Sergei Sarkissian

McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

http://sergei-sarkissian.com

University of Edinburgh

29 Buccleuch Pl.

Edinburgh, Scotland EH8 9JS

United Kingdom

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 4,259

SSRN RANKINGS

Top 4,259

in Total Papers Downloads

13,469

SSRN CITATIONS
Rank 2,572

SSRN RANKINGS

Top 2,572

in Total Papers Citations

165

CROSSREF CITATIONS

344

Scholarly Papers (26)

1.

The Overseas Listing Decision: New Evidence of Proximity Preference

Review of Financial Studies, 2004, 17(3), 769-809, Darden Business School Working Paper No. 03-07
Number of pages: 57 Posted: 29 May 2003 Last Revised: 13 Nov 2012
Sergei Sarkissian and Michael J. Schill
McGill University and University of Virginia - Darden School of Business
Downloads 1,823 (13,337)
Citation 39

Abstract:

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Cross-listings, Familiarity Bias, Diversification

2.

To Group or Not to Group? Evidence from Mutual Fund Databases

Journal of Financial and Quantitative Analysis, 2017, 52(5), 1989-2021.
Number of pages: 50 Posted: 29 Apr 2012 Last Revised: 24 Mar 2020
Saurin Patel and Sergei Sarkissian
Ivey Business School, Western University and McGill University
Downloads 1,146 (26,818)
Citation 22

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Database discrepancy, Management structure, Performance evaluation, Portfolio holdings

3.

Are There Permanent Valuation Gains to Overseas Listings?

Darden School of Business Working Paper No. 03-03
Number of pages: 51 Posted: 02 Aug 2004 Last Revised: 10 Oct 2007
Sergei Sarkissian and Michael J. Schill
McGill University and University of Virginia - Darden School of Business
Downloads 1,129 (27,424)
Citation 9

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Overseas Listing, International Cost of Capital, Cross Listing

4.
Downloads 1,126 ( 27,541)
Citation 165

Spurious Regressions in Financial Economics?

Number of pages: 31 Posted: 17 Oct 2000
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 995 (32,400)
Citation 7

Abstract:

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Spurious Regressions in Financial Economics?

NBER Working Paper No. w9143
Number of pages: 36 Posted: 06 Sep 2002 Last Revised: 27 Jun 2021
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 131 (305,475)
Citation 23

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5.

Cross-Listing Waves

Journal of Financial and Quantitative Analysis, 2016, 51(1), 259-306.
Number of pages: 70 Posted: 22 Aug 2008 Last Revised: 05 Jun 2017
Sergei Sarkissian and Michael J. Schill
McGill University and University of Virginia - Darden School of Business
Downloads 1,064 (29,883)
Citation 11

Abstract:

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Firm valuation; Market competitiveness; Stock exchanges; Trade flows

6.

Industry Risk and Market Integration

Number of pages: 43 Posted: 11 Jan 2001
Francesca Carrieri, Sergei Sarkissian and Vihang R. Errunza
McGill University - Desautels Faculty of Management, McGill University and McGill University - Desautels Faculty of Management
Downloads 1,006 (32,357)
Citation 8

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Imperfect industry integration, Global industry risk, Conditional asset pricing, Portfolio diversification

7.

Treasury Bond Illiquidity and Global Equity Returns

Journal of Financial and Quantitative Analysis, 2014, 49(5-6), 1227-1253, EFA 2008 Athens Meetings Paper
Number of pages: 41 Posted: 05 Mar 2008 Last Revised: 05 Jun 2017
Ruslan Goyenko and Sergei Sarkissian
McGill University - Desautels Faculty of Management and McGill University
Downloads 915 (37,058)
Citation 10

Abstract:

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asset allocation, cross-market linkages, bond illiquidity premium, conditional asset pricing

8.

City Size and Fund Performance

AFA 2007 Chicago Meetings Paper, Journal of Financial Economics, 2009, 92, 252-275
Number of pages: 55 Posted: 14 Mar 2006 Last Revised: 23 Mar 2020
Susan Kerr Christoffersen and Sergei Sarkissian
University of Toronto - Rotman School of Management and McGill University
Downloads 878 (39,205)
Citation 7

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Information spillovers, Labor market, Mutual funds, Performance evaluation

9.

