Ruslan Goyenko

McGill University - Desautels Faculty of Management

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

  • McGill University - Desautels Faculty of Management

SCHOLARLY PAPERS

19

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306

CROSSREF CITATIONS

103

Scholarly Papers (19)

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1.

Do Liquidity Measures Measure Liquidity?

Journal of Financial Economics (JFE), Vol. 92, No. 153-181, 2009
Number of pages: 68 Posted: 24 Mar 2008 Last Revised: 02 Sep 2017
Ruslan Goyenko, Craig W. Holden and Charles Trzcinka
McGill University - Desautels Faculty of Management, Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 2,279 (11,012)
Citation 90

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Liquidity, transaction costs, effective spread, price impact, asset pricing

2.

Mutual Fund's R2 as Predictor of Performance

Forthcoming, Review of Financial Studies
Number of pages: 49 Posted: 24 Dec 2008 Last Revised: 10 Nov 2012
Yakov Amihud and Ruslan Goyenko
New York University - Stern School of Business and McGill University - Desautels Faculty of Management
Downloads 2,029 (13,267)
Citation 34

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3.

Do Stock Splits Improve Liquidity?

EFA 2006 Zurich Meetings Paper
Number of pages: 39 Posted: 04 Mar 2005
Ruslan Goyenko, Craig W. Holden and Andrey Ukhov
McGill University - Desautels Faculty of Management, Indiana University - Kelley School of Business - Department of Finance and Cornell University
Downloads 1,779 (16,300)
Citation 7

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4.

Illiquidity Premia in the Equity Options Market

Review of Financial Studies
Number of pages: 72 Posted: 15 Mar 2011 Last Revised: 22 Sep 2017
Peter Christoffersen, Ruslan Goyenko, Kris Jacobs and Mehdi Karoui
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and OMERS
Downloads 1,453 (22,278)
Citation 29

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Illiquidity; equity options; cross-section; delta-hedged option returns

5.

Stock and Bond Pricing with Liquidity Risk

EFA 2005 Moscow Meetings
Number of pages: 61 Posted: 23 Mar 2005
Ruslan Goyenko
McGill University - Desautels Faculty of Management
Downloads 1,391 (23,753)
Citation 15

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6.

The Joint Cross Section of Option and Stock Returns Predictability with Big Data and Machine Learning

Number of pages: 66 Posted: 02 Mar 2021 Last Revised: 23 Mar 2022
Ruslan Goyenko and Chengyu Zhang
McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 969 (39,951)

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Machine learning, Option pricing, Stock return predictability

7.

Treasury Bond Illiquidity and Global Equity Returns

Journal of Financial and Quantitative Analysis, 2014, 49(5-6), 1227-1253, EFA 2008 Athens Meetings Paper
Number of pages: 41 Posted: 05 Mar 2008 Last Revised: 05 Jun 2017
Ruslan Goyenko and Sergei Sarkissian
McGill University - Desautels Faculty of Management and McGill University
Downloads 939 (41,819)
Citation 10

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asset allocation, cross-market linkages, bond illiquidity premium, conditional asset pricing

8.

Mutual Fund's R^2 as Predictor of Performance

Forthcoming, Review of Financial Studies
Number of pages: 49 Posted: 09 Mar 2009 Last Revised: 10 Nov 2012
Yakov Amihud and Ruslan Goyenko
New York University - Stern School of Business and McGill University - Desautels Faculty of Management
Downloads 740 (57,858)
Citation 49

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9.

Disagreement in the Equity Options Market and Stock Returns

Number of pages: 74 Posted: 31 Aug 2019 Last Revised: 28 Apr 2021
Benjamin Golez and Ruslan Goyenko
University of Notre Dame and McGill University - Desautels Faculty of Management
Downloads 694 (63,084)
Citation 1

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Disagreement, dispersion of beliefs, equity options, stock returns, earnings surprises

10.

Multi-(Horizon) Factor Investing with AI

Number of pages: 63 Posted: 12 Aug 2022 Last Revised: 05 Apr 2023
Ruslan Goyenko and Chengyu Zhang
McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 671 (65,818)

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11.

