Mitch Warachka

Chapman University - The George L. Argyros School of Business & Economics

C. Larry Hoag Chair in Real Estate

333 N. Glassell

Orange, CA 92866

United States

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 2,815

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Top 2,815

in Total Papers Downloads

18,122

SSRN CITATIONS
Rank 8,494

SSRN RANKINGS

Top 8,494

in Total Papers Citations

126

CROSSREF CITATIONS

25

Scholarly Papers (21)

1.

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 School of Business & Economics
Downloads 5,635 (1,980)
Citation 23

Abstract:

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market efficiency, statistical arbitrage, arbitrage, momentum, value

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 School of Business & Economics
Downloads 3,983 (3,646)
Citation 27

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Firm Performance, Corporate Governance, Tobin's q, Operating Efficiency

3.
Downloads 1,672 ( 15,044)
Citation 28

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 School of Business & Economics
Downloads 1,149 (25,954)
Citation 5

Abstract:

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Momentum, Information Discreteness, Idiosyncratic Volatility

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 School of Business & Economics
Downloads 338 (125,152)
Citation 3

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Momentum, Information Discreteness, Idiosyncratic Volatility

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 School of Business & Economics
Downloads 185 (226,703)
Citation 22

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momentum, limited attention, information discreteness

4.

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

Number of pages: 54 Posted: 03 Feb 2005
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 School of Business & Economics
Downloads 1,521 (17,389)
Citation 4

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Market Efficiency, Financial Anomalies

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 School of Business & Economics
Downloads 890 (37,962)
Citation 1

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Analyst Forecasts, Limited Attention, Return Predictability

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 School of Business & Economics
Downloads 815 (42,815)
Citation 5

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Momentum, Informed Trading, Liquidity, Uncertainty

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 Chapman University - The George L. Argyros School of Business & Economics
Downloads 632 (59,786)
Citation 6

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Trends, Streaks, Gambler's Fallacy, Post-Earnings Announcement Drift

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 Chapman University - The George L. Argyros School of Business & Economics
Downloads 509 (78,475)

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Forecast Accuracy, Uncertainty, Momentum, Bounded Rationality, Appearance of Behavioral Biases

9.

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 School of Business & Economics, Chapman University - The George L. Argyros School of Business & Economics and China Europe International Business School
Downloads 373 (113,178)

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Household Risk Management, Financial Contracts, Social Networks

10.

Internalized Retail Order Imbalances and Institutional Liquidity Demand

Number of pages: 72 Posted: 18 Nov 2021 Last Revised: 23 May 2022
Chapman University - The George L. Argyros School of Business & 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 School of Business & Economics
Downloads 352 (121,178)

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Retail Trade, Institutional Trade, Payment for Order Flow, Internalization, Liquidity, Microstructure

11.

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 School of Business & Economics
Downloads 287 (149,448)
Citation 5

Abstract:

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Analyst Forecasts, Return Predictability

12.

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 School of Business & Economics and Michigan State University - Department of Finance
Downloads 264 (162,537)
Citation 2

Abstract:

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Fiscal Policy, Consumption, Stock Returns

13.

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 School of Business & Economics and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 252 (170,236)
Citation 1

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Price Dissemination, Trend Chasing, Return Co-Movement

14.

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, Singapore Management University - Lee Kong Chian School of Business and Chapman University - The George L. Argyros School of Business & Economics
Downloads 224 (190,402)

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Real Estate, Sell Propensity, Capital Gains, Realization Utility, Disposition Effect

15.
Downloads 190 (221,546)
Citation 1

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 School of Business & Economics
Downloads 190 (221,473)
Citation 1

Abstract:

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Performance Measurement, Relative Performance

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 School of Business & Economics

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Relative performance, Fund management

16.

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, University of Houston - Bauer College of Business and Chapman University - The George L. Argyros School of Business & Economics
Downloads 145 (277,666)
Citation 5

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Air Travel, Local Bias, Diversification, Cost of Equity

17.

The Information in Industry-Neutral Self-Financed Trades

Number of pages: 63 Posted: 04 May 2020 Last Revised: 22 Jun 2022
Yashar H. Barardehi, Zhi Da and Mitch Warachka
Chapman University - The George L. Argyros School of Business & Economics, University of Notre Dame - Mendoza College of Business and Chapman University - The George L. Argyros School of Business & Economics
Downloads 126 (309,118)

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Informed Trading, Self Financing, Industry Neutral, Institutional Investor Skill

18.

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 School of Business & Economics
Downloads 108 (344,643)

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Affiliation Bias, Rental Accommodation, Financial Constraints

19.

Uncovering the Liquidity Premium in Stock Returns Using Retail Liquidity Provision

Number of pages: 61 Posted: 28 Mar 2022 Last Revised: 26 Jul 2022
Chapman University - The George L. Argyros School of Business & 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 School of Business & Economics
Downloads 101 (360,344)

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Institutional Trading Costs, Liquidity Premia, Retail Trade, Internalized Order Flow

20.

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 School of Business & Economics and Michigan State University - Department of Finance
Downloads 43 (557,680)
Citation 1

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Lotteries, Fiscal Policy, Consumption

21.

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
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 School of Business & Economics

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C410, G120, autoregressive conditional duration, market microstructure, probability of informed trading, transaction data, Weibull distribution

Other Papers (1)

Total Downloads: 28
1.

Does Finance Make Us Less Social?

Finance Down Under 2019 Building on the Best from the Cellars of Finance
Number of pages: 43 Posted: 13 Aug 2018 Last Revised: 17 Nov 2020
Henrik Cronqvist, Mitch Warachka and Frank Yu
Chapman University - The George L. Argyros School of Business & Economics, Chapman University - The George L. Argyros School of Business & Economics and China Europe International Business School
Downloads 28

Abstract:

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Household Risk Management, Social Networks, FinTech