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

14

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11,067

SSRN CITATIONS
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107

CROSSREF CITATIONS

99

Scholarly Papers (14)

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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 1,917 (8,584)
Citation 73

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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 1,712 (10,341)
Citation 19

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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 1,643 (11,048)
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 1,283 (16,220)
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 1,237 (17,123)
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 904 (27,227)
Citation 9

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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 686 (39,878)
Citation 14

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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 615 (46,103)
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 391 (80,695)
Citation 6

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Market microstructure; Options; Liquidity; Market making

10.

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 217 (151,231)

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options implied stock prices, expiration risk, stock return predictability

11.

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 204 (160,255)

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12.

Disagreement in the Equity Options Market and Stock Returns

Number of pages: 49 Posted: 31 Aug 2019
Benjamin Golez and Ruslan Goyenko
University of Notre Dame and McGill University - Desautels Faculty of Management
Downloads 108 (269,527)

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

13.

Price Pressures and Noise in Option Returns

Number of pages: 51 Posted: 04 Dec 2019 Last Revised: 26 May 2020
Ruslan Goyenko and Chengyu Zhang
McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 101 (282,343)

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14.

Volatility and the Cross-Section of Equity Returns: The Role of Short-Selling Constraints

Number of pages: 44 Posted: 28 Apr 2020
Ruslan Goyenko and Paul Schultz
McGill University - Desautels Faculty of Management and University of Notre Dame
Downloads 49 (418,788)

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Short Selling Fees, Idiosyncratic Volatility, Hard to Borrow Stocks

Other Papers (1)

Total Downloads: 135
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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 135 (231,416)

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