Ruslan Goyenko
PhD, Finance, Kelley School of Business, Indiana University, USA
Ruslan Goyenko is an Associate Professor of Finance at Desautels Faculty of Management at 91˿Ƶ. He holds a Ph.D. in Finance from Indiana University's Kelley School of Business. Ruslan's research focuses on empirical asset pricing, liquidity, market microstructure, and mutual funds performance predictability.
Papers in Peer-Reviewed Journals
Disagreement in the Equity Options Market and Stock Returns, with Benjamin Golez, (2021), Forthcoming, Review of Financial Studies
“Illiquidity Premium in Equity Option Markets” with Peter Christoffersen, Kris Jacobs and Mehdi Karoui, Review of Financial Studies, 31 (3) (2018), 811-851, Editor’s Choice, lead article
“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. Lead article. 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)
Awards
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)
2007: “The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns” awarded prize for best paper, (the most “significant contribution to the understanding of financial markets and institutions and to knowledge in financial economics”) by Referee Finance ().
2006: Western Finance Association meeting 2006, recipient of a student travel award
2004-2005: Nominated for Associate Instructor Teaching Award, Kelley School of Business, Indiana University
Fellowships
2001-2005: Kelley School of Business, Indiana University Fellowship
Grants
2010-2013:IFM2
2009-2012: SSHRC
2007-2010: IFM2