Roman Kozhan

University of Warwick, Warwick Business School

Professor of Finance

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

19

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15,938

CITATIONS
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Top 23,933

in Total Papers Citations

11

Scholarly Papers (19)

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

Number of pages: 25 Posted: 31 Dec 2010 Last Revised: 16 Mar 2014
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick, Warwick Business School
Downloads 5,049 (1,268)
Citation 1

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Adverse Selection, Ambiguity Aversion, Endogenous Commitment

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

WBS Finance Group Research Paper
Number of pages: 25 Posted: 18 Feb 2015
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick, Warwick Business School
Downloads 128 (204,504)
Citation 1

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Adverse Selection, Ambiguity Aversion, Endogenous Commitment

2.

Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information

Number of pages: 13 Posted: 31 Jul 2012 Last Revised: 16 Mar 2014
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick, Warwick Business School
Downloads 2,363 (4,836)

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ambiguity aversion, asymmetric information, value of ambiguous information

3.
Downloads 1,987 ( 6,450)
Citation 5

The Skew Risk Premium in the Equity Index Market

Review of Financial Studies (2013), 26, 2174-2203, AFA 2011 Denver Meetings Paper
Number of pages: 34 Posted: 18 Mar 2010 Last Revised: 04 Oct 2014
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick, Warwick Business School, Cass Business School, City, University of London and University of Lugano - Institute of Finance
Downloads 1,893 (6,885)
Citation 5

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skew risk premium, variance risk premium, index options

The Skew Risk Premium in the Equity Index Market

WBS Finance Group Research Paper
Number of pages: 34 Posted: 18 Feb 2015
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick, Warwick Business School, Cass Business School, City, University of London and University of Lugano - Institute of Finance
Downloads 94 (255,935)
Citation 5

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Downloads 1,373 ( 11,956)
Citation 1

Execution Risk in High-Frequency Arbitrage

Number of pages: 38 Posted: 29 Mar 2012
Roman Kozhan and Wing Wah Tham
University of Warwick, Warwick Business School and University of New South Wales (UNSW)
Downloads 697 (31,973)
Citation 1

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execution risk, limit to arbitrage, liquidity, high-frequency trading strategies

How Riskless is 'Riskless' Arbitrage?

Number of pages: 56 Posted: 24 Jan 2010 Last Revised: 16 Mar 2014
Roman Kozhan and Wing Wah Tham
University of Warwick, Warwick Business School and University of New South Wales (UNSW)
Downloads 676 (33,388)

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execution risk, limit to arbitrage, liquidity, inventory costs

5.
Downloads 978 ( 20,129)

Toxic Arbitrage

HEC Paris Research Paper No. FIN-2014-1040
Number of pages: 53 Posted: 15 Mar 2014 Last Revised: 28 Sep 2016
Thierry Foucault, Roman Kozhan and Wing Wah Tham
HEC Paris - Finance Department, University of Warwick, Warwick Business School and University of New South Wales (UNSW)
Downloads 977 (19,810)

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Arbitrage, Liquidity, Adverse Selection, High Frequency Trading

Toxic Arbitrage

CEPR Discussion Paper No. DP9925
Number of pages: 64 Posted: 02 Jun 2014
Thierry Foucault, Roman Kozhan and Wing Wah Tham
HEC Paris - Finance Department, University of Warwick, Warwick Business School and University of New South Wales (UNSW)
Downloads 1 (622,780)
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Adverse Selection, Arbitrage, High Frequency Trading, Liquidity

Optimal Security Design under Asymmetric Information and Profit Manipulation

Number of pages: 50 Posted: 27 Jun 2014 Last Revised: 28 Mar 2018
University of Warwick - Finance Group, University of Warwick, Warwick Business School and University of Rochester - Simon Business School
Downloads 578 (41,192)

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Security design, financial innovation, capital structure, asymmetric information, venture capital

Optimal Security Design Under Asymmetric Information and Profit Manipulation

WBS Finance Group Research Paper
Number of pages: 36 Posted: 18 Feb 2015
University of Warwick - Finance Group, University of Warwick, Warwick Business School and University of Rochester - Simon Business School
Downloads 203 (136,762)

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security design, financial innovation, capital structure, asymmetric information, venture capital

7.

Asymmetric Momentum Effects Under Uncertainty

Number of pages: 39 Posted: 20 May 2010
David Kelsey, Roman Kozhan and Wei Pang
University of Exeter Business School - Department of Economics, University of Warwick, Warwick Business School and Kingston University
Downloads 638 (36,658)
Citation 1

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Momentum, Knightian Uncertainty, Asymmetric Response

8.

