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

16

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12,348

SSRN CITATIONS
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SSRN RANKINGS

Top 5,281

in Total Papers Citations

152

CROSSREF CITATIONS

98

Scholarly Papers (16)

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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 2,021 (9,135)
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 1,779 (11,203)
Citation 24

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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 1,697 (12,065)
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 1,306 (18,176)
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 1,288 (18,521)
Citation 15

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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 907 (31,044)
Citation 10

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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 699 (44,306)
Citation 23

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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 626 (51,309)
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 418 (84,399)
Citation 9

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Market microstructure; Options; Liquidity; Market making

10.

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

Number of pages: 67 Posted: 02 Mar 2021
Ruslan Goyenko and Chengyu Zhang
McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 310 (118,130)

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Machine learning, Option pricing, Stock return predictability

11.

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 McGill University - Desautels Faculty of Management
Downloads 284 (129,714)
Citation 1

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options implied stock prices, expiration risk, stock return predictability

12.

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 282 (130,645)

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Machine Learning, Option Pricing

13.

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 232 (158,754)
Citation 1

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

14.

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 213 (172,142)

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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 McGill University - Desautels Faculty of Management
Downloads 208 (176,097)

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16.

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 78 (367,972)

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Short Selling Fees, Idiosyncratic Volatility, Hard to Borrow Stocks

Other Papers (1)

Total Downloads: 144
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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 144 (231,416)

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