Elvira Sojli

UNSW Australia Business School, School of Banking and Finance

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 25,007

SSRN RANKINGS

Top 25,007

in Total Papers Downloads

2,516

SSRN CITATIONS
Rank 13,054

SSRN RANKINGS

Top 13,054

in Total Papers Citations

33

CROSSREF CITATIONS

59

Scholarly Papers (14)

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 518 (68,319)
Citation 9

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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 409 (90,687)
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 317 (120,766)
Citation 1

Abstract:

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liquidity, forecasting, expected returns, economic valuation

4.

Time-varying Group Unobserved Heterogeneity in Finance

Number of pages: 62 Posted: 08 Oct 2018 Last Revised: 23 Feb 2021
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 231 (166,493)

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

5.

Quoting Activity and the Cost of Capital

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 46 Posted: 24 Jul 2017 Last Revised: 07 Aug 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 212 (180,665)

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

6.

Deleting Unreported Innovation

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 62 Posted: 04 Mar 2021
ESSEC Business School, National University of Singapore, UNSW Australia Business School, School of Banking and Finance, University of New South Wales (UNSW) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 186 (204,507)
Citation 1

Abstract:

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Bias, Listwise Deletion, Innovation, Measuring Innovation, Multiple Imputation, Non-patenting Firms, Unreported R&D, Patents

7.

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 157 (235,364)
Citation 2

Abstract:

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Order flow, Canadian dollar, Future commodity

8.

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 152 (243,004)
Citation 2

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

9.

Equity Trading Activity and Treasury Bond Risk Premia

Forthcoming Journal of Financial and Quantitative Analysis
Number of pages: 70 Posted: 18 Oct 2019 Last Revised: 12 Aug 2021
Department of Finance, University of Vienna, 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 144 (252,504)

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Equity market volume; Volatility; Bond risk premia; Difference of opinion; Monetary policy uncertainty

10.

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 137 (262,662)

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

11.

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 48 (486,833)

Abstract:

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

12.

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 (756,049)
Citation 8
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exchange rates, forecasting, macroeconomic news, microstructure, order flow

13.

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 (809,212)
Citation 4
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foreign political connection, shareholder value, government contracts, strategic political management, liability of foreignness

14.

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