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

  • McGill University

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    • Tel: 514-398-4876
    • Fax: 514-398-3876
SCHOLARLY PAPERS

26

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Top 2,650

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290

CROSSREF CITATIONS

343

Scholarly Papers (26)

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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 1,861 (15,830)
Citation 84

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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 1,222 (29,870)
Citation 22

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Database discrepancy, Management structure, Performance evaluation, Portfolio holdings

3.

Spurious Regressions in Financial Economics?

Downloads 1,165 (32,072)
Citation 192

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 1,013 (38,533)
Citation 7

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Spurious Regressions in Financial Economics?

NBER Working Paper No. w9143
Number of pages: 36 Posted: 06 Sep 2002 Last Revised: 26 Dec 2022
Wayne E. Ferson, Sergei Sarkissian and Timothy T. Simin
University of Southern California, McGill University and Pennsylvania State University
Downloads 152 (330,563)
Citation 55

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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 1,161 (32,236)
Citation 9

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Overseas Listing, International Cost of Capital, Cross Listing

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 1,069 (36,223)
Citation 18

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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 1,020 (38,722)
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 942 (43,335)
Citation 10

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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 907 (45,645)
Citation 18

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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 845 (50,287)
Citation 22

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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 572 (83,401)
Citation 15

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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 491 (100,794)
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
Patrick Augustin, Patrick Augustin, Feng Jiao, Sergei Sarkissian and Michael J. Schill
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 416 (122,558)
Citation 10

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

13.

Managerial Structure and Performance-Induced Trading

2020 AFA San Diego Meetings Paper
Number of pages: 56 Posted: 05 Jun 2017 Last Revised: 10 Feb 2023
Anastassia Fedyk, Saurin Patel and Sergei Sarkissian
University of California, Berkeley - Haas School of Business, Ivey Business School, Western University and McGill University
Downloads 394 (130,811)
Citation 3

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

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 366 (141,631)
Citation 4

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

15.

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 358 (145,102)
Citation 6

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Labor market, Mutual funds, Overconfident trading, Performance evaluation

16.

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 354 (146,914)
Citation 4

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

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 329 (158,942)
Citation 1

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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 263 (200,468)
Citation 3

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

19.

Liquidity Picking and Fund Performance

Number of pages: 71 Posted: 20 Jul 2020 Last Revised: 31 Oct 2022
Feng Jiao, Sergei Sarkissian and David Schumacher
University of Lethbridge - Dhillon School of Business, McGill University and McGill University
Downloads 131 (371,143)

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Fund holdings, Liquidity management, Performance persistence, Stock selection

20.

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 105 (436,724)

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

21.

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 99 (454,931)
Citation 4

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22.

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 91 (483,820)
Citation 14

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

23.

Nonlinearities and a Pecking Order in Cross-border Investment

Downloads 55 (632,470)

Nonlinearities and a Pecking Order in Cross-border Investment

Number of pages: 48 Posted: 18 Nov 2021
Sara B. Holland, Sergei Sarkissian, Michael J. Schill and Francis E. Warnock
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 29 (828,592)

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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
Francis E. Warnock, Sara B. Holland, Sergei Sarkissian and Michael J. Schill
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 20 (912,574)

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international portfolio allocation

Nonlinearities and a Pecking Order in Cross-Border Investment

NBER Working Paper No. w29432
Number of pages: 71 Posted: 01 Nov 2021 Last Revised: 03 Jun 2023
Sara B. Holland, Sergei Sarkissian, Michael J. Schill and Francis E. Warnock
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 6 (1,054,639)

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24.

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 45 (690,189)
Citation 3

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Conditional asset pricing, Average degree of integration, Portfolio diversification

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

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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

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