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

11

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CITATIONS
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161

Scholarly Papers (11)

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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 1,847 (8,193)
Citation 13

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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 1,652 (9,827)
Citation 6

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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 1,631 (10,058)
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 1,259 (15,177)
Citation 16

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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 1,211 (16,114)
Citation 12

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6.

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 894 (25,324)
Citation 4

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

7.

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 679 (37,007)
Citation 5

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8.

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 603 (43,346)
Citation 1

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9.

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 362 (81,258)
Citation 5

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Market microstructure; Options; Liquidity; Market making

10.

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 195 (154,627)

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11.

Informed Trading of Options, Option Expiration Risk, and Stock Return Predictability

Number of pages: 52 Posted: 22 Mar 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 McGill University - Desautels Faculty of Management
Downloads 160 (184,183)

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options implied stock prices, expiration risk, stock return predictability

Other Papers (1)

Total Downloads: 128
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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 128 (231,416)

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