Expertise

  • Évaluation d’actifs financiers
  • Liquidité
  • Microstructure des marchés
  • Performance des fonds communs de placement
  • Évaluation et prévisibilité financière
  • Évaluation des options sur actions

 

Publications

GOYENKO, Ruslan, SARKISSIAN, Sergei ; Treasury Bond Illiquidity and Global Equity Returns, à paraître, Journal of Financial and Quantitative AnalysisForthcoming

AMIHUD, Yakov, GOYENKO, Ruslan ; Mutual Fund’s R2 as Predictor of Performance, Review of Financial Studies, 26 (3) (2013), 667-694

GOYENKO, Ruslan, SUBRAHMANYAM, Avanidhar, UKHOV, Andrey ; The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns, Journal of Financial and Quantitative Analysis, 46 (2011), 111-139

GOYENKO, Ruslan, UKHOV, Andrey ; Stock and Bond Market Liquidity: A Long-Run Empirical Analysis, Journal of Financial and Quantitative Analysis, 44 (2009), 189-21

GOYENKO, Ruslan, HOLDEN, Craig, TRZCINKA, Charles ; Do Liquidity Measures Measure Liquidity?, Journal of Financial Economics, 92 (2009), 153-181

Prix Fama/DFA pour le meilleur article dans le Journal of Financial Economics dans les domaines des Marchés financiers et Actifs financiers (2e prix).

Cahiers de recherche

  1. CHRISTOFFERSEN, Peter (University of Toronto), GOYENKO, Ruslan, JACOBS, Kris (University of Houston), KAROUI, Mehdi (McGill University) ; Illiquidity Premia in Equity Option Markets. Révisé et resoumis à the Review of Financial Studies
  2. GOYENKO, Ruslan ; Treasury Liquidity, Funding Liquidity and Asset Returns
  3. GOYENKO, Ruslan, ORNTHANALAI, Chayawat (University of Toronto), TANG, Shengzhe (University of Toronto) ; Trading Cost Dynamics of Market Making in Equity Options

Recherche en cours

  1. GOYENKO, Ruslan ; Is Flight to Liquidity/Quality a Priced Risk Factor?
  2. AMIHUD, Yakov, GOYENKO, Ruslan ; Focused investment and performance in mutual funds with Yakov Amihud (NYU)