Ruslan Goyenko

McGill University - Desautels Faculty of Management

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 3,119

in Total Papers Downloads

9,392

CITATIONS
Rank 3,404

SSRN RANKINGS

Top 3,404

in Total Papers Citations

159

Scholarly Papers (12)

1.

Do Measures of Liquidity Measure Liquidity?

Number of pages: 68 Posted: 24 Mar 2008
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 1,614 (6,964)
Citation 88

Abstract:

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

2.

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 1,467 (8,039)
Citation 4

Abstract:

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 1,299 (8,434)
Citation 19

Abstract:

4.

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 1,027 (13,559)
Citation 11

Abstract:

5.

Treasury Bond Illiquidity and Global Equity Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, EFA 2008 Athens Meetings Paper
Number of pages: 41 Posted: 05 Mar 2008 Last Revised: 18 Nov 2012
Ruslan Goyenko and Sergei Sarkissian
McGill University - Desautels Faculty of Management and McGill University
Downloads 825 (19,709)
Citation 2

Abstract:

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

6.

Illiquidity Premia in the Equity Options Market

Number of pages: 73 Posted: 15 Mar 2011 Last Revised: 17 Oct 2015
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and McGill University
Downloads 635 (18,440)
Citation 3

Abstract:

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

7.

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 587 (34,709)
Citation 15

Abstract:

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 576 (32,056)
Citation 16

Abstract:

9.

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 160 (146,863)

Abstract:

10.

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 134 (93,881)

Abstract:

Market microstructure; Options; Liquidity; Market making

11.

When the Options Market Disagrees

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 42 Posted: 04 Jun 2016
Mathieu Fournier, Ruslan Goyenko and Gunnar Grass
HEC Montreal, McGill University - Desautels Faculty of Management and HEC Montréal
Downloads 0 (460,592)

Abstract:

Options; Order Flows; Disagreement; News

12.

Who Is Informed in Options Market?

Number of pages: 64 Posted: 02 Dec 2015 Last Revised: 05 Dec 2015
Ruslan Goyenko
McGill University - Desautels Faculty of Management
Downloads 0 (240,596)

Abstract: