Ruslan Goyenko

Work
Faculty of Management
McGill University
1001 Sherbrooke Street West
Montreal, PQ, Canada H3A 1G5
Email: ruslan.goyenko@mcgill.ca

Academic experience

  •  Visiting Associate Professor of Finance, University of Notre Dame, 09/2017 – present
  • Associate Professor of Finance (with tenure), McGill University, 2013 – present
  • Assistant Professor of Finance, University of Toronto, 2013 – 2014
  • Assistant Professor of Finance, McGill University, 2006-2013

 

Education

PhD in Finance, Kelley School of Business, Indiana University, Bloomington, IN – 2006

Research interests

  • Empirical Asset Pricing
  • Liquidity
  • Market Microstructure
  • Mutual Funds Performance
  • Evaluation and Predictability
  • Equity Options Pricing

 

Publications

  • “Illiquidity Premia in Equity Option Markets” with Peter Christoffersen, Kris Jacobs and Mehdi Karoui, (2017), Forthcoming, Review of Financial Studies
  •  “Treasury Bond Illiquidity and Global Equity Returns” with Sergei Sarkissian, Journal of Financial and Quantitative Analysis, 49 (2014), 1227 – 1253
  • Mutual Fund’s R2 as Predictor of Performance with Yakov Amihud
    Review of Financial Studies, 26 (3) (2013), 667-694
  • The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns with Avanidhar Subrahmanyam and Andrey Ukhov
    Journal of Financial and Quantitative Analysis, 46 (2011), 111-139
  • Stock and Bond Market Liquidity: A Long-Run Empirical Analysis with Andrey Ukhov
    Journal of Financial and Quantitative Analysis, 44 (2009), 189-212
  • Do Liquidity Measures Measure Liquidity? with Craig Holden and Charles Trzcinka
    Journal of Financial Economics, 92 (2009), 153-181
    Winner of the Fama/DFA Prize for the best paper in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing (second prize)

 

Working papers

  • Treasury Liquidity, Funding Liquidity and Asset Returns
  • Trading Cost Dynamics of Market Making in Equity Options with Chayawat Ornthanalai (University of Toronto) and Shengzhe Tang (University of Toronto)
  •  Stock and Bond Pricing with Liquidity Risk

 

Invited seminar presentations

2014:

  • University of Melbourne – Seminar: Illiquidity Premia in Equity Option Markets
  • University of Technology Sydney (UTS) – Seminar: Illiquidity Premia in Equity Option Markets
  • University of New South Wales (UNSW) – Seminar: Illiquidity Premia in Equity Option Markets

 

Presentations / Conferences

  • 6th Annual NYU Stern Volatility Institute Conference, New York, USA – April 2014 (discussant)
  • 5th McGill Risk Management Conference, Mont-Tremblant, Canada – March 2014 (discussant)
  • 9th Oxford Asset Pricing Retreat, Oxford, UK – June 2013
  • CIREQ Econometrics Conference, Montreal, Canada – May 2013 (discussant)
  • 8th Annual Central Bank Workshop on the Microstructure of Financial Markets, Bank of Canada – October 2012 (discussant)
  • European Finance Association meeting, Copenhagen, Denmark – August 2012
  • Bank of Spain – Bank of Canada Workshop on “International Financial Markets”, Canada – June 2012 (discussant)
  • EFMA Asset Management Symposium, Hamburg, Germany – April 2012
  • NYU Stern Market Microstructure Meeting – May 2011
  • 36th European Finance Association meeting, Bergen, Norway – August 2009
  • World Bank Conference on Risk Analysis and Management, Washington DC – October 2008
  • 35th European Finance Association meeting, Athens, Greece – August 2008
  • 7th annual Darden International Finance Conference on Investing in Emerging Markets, Boston – March 2008
  • 18th FDIC Annual Derivatives Securities and Risk Management Conference, Arlington, Virginia – April 2008
  • 18th Annual Conference on Financial Economics and Accounting, NYU Stern School of Business – October 2007
  • 34th European Finance Association meeting, Ljubljana, Slovenia – August 2007
  • 17th FDIC Annual Derivatives Securities and Risk Management Conference, Arlington, Virginia – April 2007
  • Center for Research in Security Prices (CRSP) forum, Chicago – November 2006
  • Financial Management Association International meeting – October 2006
  • Northern Finance Association meeting, Montreal – September 2006
  • 33rd European Finance Association meeting, Zurich – August 2006
  • Western Finance Association meeting, Colorado – June 2006
  • McGill / IFM2 Conference on Risk Management at Mont Tremblant – March 2006
  • Frontiers of Finance, Bonaire – January 2006
  • Financial Management Association meeting, Chicago – October 2005
  • 32nd European Finance Association meeting, Moscow – August 2005

 

Profesional service

Ad hoc referee:
Journal of Finance, Journal of Empirical Finance, Journal of Financial Markets, Review of Financial Studies, Journal of Financial Intermediation, International Review of Finance, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Journal of Money, Credit and Banking, Review of Asset Pricing Studies

Program committee member:
NFA, FMA, SFS Cavalcade – 2011

External grants

  • IFM2, June 2007 – June 2010 ($11,000 per year)
  • SSHRC, May 2009 – May 2012 ($20,000 per year)
  • IFM2, June 2010 – June 2013 ($11,000 per year)
  • SSHRC, May 2013 – May 2017 ($211,618 overall)

 

Honors and awards

  • Do Liquidity Measures Measure Liquidity?
    Winner of the Fama/DFA Prize for the best paper in the Journal of Financial
    Economics in the Areas of Capital Markets and Asset Pricing (second prize)
  • The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns
    awarded prize for best paper in 2007, (the most “significant contribution to the understanding of financial markets and institutions and to knowledge in financial economics”) by Referee Finance (http://www.refereefinance.com).
  • Western Finance Association meeting 2006, recipient of a student travel award
  • Nominated for Associate Instructor Teaching Award, Kelley School of Business, Indiana University, 2004-2005
  • Kelley School of Business, Indiana University Fellowship, 2001-2005

Teaching experience

University of Toronto
MGT412 Fixed Income (Fall 2013)
MGM332 Managerial Finance (Fall 2013)

McGill University
MBA-Japan, FINE 646 Investments and Portfolio Management (Summer, 2011)
MBA, FINE646 Investments and Portfolio Management (Fall 2006, 2007, 2008, 2009)
Undergraduate, FINE441 Investments Management (Fall 2006, 2007, 2008, 2009, 2010, 2011, 2012)

Indiana
Equities and Fixed Income Investments (F420, Summer 2004)
Security Trading and Market Making (F335, Fall 2005)