Sergei Sarkissian

McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

Yerevan State University

1 Alex Manoogian Street

Yerevan, 0025

Armenia

SCHOLARLY PAPERS

23

DOWNLOADS
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Top 2,664

in Total Papers Downloads

10,991

CITATIONS
Rank 1,197

SSRN RANKINGS

Top 1,197

in Total Papers Citations

457

Scholarly Papers (23)

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 1,503 (7,787)
Citation 107

Abstract:

Cross-listings, Familiarity Bias, Diversification

2.
Downloads 1,059 ( 15,599)
Citation 151

Spurious Regressions in Financial Economics?

AFA 2001 New Orleans Meetings
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 978 (17,194)
Citation 151

Abstract:

Spurious Regressions in Financial Economics?

NBER Working Paper No. w9143
Number of pages: 36 Posted: 06 Sep 2002
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 81 (254,432)
Citation 151

Abstract:

3.

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 955 (17,231)
Citation 14

Abstract:

Firm valuation; Market competitiveness; Stock exchanges; Trade flows

4.

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 940 (16,253)
Citation 37

Abstract:

Overseas Listing, International Cost of Capital, Cross Listing

5.

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 928 (18,016)
Citation 15

Abstract:

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

6.

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 825 (20,554)
Citation 3

Abstract:

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

7.

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: 03 Sep 2015
Susan Kerr Christoffersen and Sergei Sarkissian
University of Toronto - Rotman School of Management and McGill University
Downloads 697 (25,306)
Citation 20

Abstract:

Information spillovers, Labor market, Mutual funds, Performance evaluation

8.

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 641 (29,757)
Citation 52

Abstract:

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

9.

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

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 50 Posted: 29 Apr 2012 Last Revised: 14 Mar 2016
Saurin Patel and Sergei Sarkissian
Ivey Business School, Western University and McGill University
Downloads 551 (22,497)
Citation 2

Abstract:

Database discrepancy, Management structure, Performance evaluation, Portfolio holdings

10.

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

AFA 2005 Philadelphia Meetings
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 465 (44,554)
Citation 15

Abstract:

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

11.

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 338 (70,391)
Citation 2

Abstract:

Labor market, Mutual funds, Overconfident trading, Performance evaluation

12.

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 250 (86,061)
Citation 5

Abstract:

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

13.

Portfolio Pumping and Managerial Structure

Number of pages: 44 Posted: 19 Sep 2012 Last Revised: 16 May 2017
Saurin Patel and Sergei Sarkissian
Ivey Business School, Western University and McGill University
Downloads 205 (113,235)

Abstract:

Cheating; Fund performance; Fund flows; Securities regulation

14.

Cross-Country Competitive Effects of Cross-Listings

Number of pages: 61 Posted: 26 Nov 2012 Last Revised: 25 Apr 2016
Sergei Sarkissian and Yan Wang
McGill University and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 170 (109,353)

Abstract:

Firm competition, Difference-in-difference, Firm valuation, Operating performance, Product markets

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: 59 Posted: 23 Nov 2012 Last Revised: 01 Dec 2016
David Chambers, Sergei Sarkissian and Michael J. Schill
University of Cambridge - Judge Business School, Department of Finance & Accounting, McGill University and University of Virginia ­ Darden School of Business
Downloads 131 (135,588)

Abstract:

: Economic geography; Global risk sharing; Market integration; Stock exchanges

16.

Global Liquidity Provision and Risk Sharing

Number of pages: 50 Posted: 22 Jan 2015 Last Revised: 22 Jul 2015
Feng Jiao and Sergei Sarkissian
McGill University - Desautels Faculty of Management and McGill University
Downloads 85 (173,908)

Abstract:

Foreign listing, Funding liquidity, Market segmentation, S&P 500 Index

17.

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
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 62 (292,827)
Citation 11

Abstract:

18.

Multi-Market Trading and Cross-Asset Integration

Darden Business School Working Paper No. 2660829
Number of pages: 80 Posted: 16 Sep 2015 Last Revised: 16 May 2017
Patrick Augustin, Feng Jiao, Sergei Sarkissian and Michael J. Schill
McGill University, Desautels Faculty of Management, McGill University - Desautels Faculty of Management, McGill University and University of Virginia ­ Darden School of Business
Downloads 18 (183,579)

Abstract:

G12, G13, G14, G15

19.

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 8 (384,839)
Citation 16

Abstract:

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

20.

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 7 (451,673)
Citation 8

Abstract:

Conditional asset pricing, Average degree of integration, Portfolio diversification

21.

Managerial Structure and Performance-Induced Trading

Number of pages: 54 Posted: 05 Jun 2017
Anastassia Fedyk, Saurin Patel and Sergei Sarkissian
Harvard University, Harvard Business School, Students, Ivey Business School, Western University and McGill University
Downloads 0 (420,665)

Abstract:

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

22.

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:

G14, G15

23.

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:

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