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Reproducibility in Management Science

Authors:聽Milo拧 Fi拧ar, Ben Greiner, Christoph Huber, Elena Katok, Ali I. Ozkes, and the Management Science Reproducibility Collaboration*

Published: 11 Mar 2024

2019 SSHRC Grants awarded

Congratulations to the Desautels professors who received 2019 SSHRC Grants.

SSHRC Insight Development Grants

Published: 11 Oct 2019

Professor Ruslan Goyenko awarded 2019 SSHRC Insight Grant

Ruslan Goyenko, Associate Professor in Finance, awarded 2019 SSHRC Insight Grant

Published: 10 Oct 2019

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.

Published: 29 Mar 2018

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

Published: 17 Oct 2017

"Mutual Fund's R2 as Predictor of Performance," Review of Financial Studies

Authors: Amihud, Yakov;聽Goyenko, Ruslan Y.

Publication: Review of Financial Studies, March 2013

Abstract:

Published: 7 Mar 2013
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