Mitch Warachka

Chapman University

Orange, CA 92866

United States

  • Chapman University

SCHOLARLY PAPERS

19

DOWNLOADS

15,845

SSRN CITATIONS

94

CROSSREF CITATIONS

26

Scholarly Papers (19)

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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
Downloads 5,540 (1,408)
Citation 20

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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
Downloads 3,247 (3,595)
Citation 24

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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
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
Downloads 1,463 (13,501)
Citation 4

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Market Efficiency, Financial Anomalies

4.

Frog in the Pan: Continuous Information and Momentum

Downloads 1,335 ( 15,599)
Citation 21

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 Chapman University
Downloads 899 (27,525)
Citation 6

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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 Chapman University
Downloads 264 (126,610)
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 Gurun and Mitch Warachka
University of Notre Dame - Mendoza College of Business, University of Texas at Dallas and Chapman University
Downloads 172 (190,080)
Citation 14

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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 Chapman University
Downloads 823 (31,705)
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
Downloads 792 (33,406)
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
Downloads 567 (52,142)
Citation 7

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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
Downloads 497 (61,574)

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

9.

Does Finance Make Us Less Social?

University of Miami Business School Research Paper No. 3229344
Number of pages: 41 Posted: 22 Aug 2018 Last Revised: 29 May 2020
Henrik Cronqvist, Mitch Warachka and Frank Yu
University of Miami - Department of Finance, Chapman University and China Europe International Business School
Downloads 271 (123,242)

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Household Risk Management, Financial Contracts, Social Networks

10.

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
Downloads 263 (127,251)
Citation 3

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Analyst Forecasts, Return Predictability

11.

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 and Michigan State University - Department of Finance
Downloads 249 (134,613)
Citation 1

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Fiscal Policy, Consumption, Stock Returns

12.

Implied Measures of Relative Fund Performance

Downloads 187 (176,524)
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
Downloads 187 (176,419)
Citation 1

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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

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Relative performance, Fund management

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 and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 169 (193,898)

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Price Dissemination, Trend Chasing, Return Co-Movement

14.

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 Chapman University
Downloads 147 (216,863)

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Real Estate, Sell Propensity, Capital Gains, Realization Utility

15.

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 Houston - Department of Accountancy & Taxation and Chapman University
Downloads 128 (242,055)
Citation 2

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Air Travel, Local Bias, Diversification, Cost of Equity

16.

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

Number of pages: 48 Posted: 19 Oct 2017 Last Revised: 07 Oct 2019
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
Downloads 94 (300,463)

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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, Chapman University and Michigan State University - Department of Finance
Downloads 37 (474,154)

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Lotteries, Fiscal Policy, Consumption

18.

The Information in Trade Financing

Number of pages: 44 Posted: 04 May 2020 Last Revised: 23 Jul 2020
Yashar H. Barardehi, Zhi Da and Mitch Warachka
Chapman University - The George L. Argyros School of Business and Economics, University of Notre Dame - Mendoza College of Business and Chapman University
Downloads 36 (478,656)

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Informed Trading, Financing Constraints, Relative Valuation

19.

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

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