The Alpha Factor Asset Pricing Model: A Parable

Number of pages: 36 Posted: 29 Jun 2005
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 805 (44,113)
Citation 17

Abstract:

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Asset pricing, Factor models, Cross-sectional regressions, Arbitrage portfolios, Anomalies

10.

The Dynamics of Geographic Versus Sectoral Diversification: Is There a Link to the Real Economy?

Number of pages: 58 Posted: 18 Aug 2004
Francesca Carrieri, Sergei Sarkissian and Vihang R. Errunza
McGill University - Desautels Faculty of Management, McGill University and McGill University - Desautels Faculty of Management
Downloads 558 (71,003)
Citation 15

Abstract:

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Diversification gains, asset allocation, international equity markets, industrial structure, industrial production

11.

Portfolio Pumping and Managerial Structure

Forthcoming, Review of Financial Studies
Number of pages: 57 Posted: 19 Sep 2012 Last Revised: 29 Dec 2019
Saurin Patel and Sergei Sarkissian
Ivey Business School, Western University and McGill University
Downloads 419 (100,125)
Citation 5

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Fund performance; Peer monitoring; Monetary incentives; Securities regulation

12.

Cross-Listings and the Dynamics between Credit and Equity Returns

Darden Business School Working Paper No. 2660829
Number of pages: 92 Posted: 16 Sep 2015 Last Revised: 26 Sep 2019
McGill UniversityMcGill University, Desautels Faculty of Management, University of Lethbridge - Dhillon School of Business, McGill University and University of Virginia - Darden School of Business
Downloads 370 (115,468)
Citation 7

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Investor recognition, Limits to arbitrage, Return co-movement, Risk premium

13.

The Demographics of Fund Turnover

Number of pages: 48 Posted: 23 Aug 2008 Last Revised: 25 Mar 2009
Susan Kerr Christoffersen and Sergei Sarkissian
University of Toronto - Rotman School of Management and McGill University
Downloads 356 (120,502)
Citation 3

Abstract:

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Labor market, Mutual funds, Overconfident trading, Performance evaluation

14.

The Nature of the Foreign Listing Premium: A Cross-Country Examination

Darden Business School Working Paper No. 1639848
Number of pages: 51 Posted: 16 Jul 2010 Last Revised: 04 Feb 2012
Sergei Sarkissian and Michael J. Schill
McGill University and University of Virginia - Darden School of Business
Downloads 348 (123,526)
Citation 4

Abstract:

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Cross listings, Firm valuation, Rule of law, Stock exchanges, Tobin’s Q

15.

Market and Regional Segmentation and Risk Premia in the First Era of Financial Globalization

Darden Business School Working Paper No. 2179088
Number of pages: 56 Posted: 23 Nov 2012 Last Revised: 21 Dec 2017
David Chambers, Sergei Sarkissian and Michael J. Schill
University of Cambridge - Judge Business School, McGill University and University of Virginia - Darden School of Business
Downloads 333 (129,572)
Citation 4

Abstract:

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Cross-listing; Economic geography; Market integration; Stock exchanges

16.

Managerial Structure and Performance-Induced Trading

2020 AFA San Diego Meetings Paper
Number of pages: 58 Posted: 05 Jun 2017 Last Revised: 24 Mar 2020
Anastassia Fedyk, Saurin Patel and Sergei Sarkissian
University of California, Berkeley - Haas School of Business, Ivey Business School, Western University and McGill University
Downloads 309 (140,701)
Citation 1

Abstract:

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Behavioral bias, Excess turnover, Fund alpha, Portfolio optimization, Posterior belief

17.

Cross-Country Competitive Effects of Cross-Listings

Review of Corporate Finance Studies, 2020, 9(1), 116-164.
Number of pages: 71 Posted: 26 Nov 2012 Last Revised: 24 Mar 2020
Sergei Sarkissian and Yan Wang
McGill University and McMaster University
Downloads 308 (140,701)

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Abnormal returns; Asset ratio; EBIT; Market share; Product markets

18.

