Elvira Sojli

UNSW Business School, School of Banking and Finance

Senior Lecturer

Sydney, NSW 2052

Australia

http://sites.google.com/site/esojli/

RSM Erasmus University

Associate Professor of Finance

Finance Department T8-44

Burgemeester Oudlaan 50, PO Box 1738

Rotterdam, 3000DR

Netherlands

http://www.rsm.nl/people/elvira-sojli/

SCHOLARLY PAPERS

9

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1,803

CITATIONS
Rank 12,391

SSRN RANKINGS

Top 12,391

in Total Papers Citations

32

Scholarly Papers (9)

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 Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 450 (51,947)
Citation 3

Abstract:

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 Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 390 (61,861)
Citation 1

Abstract:

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 Business School, School of Banking and Finance, University of New South Wales (UNSW) and Erasmus University Rotterdam
Downloads 234 (91,832)

Abstract:

liquidity, forecasting, expected returns, economic valuation

4.

Identifying Cross-Sided Liquidity Externalities

Asian Finance Association (AsFA) 2013 Conference, Norges Bank Working Paper 2012-20
Number of pages: 55 Posted: 21 Mar 2012 Last Revised: 19 Aug 2013
Central Bank of Norway, UNSW Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 212 (120,463)

Abstract:

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

5.

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
Ivey Business School, City University London - Sir John Cass Business School and UNSW Business School, School of Banking and Finance
Downloads 112 (183,728)
Citation 2

Abstract:

Order flow, Canadian dollar, Future commodity

6.

Stock Market Illiquidity, Funding Liquidity, and Bond Risk Premia

Asian Finance Association (AsFA) 2013 Conference, 26th Australasian Finance and Banking Conference 2013
Number of pages: 57 Posted: 20 Mar 2012 Last Revised: 05 Dec 2013
Kees E. Bouwman, Elvira Sojli and Wing Wah Tham
Cardano Risk Management, UNSW Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 105 (131,564)

Abstract:

Market liquidity, Bond risk premia, Flight-to-quality

7.

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 Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 97 (197,978)

Abstract:

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

8.

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, City University London - Sir John Cass Business School and UNSW Business School, School of Banking and Finance
Downloads 5 (524,439)
Citation 25
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Abstract:

exchange rates, forecasting, macroeconomic news, microstructure, order flow

9.

Quotes, Trades and the Cost of Capital

Number of pages: 50 Posted: 24 Jul 2017
Ioanid Rosu, Elvira Sojli and Wing Wah Tham
HEC Paris - Finance Department, UNSW Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 0 (413,605)

Abstract:

Liquidity, price discovery, volatility, trading volume, monitoring, neglected stocks, risk aversion, inventory, high frequency trading