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 Chapman University - The George L. Argyros College of Business and Economics

Downloads 5,757 (2,825)

Citation 35

Abstract:

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 Chapman University - The George L. Argyros College of Business and Economics

Downloads 4,903 (3,721)

Citation 27

Abstract:

3.

Frog in the Pan: Continuous Information and Momentum

Downloads 2,244 (13,334)

Citation 61

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 G. Gurun and Mitch Warachka

University of Notre Dame - Mendoza College of Business, University of Texas at Dallas and Chapman University - The George L. Argyros College of Business and Economics

Downloads 1,600 (22,223)

Citation 10

Abstract:

Frog in the Pan: Continuous Information and Momentum

Number of pages: 61 Posted: 22 Dec 2013

Zhi Da, Umit G. Gurun and Mitch Warachka

University of Notre Dame - Mendoza College of Business, University of Texas at Dallas and Chapman University - The George L. Argyros College of Business and Economics

Downloads 428 (131,542)

Citation 4

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 G. Gurun and Mitch Warachka

University of Notre Dame - Mendoza College of Business, University of Texas at Dallas and Chapman University - The George L. Argyros College of Business and Economics

Downloads 216 (270,801)

Citation 41

Abstract:

4.

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 Chapman University - The George L. Argyros College of Business and Economics

Downloads 1,590 (22,845)

Citation 4

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 Chapman University - The George L. Argyros College of Business and Economics

Downloads 1,012 (44,107)

Citation 1

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 Chapman University - The George L. Argyros College of Business and Economics

Downloads 879 (53,615)

Citation 5

Abstract:

7.

Internalized Retail Order Imbalances and Institutional Liquidity Demand

Number of pages: 72 Posted: 18 Nov 2021 Last Revised: 22 Dec 2023

Yashar H. Barardehi, Dan Bernhardt, Zhi Da and Mitch Warachka

Chapman University - The George L. Argyros College of Business and Economics, University of Illinois at Urbana-Champaign - Department of Economics, University of Notre Dame - Mendoza College of Business and Chapman University - The George L. Argyros College of Business and Economics

Downloads 833 (57,797)

Citation 4

Abstract:

8.

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

Nanyang Technological University - Nanyang Business School and Chapman University - The George L. Argyros College of Business and Economics

Downloads 764 (64,805)

Citation 6

Abstract:

9.

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 Chapman University - The George L. Argyros College of Business and Economics

Downloads 559 (96,359)

Abstract:

10.

Does Finance Make Us Less Social?

Journal of Financial and Quantitative Analysis (JFQA), forthcoming

Number of pages: 57 Posted: 22 Aug 2018 Last Revised: 17 Sep 2021

Henrik Cronqvist, Mitch Warachka and Frank Yu

Chapman University - The George L. Argyros College of Business and Economics, Chapman University - The George L. Argyros College of Business and Economics and China Europe International Business School

Downloads 440 (128,686)

Abstract:

11.

Uncovering the Liquidity Premium in Stock Returns Using Sub-Penny Trade Executions

Number of pages: 80 Posted: 28 Mar 2022 Last Revised: 16 Jan 2024

Yashar H. Barardehi, Dan Bernhardt, Zhi Da and Mitch Warachka

Chapman University - The George L. Argyros College of Business and Economics, University of Illinois at Urbana-Champaign - Department of Economics, University of Notre Dame - Mendoza College of Business and Chapman University - The George L. Argyros College of Business and Economics

Downloads 373 (155,507)

Citation 1

Abstract:

12.

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 Chapman University - The George L. Argyros College of Business and Economics

Downloads 342 (170,865)

Citation 5

Abstract:

13.

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, Chapman University - The George L. Argyros College of Business and Economics and Michigan State University - Department of Finance

Downloads 291 (202,800)

Citation 2

Abstract:

14.

What Makes Uninformed Traders Tick?

Number of pages: 42 Posted: 08 Feb 2016 Last Revised: 16 Apr 2020

Barbara A. Bliss, Mitch Warachka and Marc Weidenmier

University of San Diego, Chapman University - The George L. Argyros College of Business and Economics and Claremont McKenna College - Robert Day School of Economics and Finance

Downloads 279 (211,704)

Citation 1

Abstract:

15.

Do Large Gains Make Willing Sellers?

Forthcoming in Journal of Financial and Quantitative Analysis

Number of pages: 50 Posted: 14 Oct 2014 Last Revised: 28 Dec 2021

Dong Hong, Roger Loh and Mitch Warachka

Singapore Management University - Lee Kong Chian School of Business, Nanyang Technological University - Nanyang Business School and Chapman University - The George L. Argyros College of Business and Economics

Downloads 254 (232,607)

Abstract:

16.

Implied Measures of Relative Fund Performance

Downloads 216 (271,820)

Citation 1

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 Chapman University - The George L. Argyros College of Business and Economics

Downloads 216 (270,801)

Citation 1

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 Chapman University - The George L. Argyros College of Business and Economics

Abstract:

17.

The Information in Industry-Neutral Self-Financed Trades

Journal of Financial & Quantitative Analysis, Forthcoming

Number of pages: 63 Posted: 04 May 2020 Last Revised: 09 May 2023

Yashar H. Barardehi, Zhi Da and Mitch Warachka

Chapman University - The George L. Argyros College of Business and Economics, University of Notre Dame - Mendoza College of Business and Chapman University - The George L. Argyros College of Business and Economics

Downloads 192 (302,908)

Abstract:

18.

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

Number of pages: 39 Posted: 15 Mar 2016 Last Revised: 15 Sep 2020

Zhi Da, Umit G. Gurun, Bin Li and Mitch Warachka

University of Notre Dame - Mendoza College of Business, University of Texas at Dallas, Vanderbilt University - Owen Graduate School of Management and Chapman University - The George L. Argyros College of Business and Economics

Downloads 176 (327,507)

Citation 5

Abstract:

19.

The Value of Openness

Number of pages: 51 Posted: 05 Jul 2023

Joshua Della Vedova, Stephan Siegel and Mitch Warachka

The University of San Diego - Knauss School of Business, University of Washington - Michael G. Foster School of Business and Chapman University - The George L. Argyros College of Business and Economics

Downloads 170 (339,422)

Citation 1

Abstract:

20.

Affiliation Bias in the Online Market for Rental Accommodation

Number of pages: 52 Posted: 19 Oct 2017 Last Revised: 16 Sep 2020

Barbara A. Bliss, Joseph Engelberg and Mitch Warachka

University of San Diego, University of California, San Diego (UCSD) - Rady School of Management and Chapman University - The George L. Argyros College of Business and Economics

Downloads 128 (424,879)

Abstract:

21.

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, Chapman University - The George L. Argyros College of Business and Economics and Michigan State University - Department of Finance

Downloads 66 (650,116)

Citation 1

Abstract:

22.

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 Chapman University - The George L. Argyros College of Business and Economics

Mitch Warachka

Chapman University - The George L. Argyros College of Business and Economics

C. Larry Hoag Chair in Real Estate

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Scholarly Papers (22)

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Other Papers (1)

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