The Information Content of a Limit Order Book: The Case of an FX Market

Number of pages: 44 Posted: 18 Jan 2011
Roman Kozhan and Mark Salmon
University of Warwick, Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 437 (59,388)
Citation 2

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limit order book, profitability, high-frequency data

9.

The Cross-Section of Currency Volatility Premia

Number of pages: 87 Posted: 13 Jan 2017 Last Revised: 15 Jul 2017
Imperial College London, University of Warwick, Warwick Business School and Cass Business School, City, University of London
Downloads 333 (82,152)

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Forward Volatility Agreement, Foreign Exchange Volatility, Risk Premium, Term Structure

10.

Uncertainty Aversion in an Agent-Based Model of Foreign Exchange Rate Formation

Number of pages: 23 Posted: 03 Mar 2007
Roman Kozhan and Mark Salmon
University of Warwick, Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 321 (85,315)
Citation 1

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uncertainty aversion, exchange rate formation, agent-based modeling

Market Order Flows, Limit Order Flows and Returns: Theory and Evidence

Number of pages: 51 Posted: 02 Mar 2014 Last Revised: 02 Apr 2018
Roman Kozhan, Michael Moore and Richard Payne
University of Warwick, Warwick Business School, University of Warwick - Warwick Business School and City University London - Sir John Cass Business School
Downloads 221 (126,600)

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Market order flow, limit order flow, price discovery

Market Order Flows, Limit Order Flows and Returns: Theory and Evidence

Number of pages: 51 Posted: 27 Nov 2015 Last Revised: 01 Apr 2018
Roman Kozhan, Michael Moore and Richard Payne
University of Warwick, Warwick Business School, University of Warwick - Warwick Business School and City University London - Sir John Cass Business School
Downloads 82 (279,138)

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Market order flow, limit order flow, price discovery

12.

Short Selling and Price Discovery in Corporate Bonds

Number of pages: 70 Posted: 04 Jun 2014 Last Revised: 13 Nov 2017
Terrence Hendershott, Roman Kozhan and Vikas Raman
University of California, Berkeley - Haas School of Business, University of Warwick, Warwick Business School and Lancaster University - Department of Accounting and Finance
Downloads 259 (108,984)

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Short Selling, Corporate Bonds, Financial Crisis

13.

On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates

Number of pages: 46 Posted: 23 May 2008
Roman Kozhan and Mark Salmon
University of Warwick, Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 237 (117,873)

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Knightian uncertainty, market timing, predictability, high-frequency data

14.

Non-Additive Anonymous Games

Number of pages: 22 Posted: 06 May 2010
Roman Kozhan
University of Warwick, Warwick Business School
Downloads 212 (131,532)

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Anonymous Game, Uncertainty, Non-Additive Measure, Capacity

15.

Spurious Regressions of Stationary AR(p) Processes with Structural Breaks

Number of pages: 38 Posted: 12 Jul 2010
Ba M. Chu and Roman Kozhan
Carleton University and University of Warwick, Warwick Business School
Downloads 205 (135,752)

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Spurious Regression, Weak Dependence, Structural Breaks, Strictly Stationary, Autoregressive Processes

16.

Firms' Investment under Financial Constraints: A Euro Area Investigation

Number of pages: 33 Posted: 01 Mar 2009 Last Revised: 16 Mar 2014
Rozalia Pal and Roman Kozhan
European University Viadrina Frankfurt (Oder) and University of Warwick, Warwick Business School
Downloads 193 (143,630)

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financing constraints, growth, investment, cash flow sensitivity

17.

Insider Selling on Public Information: Evidence from Competition with Short Sellers

Number of pages: 64 Posted: 18 Mar 2017
Harold Contreras, Jana P. Fidrmuc and Roman Kozhan
Faculty of Economics and Business - University of Chile, Warwick Business School - Finance Group and University of Warwick, Warwick Business School
Downloads 95 (252,324)

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Insider trading, Short selling, Informed trading, Earnings announcements

18.

When Do Shorts Harm Liquidity? Evidence from Cross-Listing Arbitrage

Number of pages: 35 Posted: 13 Feb 2018
University of Exeter, University of Warwick and University of Warwick, Warwick Business School
Downloads 44 (377,263)

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short selling, toxic arbitrage, liquidity, cross-listing

19.

Parameter Learning in Production Economies

Number of pages: 47
Mykola Babiak and Roman Kozhan
Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute) and University of Warwick, Warwick Business School
Downloads 2

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Parameter Learning, Equity Premium, Business Cycles, Markov Switching