Mitch Warachka

University of San Diego

Kaye and Richard Woltman Professor of Finance

5998 Alcala Park

University of San Diego

San Diego, CA 92110-2492

United States

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 2,142

in Total Papers Downloads

15,006

CITATIONS
Rank 11,318

SSRN RANKINGS

Top 11,318

in Total Papers Citations

36

Scholarly Papers (18)

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 University of San Diego
Downloads 5,478 (1,226)
Citation 18

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 University of San Diego
Downloads 2,939 (3,642)
Citation 1

Abstract:

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

3.

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 University of San Diego
Downloads 1,446 (11,911)
Citation 2

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Market Efficiency, Financial Anomalies

4.
Downloads 1,176 ( 16,504)
Citation 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:

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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 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:

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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 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:

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momentum, limited attention, information discreteness

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)

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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 University of San Diego
Downloads 779 (30,079)
Citation 3

Abstract:

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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 University of San Diego
Downloads 542 (48,709)
Citation 2

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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 University of San Diego
Downloads 493 (54,948)
Citation 2

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

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

Abstract:

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Analyst Forecasts, Return Predictability

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)

Abstract:

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Fiscal Policy, Consumption, Stock Returns

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)

Abstract:

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Household Risk Management, Social Networks, FinTech

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:

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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 University of San Diego

Abstract:

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Relative performance, Fund management

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)

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Real Estate, Sell Propensity, Capital Gains, Realization Utility

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)

Abstract:

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Air Travel, Local Bias, Diversification, Cost of Equity

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)

Abstract:

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Price Dissemination, Trend Chasing, Local Bias

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)

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Non-Pecuniary Preference, Household Finance, Sharing Economy

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:

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Lotteries, Fiscal Policy, Consumption

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
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

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