Finance, Vol. 5, pp. 197-220, 1998
Number of pages: 24 Posted: 27 Sep 2004 Last Revised: 02 Mar 2012
Louis Gagnon, Thomas H. McCurdy and Greg Lypny
Queen's School of Business, University of Toronto - Rotman School of Management and Concordia University, Quebec - John Molson School of Business
Downloads 66 (250,345)
Citation 3

Abstract:

Hedging, GARCH, portfolio effects, risk-minimization, covariance

10.

Short Sale Constraints and Single Stock Futures Introductions

The Financial Review, Forthcoming
Number of pages: 58 Posted: 21 Jul 2014 Last Revised: 13 Jun 2017
Louis Gagnon
Queen's School of Business
Downloads 52 (256,101)

Abstract:

Derivatives; single stock futures; short sale constraints; overpricing; stock lending market; market efficiency

11.

Price and Volatility Transmission across Borders

Financial Markets, Institutions & Instruments, Vol. 15, No. 3, pp. 107-158, August 2006
Number of pages: 52 Posted: 08 Aug 2006
Louis Gagnon and George Andrew Karolyi
Queen's School of Business and Cornell University - Johnson Graduate School of Management
Downloads 13 (472,435)
Citation 7

Abstract:

12.

The Benefits of Dynamically Hedging the Toronto 35 Stock Index

Canadian Journal of Administrative Sciences, Vol. 14, pp. 69-78, 1997
Posted: 20 Sep 2004
Louis Gagnon and Greg Lypny
Queen's School of Business and Concordia University, Quebec - John Molson School of Business

Abstract:

Dynamic hedging, hedging, risk-minimizing hedge, stock index, GARCH, futures

13.

Hedging Canadian Corporate Debt: A Comparative Study of the Hedging Effectiveness of Canadian and U.S. Bond Futures

Journal of Futures Markets, Vol. 9, No. 1, pp. 29-40, 1989
Posted: 19 Sep 2004
Louis Gagnon, Sam Mensah and Edward Blinder
Queen's School of Business, University of Michigan at Flint - School of Management and Ryerson University - Ted Rogers School of Management

Abstract:

hedging, cross-hedging, derivatives, futures, bond futures, international finance, cross-border, Canada, U.S.

14.

Empirical Investigation of the Canadian Bond Options Market

Canadian Journal of Administrative Sciences, Vol. 11, No. 1, pp. 2-11, 1994
Posted: 19 Sep 2004
Louis Gagnon
Queen's School of Business

Abstract:

15.

Hedging Short-Term Interest Risk Under Time-Varying Distributions

Journal of Futures Markets, Vol. 15, pp. 767-783, 1995
Posted: 20 Dec 1998 Last Revised: 12 Jul 2010
Louis Gagnon and Greg Lypny
Queen's School of Business and Concordia University, Quebec - John Molson School of Business

Abstract: