Ruslan Goyenko

McGill University - Desautels Faculty of Management

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 3,076

SSRN RANKINGS

Top 3,076

in Total Papers Downloads

23,075

TOTAL CITATIONS
Rank 3,760

SSRN RANKINGS

Top 3,760

in Total Papers Citations

286

Scholarly Papers (20)

1.
Downloads 3,436 ( 7,214)

Trading Volume Alpha

Number of pages: 52 Posted: 23 Apr 2024 Last Revised: 01 Aug 2024
McGill University - Desautels Faculty of Management, Yale SOM, Yale University, Yale SOMAQR Capital, Johns Hopkins University - Carey Business School and Hong Kong University of Science and Technology (Guangzhou)
Downloads 3,422 (7,101)

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machine learning, AI, neural networks, portfolio optimization, trading volume, trading costs, investments

Trading Volume Alpha

NBER Working Paper No. w33037
Number of pages: 53 Posted: 08 Oct 2024
McGill University - Desautels Faculty of Management, Yale SOM, Yale University, Yale SOMAQR Capital, Johns Hopkins University - Carey Business School and Hong Kong University of Science and Technology (Guangzhou)
Downloads 14 (1,189,467)
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2.

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 2,566 (11,419)
Citation 90

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

3.

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 2,223 (14,344)
Citation 38

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4.

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 1,831 (19,551)
Citation 7

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5.

Illiquidity Premia in the Equity Options Market

Review of Financial Studies
Number of pages: 72 Posted: 15 Mar 2011 Last Revised: 22 Sep 2017
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 1,628 (23,369)
Citation 29

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

6.

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 1,466 (27,381)
Citation 15

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7.

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 Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 1,262 (34,205)

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Machine learning, Option pricing, Stock return predictability

8.

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 968 (50,031)
Citation 1

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

9.

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 960 (50,514)
Citation 10

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

10.

Can AI Read the Minds of Corporate Executives?

Number of pages: 54 Posted: 07 Jul 2023 Last Revised: 09 Apr 2024
ServiceNow Research, Gordon S Lang School of Business and Economics, University of Guelph, Guelph, Canada - Department of Economics and Finance, McGill University - Desautels Faculty of Management, ServiceNow Research, University of Guelph and Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 866 (58,380)

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11.

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
Riskfuel, McGill University - Desautels Faculty of Management and Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 830 (61,683)
Citation 1

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

12.

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 770 (68,172)
Citation 78

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13.

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
University of Notre Dame, McGill University - Desautels Faculty of Management, University of Notre Dame and BI Norwegian School of Business
Downloads 700 (77,184)
Citation 3

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options implied stock prices, expiration risk, stock return predictability

14.

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 692 (78,308)
Citation 1

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15.

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 Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 674 (80,902)
Citation 1

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16.

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 Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 639 (86,603)

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Machine Learning, Option Pricing

17.

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 584 (97,204)
Citation 11

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Market microstructure; Options; Liquidity; Market making

18.

Intraday Option Return: A Tale of Two Momentum

Number of pages: 34 Posted: 16 Dec 2024
Zhi Da, Ruslan Goyenko and Chengyu Zhang
University of Notre Dame - Mendoza College of Business, McGill University - Desautels Faculty of Management and Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 476 (124,959)

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19.

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 271 (232,935)

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20.

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 233 (271,888)
Citation 1

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Short Selling Fees, Idiosyncratic Volatility, Hard to Borrow Stocks

Other Papers (1)

Total Downloads: 208
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 208 (231,416)

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