Louis Gagnon

Smith School of Business, Queen's University

Professor of Finance and Distinguished Faculty Fellow

Kingston, Ontario K7L 3N6

Canada

View CV
SCHOLARLY PAPERS

15

DOWNLOADS
Rank 6,239

SSRN RANKINGS

Top 6,239

in Total Papers Downloads

5,535

CITATIONS
Rank 4,719

SSRN RANKINGS

Top 4,719

in Total Papers Citations

111

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
Smith School of Business, Queen's University and Cornell University - Johnson Graduate School of Management
Downloads 1,592 (7,844)
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
Smith School of Business, Queen's University and Cornell University - Johnson Graduate School of Management
Downloads 980 (16,918)
Citation 5

Abstract:

3.
Downloads 913 ( 18,857)
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 Smith School of Business, Queen's University
Downloads 477 (45,382)
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
Smith School of Business, Queen's University and Cornell University - Johnson Graduate School of Management
Downloads 436 (50,833)
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
Smith School of Business, Queen's University and Cornell University - Johnson Graduate School of Management
Downloads 612 (31,099)
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
Smith School of Business, Queen's University and Bank of Canada
Downloads 472 (44,079)
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
Smith School of Business, Queen's University, Cornell University - Johnson Graduate School of Management and Seoul National University Business School
Downloads 315 (65,263)
Citation 3

Abstract:

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

7.

The Economic Consequences of the U.S. Supreme Court’s Morrison v. National Australia Bank Decision for Foreign Stocks Cross-Listed in U.S. Markets

Johnson School Research Paper Series No. 50-2011
Number of pages: 41 Posted: 21 Nov 2011 Last Revised: 17 Sep 2012
Louis Gagnon and George Andrew Karolyi
Smith School of Business, Queen's University and Cornell University - Johnson Graduate School of Management
Downloads 231 (85,293)
Citation 2

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, Smith School of Business, Queen's University and Queen's University
Downloads 75 (198,846)

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
Smith School of Business, Queen's University, University of Toronto - Rotman School of Management and Concordia University, Quebec - John Molson School of Business
Downloads 66 (249,023)
Citation 3

Abstract:

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

10.

Short Sale Constraints and Single Stock Futures Listings

Number of pages: 56 Posted: 21 Jul 2014
Louis Gagnon
Smith School of Business, Queen's University
Downloads 52 (262,769)

Abstract:

Single stock futures; Short sale constraints; Overpricing; 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
Smith School of Business, Queen's University and Cornell University - Johnson Graduate School of Management
Downloads 13 (465,414)
Citation 7
  • Add to Cart

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
Smith School of Business, Queen's University and Concordia University, Quebec - John Molson School of Business

Abstract:

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

13.

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
Smith School of Business, Queen's University

Abstract:

14.

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
Smith School of Business, Queen's University, 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.

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
Smith School of Business, Queen's University and Concordia University, Quebec - John Molson School of Business

Abstract: