Reproducibility in Management Science
Authors: Miloš Fišar, Ben Greiner, Christoph Huber, Elena Katok, Ali I. Ozkes, and the Management Science Reproducibility Collaboration*
2019 SSHRC Grants awarded
Congratulations to the Desautels professors who received 2019 SSHRC Grants.
SSHRC Insight Development Grants
Professor Ruslan Goyenko awarded 2019 SSHRC Insight Grant
Ruslan Goyenko, Associate Professor in Finance, awarded 2019 SSHRC Insight Grant
Ruslan Goyenko paper "Illiquidity Premia in Equity Option Markets" selected Editor's Choice in Review of Financial Studies
Professor Ruslan Goyenko's paper "Illiquidity Premia in Equity Option Markets" with Peter Christoffersen, Kris Jacobs and Mehdi Karoui was selected as Editor's Choice article in the March 2018 issue of Review of Financial Studies.
Illiquidity Premia in the Equity Options Market
Authors: Peter Christoffersen, Ruslan Goyenko, Kris Jacobs, Mehdi Karoui
Publication: Review of Financial Studies, Vol. 31, No. 3, March 2018
Abstract:
Standard option valuation models leave no room for option illiquidity premia. Yet we find the risk-adjusted return spread for illiquid over liquid equity options is 3:4% per day for at-the-money calls and 2:5% for at-the-money puts. These premia are computed using option illiquidity measures constructed from intraday effective spreads for a large panel of U.S. equities, and they are robust to different empirical implementations. Our findings are consistent with evidence that market makers in the equity options market hold large and risky net long positions, and positive illiquidity premia compensate them for the risks and costs of these positions.
Read full article: Review of Financial Studies
"Mutual Fund's R2 as Predictor of Performance," Review of Financial Studies
Authors: Amihud, Yakov;Â Goyenko, Ruslan Y.
Publication: Review of Financial Studies, March 2013
Abstract:
