Elvira Sojli

UNSW Australia Business School, School of Banking and Finance

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

13

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Top 26,895

in Total Papers Downloads

1,788

SSRN CITATIONS
Rank 12,706

SSRN RANKINGS

Top 12,706

in Total Papers Citations

15

CROSSREF CITATIONS

59

Scholarly Papers (13)

1.

Flashes of Trading Intent at the NASDAQ

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, Norges Bank Working Paper 17, AFA 2012 Chicago Meetings Paper
Number of pages: 57 Posted: 22 Mar 2011 Last Revised: 19 Jul 2016
Central Bank of Norway, UNSW Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 497 (57,782)
Citation 8

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Actionable Indication of Interest (IOI); Flash orders; High-frequency Trading; Market quality; Market transparency; Sunshine trading.

2.

The Impact of Foreign Government Investments on Corporate Performance: Evidence from the U.S.

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 26 Jan 2010 Last Revised: 01 Aug 2011
Elvira Sojli and Wing Wah Tham
UNSW Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 400 (75,268)
Citation 2

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Foreign Government Investments; Foreign Political Connections; Government-related Contracts; Internationalization; Large Shareholders

3.

Economic Valuation of Liquidity Timing

Journal of Banking and Finance, 37, p5073-5087
Number of pages: 46 Posted: 28 Feb 2013 Last Revised: 05 Aug 2014
Erasmus University Rotterdam, UNSW Australia Business School, School of Banking and Finance, University of New South Wales (UNSW) and Erasmus University Rotterdam
Downloads 303 (102,973)
Citation 1

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liquidity, forecasting, expected returns, economic valuation

4.

Timing Exchange Rates Using Order Flow: The Case of the Loonie

Journal of Banking and Finance, Forthcoming
Number of pages: 36 Posted: 10 Mar 2010
Michael R. King, Lucio Sarno and Elvira Sojli
Gustavson School Of Business, University of Cambridge - Judge Business School and UNSW Australia Business School, School of Banking and Finance
Downloads 150 (201,671)
Citation 2

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Order flow, Canadian dollar, Future commodity

5.

Divided Governments and Futures Prices

Journal of Econometrics, Forthcoming
Number of pages: 29 Posted: 12 May 2013 Last Revised: 05 Sep 2016
Elvira Sojli and Wing Wah Tham
UNSW Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 129 (227,666)

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Divided government, elections, expected returns, policy uncertainty, prediction markets

6.

Quoting Activity and the Cost of Capital

HEC Paris Research Paper No. FIN-2017-1232, 31st Australasian Finance and Banking Conference 2018
Number of pages: 55 Posted: 24 Jul 2017 Last Revised: 25 Jan 2020
Ioanid Rosu, Elvira Sojli and Wing Wah Tham
HEC Paris - Finance Department, UNSW Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 120 (240,375)

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Quote-to-trade ratio, market making, liquidity, price discovery, monitoring, information acquisition, neglected stocks, inventory, high frequency trading

7.

Central Bank Issued Digital Cash

Number of pages: 36 Posted: 01 Aug 2018
Andreas Furche and Elvira Sojli
Capital Markets CRC Limited (CMCRC) and UNSW Australia Business School, School of Banking and Finance
Downloads 90 (292,660)
Citation 1

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cash, cryptocurrencies, digital cash, blockchain, distributed ledger, digital certificates, financial technology

8.

The Equity Volatility-Volume Ratio and Treasury Bond Returns

Number of pages: 70 Posted: 18 Oct 2019 Last Revised: 19 Jan 2020
University of New South Wales, UNSW Australia Business School, School of Banking and Finance, University of California, Los Angeles (UCLA) - Finance Area and University of New South Wales (UNSW)
Downloads 58 (373,935)

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Stock market volume-to-volatility ratio; Amihud ratio; Bond risk premia; Difference of opinion; Monetary policy uncertainty

9.

Commute Time and Labor Supply

Number of pages: 53 Posted: 07 May 2018 Last Revised: 16 Jun 2018
Sumit Agarwal, Elvira Sojli and Wing Wah Tham
National University of Singapore, UNSW Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 28 (492,208)

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Commute time, labor supply, elasticity, task juggling, trains, buses, big data

10.

Market-wide Events and Time Fixed Effects

Number of pages: 56 Posted: 08 Oct 2018 Last Revised: 23 Aug 2019
Elvira Sojli, Wing Wah Tham and Wendun Wang
UNSW Australia Business School, School of Banking and Finance, University of New South Wales (UNSW) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 8 (614,199)

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Time-varying unobserved heterogeneity; clustering; common shocks; group fixed effects; fixed effects; heterogeneity bias

11.

Exchange Rate Forecasting, Order Flow and Macroeconomic Information

CEPR Discussion Paper No. DP7225
Number of pages: 51 Posted: 07 Apr 2009
Dagfinn Rime, Lucio Sarno and Elvira Sojli
BI Norwegian Business School, University of Cambridge - Judge Business School and UNSW Australia Business School, School of Banking and Finance
Downloads 5 (634,343)
Citation 2
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exchange rates, forecasting, macroeconomic news, microstructure, order flow

12.

Foreign Political Connections

Journal of International Business Studies, Vol. 48, Issue 2, 2017
Number of pages: 23 Posted: 24 Apr 2018
Elvira Sojli and Wing Tham
UNSW Australia Business School, School of Banking and Finance and affiliation not provided to SSRN
Downloads 0 (687,804)
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foreign political connection, shareholder value, government contracts, strategic political management, liability of foreignness

13.

Cross-Sided Liquidity Externalities

Management Science (Forthcoming)
Posted: 21 Mar 2012 Last Revised: 07 Feb 2018
Central Bank of Norway, UNSW Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)

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Liquidity cycle, Liquidity externality, Two-sided markets, Make/take fees