Global Liquidity Provision and Risk Sharing

Number of pages: 62 Posted: 22 Jan 2015 Last Revised: 16 Mar 2020
Feng Jiao and Sergei Sarkissian
University of Lethbridge - Dhillon School of Business and McGill University
Downloads 236 (183,667)
Citation 3

Abstract:

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Foreign holdings; Funding liquidity; Difference-in-difference; Market segmentation

19.

Liquidity Picking and Fund Performance

Number of pages: 62 Posted: 20 Jul 2020 Last Revised: 07 Jul 2022
Feng Jiao, Sergei Sarkissian and David Schumacher
University of Lethbridge - Dhillon School of Business, McGill University and McGill University
Downloads 103 (360,547)

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Fund holdings, Liquidity management, Performance persistence, Stock selection

20.

Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression

NBER Working Paper No. w12658
Number of pages: 38 Posted: 20 Nov 2006 Last Revised: 04 Aug 2022
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 80 (421,297)
Citation 4

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21.

Incomplete Consumption Risk Sharing and Currency Risk Premiums

Review of Financial Studies, 2003, 16(3), 983-1005
Number of pages: 33 Posted: 05 Aug 2003 Last Revised: 23 Jun 2015
Sergei Sarkissian
McGill University
Downloads 74 (440,117)
Citation 11

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Forward Premium Puzzle, Conditional Asset Pricing, Implied Pricing Kernel, Consumption Dispersion Risk, Speculative Currency Returns

22.

Cross-Sectional Variations in the Degree of Global Integration: The Case of Russian Equities

Journal of International Financial Markets, Institutions & Money, 2000, 10(2), 131-150.
Number of pages: 29 Posted: 24 Jun 2015
Pavel Fedorov and Sergei Sarkissian
Morgan Stanley and McGill University
Downloads 33 (620,564)
Citation 3

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Conditional asset pricing, Average degree of integration, Portfolio diversification

Nonlinearities and a Pecking Order in Cross-border Investment

Number of pages: 48 Posted: 18 Nov 2021
University of Oklahoma - Michael F. Price College of Business, McGill University, University of Virginia - Darden School of Business and University of Virginia - Darden Business School
Downloads 20 (736,591)

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Capital flows, Capital controls, International investments, Market integration

Nonlinearities and a Pecking Order in Cross-Border Investment

Number of pages: 55 Posted: 30 Jul 2022
University of Virginia - Darden Business School, University of Oklahoma - Michael F. Price College of Business, McGill University and University of Virginia - Darden School of Business
Downloads 6 (879,974)

Abstract:

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international portfolio allocation

Nonlinearities and a Pecking Order in Cross-Border Investment

NBER Working Paper No. w29432
Number of pages: 56 Posted: 01 Nov 2021 Last Revised: 15 Aug 2022
University of Oklahoma - Michael F. Price College of Business, McGill University, University of Virginia - Darden School of Business and University of Virginia - Darden Business School
Downloads 2 (934,398)
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24.

The Leadership Effect: Evidence from the Fund Industry

Number of pages: 44 Posted: 20 Sep 2022 Last Revised: 23 Sep 2022
Saurin Patel, Sergei Sarkissian and Yu Xia
Ivey Business School, Western University, McGill University and University of Manitoba - Asper School of Business
Downloads 22 (705,360)

Abstract:

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Fund alpha, Portfolio concentration, Risk-taking behaviour, Team management

25.

Are There Permanent Valuation Gains to Overseas Listing?

The Review of Financial Studies, 2009, 22(1), 371-412
Posted: 03 Jan 2009 Last Revised: 29 Apr 2012
Sergei Sarkissian and Michael J. Schill
McGill University and University of Virginia - Darden School of Business

Abstract:

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G14, G15

26.

Is Stock Return Predictability Spurious?

Journal of Investment Management, 2003, 1(3), 1-10
Posted: 31 Mar 2004 Last Revised: 27 Apr 2012
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University

Abstract:

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Dividend yield, valuation ratios, time series, yield spreads, predicting stock returns, asset allocation, market timing, active portfolio management