Author Page for Mitch Warachka

Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies

Number of pages: 48 Posted: 25 May 2003

Robert A. Jarrow, Steve Hogan, Melvyn Teo and Mitch Warachka

Cornell University - Samuel Curtis Johnson Graduate School of Management, Credit Suisse First Boston, Singapore Management University - Lee Kong Chian School of Business and University of San Diego

Downloads 5,478 (1,226)

Citation 18

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2.

Tobin's q Does Not Measure Firm Performance: Theory, Empirics, and Alternatives

Number of pages: 39 Posted: 03 Mar 2010 Last Revised: 06 Mar 2015

Philip H. Dybvig and Mitch Warachka

Washington University in St. Louis - John M. Olin Business School and University of San Diego

Downloads 2,939 (3,642)

Citation 1

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3.

Statistical Arbitrage and Market Efficiency: Enhanced Theory, Robust Tests and Further Applications

Number of pages: 54 Posted: 03 Feb 2005

Robert A. Jarrow, Melvyn Teo, Yiu Kuen Tse and Mitch Warachka

Cornell University - Samuel Curtis Johnson Graduate School of Management, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - School of Social Sciences and University of San Diego

Downloads 1,446 (11,911)

Citation 2

Abstract:

4.

Frog in the Pan: Continuous Information and Momentum

Downloads 1,176 ( 16,504)

Citation 3

3

Frog in the Pan: Continuous Information and Momentum

AFA 2012 Chicago Meetings Paper

Number of pages: 57 Posted: 06 Mar 2011 Last Revised: 02 Oct 2012

Zhi Da, Umit Gurun and Mitch Warachka

University of Notre Dame - Mendoza College of Business, University of Texas at Dallas and University of San Diego

Downloads 784 (29,346)

Citation 3

Abstract:

Frog in the Pan: Continuous Information and Momentum

Number of pages: 61 Posted: 22 Dec 2013

Zhi Da, Umit Gurun and Mitch Warachka

University of Notre Dame - Mendoza College of Business, University of Texas at Dallas and University of San Diego

Downloads 227 (131,094)

Citation 3

Abstract:

Frog in the Pan: Continuous Information and Momentum

Number of pages: 48 Posted: 24 Jan 2011 Last Revised: 08 May 2011

Zhi Da, Umit Gurun and Mitch Warachka

University of Notre Dame - Mendoza College of Business, University of Texas at Dallas and University of San Diego

Downloads 165 (176,576)

Citation 3

Abstract:

5.

Long-Term Earnings Growth Forecasts, Limited Attention, and Return Predictability

AFA 2010 Atlanta Meetings Paper

Number of pages: 36 Posted: 19 Mar 2008 Last Revised: 17 Mar 2009

Zhi Da and Mitch Warachka

University of Notre Dame - Mendoza College of Business and University of San Diego

Downloads 805 (28,743)

Abstract:

6.

Momentum and Informed Trading

EFA 2008 Athens Meetings Paper

Number of pages: 34 Posted: 17 Mar 2008 Last Revised: 13 Nov 2013

Allaudeen Hameed, Dong Hong and Mitch Warachka

National University of Singapore (NUS) - Department of Finance, Singapore Management University - Lee Kong Chian School of Business and University of San Diego

Downloads 779 (30,079)

Citation 3

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7.

Streaks in Earnings Surprises and the Cross-section of Stock Returns

Management Science, Forthcoming

Number of pages: 34 Posted: 16 Feb 2009 Last Revised: 14 Nov 2013

Roger Loh and Mitch Warachka

Singapore Management University - Lee Kong Chian School of Business and University of San Diego

Downloads 542 (48,709)

Citation 2

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8.

Forecast Accuracy Uncertainty and Momentum

EFA 2006 Zurich Meetings

Number of pages: 31 Posted: 22 May 2006 Last Revised: 13 Nov 2013

Bing Han, Dong Hong and Mitch Warachka

University of Toronto, Rotman School of Management, Singapore Management University - Lee Kong Chian School of Business and University of San Diego

Downloads 493 (54,948)

Citation 2

Abstract:

9.