The Term Structure of Bond Market Liquidity

EFA 2008 Athens Meetings Paper
Number of pages: 39 Posted: 03 Mar 2008
Ruslan Goyenko, Avanidhar Subrahmanyam and Andrey Ukhov
McGill University - Desautels Faculty of Management, University of California, Los Angeles (UCLA) - Finance Area and Cornell University
Downloads 650 (68,496)
Citation 1

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12.

Asset Pricing with Attention Guided Deep Learning

Number of pages: 57 Posted: 02 Feb 2022 Last Revised: 19 Jul 2022
Philippe Chatigny, Ruslan Goyenko and Chengyu Zhang
University of Sherbrooke - Departement of Computer Science, McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 587 (77,859)

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No-arbitrage, optimal portfolio, conditional asset pricing, deep learning, attention, big data

13.

Liquidity Guided Machine Learning: The Case of the Volatility Risk Premium

Number of pages: 34 Posted: 13 Jan 2021
Eric Ghysels, Ruslan Goyenko and Chengyu Zhang
University of North Carolina Kenan-Flagler Business School, McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 566 (81,454)

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Machine Learning, Option Pricing

14.

Demand Pressures and Option Returns

Number of pages: 61 Posted: 04 Dec 2019 Last Revised: 08 Mar 2021
Ruslan Goyenko and Chengyu Zhang
McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 531 (88,186)

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15.

Do Option-Based Measures of Stock Mispricing Find Investment Opportunities or Market Frictions?

Number of pages: 49 Posted: 22 Mar 2019 Last Revised: 20 Dec 2019
Martijn Cremers, Ruslan Goyenko, Paul Schultz and Stephen Szaura
University of Notre Dame, McGill University - Desautels Faculty of Management, University of Notre Dame and BI Norwegian School of Business
Downloads 521 (90,310)
Citation 3

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options implied stock prices, expiration risk, stock return predictability

16.

Options Illiquidity: Determinants and Implications for Stock Returns

Rotman School of Management Working Paper No. 2492506
Number of pages: 55 Posted: 07 Sep 2014 Last Revised: 08 Nov 2015
Ruslan Goyenko, Chayawat Ornthanalai and Shengzhe Tang
McGill University - Desautels Faculty of Management, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 504 (94,086)
Citation 11

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Market microstructure; Options; Liquidity; Market making

17.

Treasury Liquidity, Funding Liquidity and Asset Returns

Number of pages: 55 Posted: 16 Mar 2012 Last Revised: 17 Jul 2013
Ruslan Goyenko
McGill University - Desautels Faculty of Management
Downloads 241 (210,648)

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18.

Can AI Read the Minds of Corporate Executives?

Number of pages: 49 Posted: 07 Jul 2023
Nicolas Chapados, Zhenzhen Fan, Ruslan Goyenko, Issam Hadj Laradji, Fred Liu and Chengyu Zhang
ServiceNow Research, University of Manitoba - Department of Accounting and Finance, McGill University - Desautels Faculty of Management, ServiceNow Research, University of Guelph and McGill University - Desautels Faculty of Management
Downloads 236 (215,039)

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19.

Volatility and the Cross-Section of Equity Returns: Market Frictions vs. Arbitrage Risk

Number of pages: 48 Posted: 28 Apr 2020 Last Revised: 08 Mar 2021
Ruslan Goyenko and Paul Schultz
McGill University - Desautels Faculty of Management and University of Notre Dame
Downloads 137 (346,061)
Citation 1

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Short Selling Fees, Idiosyncratic Volatility, Hard to Borrow Stocks

Other Papers (1)

Total Downloads: 183
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1.

Who Is Informed in Options Market?

Number of pages: 64 Posted: 02 Dec 2015 Last Revised: 09 Mar 2019
Ruslan Goyenko
McGill University - Desautels Faculty of Management
Downloads 183 (231,416)

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