The Disparity between Long-Term and Short-Term Forecasted Earnings Growth

Number of pages: 35 Posted: 03 Feb 2009 Last Revised: 25 Sep 2009

Zhi Da and Mitch Warachka

University of Notre Dame - Mendoza College of Business and University of San Diego

Downloads 248 (120,359)

Citation 4

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10.

Fiscal Policy, Consumption Risk, and Stock Returns: Evidence from US States

Number of pages: 44 Posted: 14 Mar 2012 Last Revised: 03 Jun 2016

Zhi Da, Mitch Warachka and Hayong Yun

University of Notre Dame - Mendoza College of Business, University of San Diego and Michigan State University - Department of Finance

Downloads 243 (122,856)

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11.

Does Finance Make Us Less Social?

Number of pages: 42 Posted: 22 Aug 2018

Henrik Cronqvist, Mitch Warachka and Frank Yu

University of Miami - Department of Finance, University of San Diego and China Europe International Business School

Downloads 234 (127,624)

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12.

Implied Measures of Relative Fund Performance

Downloads 185 (159,339)

2

Implied Measures of Relative Fund Performance

EFA 2005 Moscow Meetings

Number of pages: 36 Posted: 07 Feb 2005

Steve Hogan and Mitch Warachka

Credit Suisse First Boston and University of San Diego

Downloads 185 (159,323)

Abstract:

Implied Measures of Relative Fund Performance

Financial Markets and Portfolio Management, Vol. 22, No. 1, pp. 47-66, 2008

Posted: 16 Jun 2008

Steve Hogan and Mitch Warachka

affiliation not provided to SSRN and University of San Diego

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13.

Do Large Gains Make Willing Sellers?

Number of pages: 40 Posted: 14 Oct 2014 Last Revised: 11 Apr 2019

Dong Hong, Roger Loh and Mitch Warachka

Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business and University of San Diego

Downloads 133 (210,559)

Abstract:

14.

Investment in a Smaller World: The Implications of Air Travel for Investors and Firms

Number of pages: 39 Posted: 15 Mar 2016 Last Revised: 21 Feb 2018

Zhi Da, Umit Gurun, Bin Li and Mitch Warachka

University of Notre Dame - Mendoza College of Business, University of Texas at Dallas, University of Oklahoma - Michael F. Price College of Business and University of San Diego

Downloads 100 (259,348)

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15.

What Makes Uninformed Traders Tick?

Number of pages: 40 Posted: 08 Feb 2016 Last Revised: 08 May 2019

Barbara A. Bliss, Mitch Warachka and Marc Weidenmier

University of San Diego, University of San Diego and Claremont McKenna College - Robert Day School of Economics and Finance

Downloads 97 (264,536)

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16.

The Price of Hate: Household Finance and Non-Pecuniary Preferences

Number of pages: 46 Posted: 19 Oct 2017 Last Revised: 26 Mar 2019

Barbara A. Bliss, Joseph Engelberg and Mitch Warachka

University of San Diego, University of California, San Diego (UCSD) - Rady School of Management and University of San Diego

Downloads 74 (312,192)

Abstract:

17.

Lottery Tax Windfalls, State-Level Fiscal Policy, and Consumption

Number of pages: 19 Posted: 10 Jul 2013

Zhi Da, Mitch Warachka and Hayong Yun

University of Notre Dame - Mendoza College of Business, University of San Diego and Michigan State University - Department of Finance

Downloads 34 (438,873)

Abstract:

18.

Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading

Journal of Financial Econometrics, Vol. 7, Issue 3, pp. 288-311, 2009

Posted: 30 Jun 2009

Anthony S. Tay, Christopher Ting, Yiu Kuen Tse and Mitch Warachka

Singapore Management University - School of Economics, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - School of Social Sciences and University of San Diego

Mitch Warachka

University of San Diego

Kaye and Richard Woltman Professor of Finance

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Scholarly Papers (18)

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