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Ruslan Goyenko

Title: 
Associate Professor, Finance
Ruslan Goyenko
Contact Information
Phone: 
514-398-5692
Email address: 
ruslan.goyenko [at] mcgill.ca
Alternate email address: 
christine.nguli [at] mcgill.ca
Address: 

Bronfman Building []
1001 rue Sherbrooke Ouest
Montreal, Quebec
Canada
H3A 1G5

Degree(s): 

PhD, Finance, Kelley School of Business, Indiana University, USA

Area(s): 
Finance
Link(s): 
Office: 
510
Biography: 

Ruslan Goyenko is an聽Associate Professor of Finance at Desautels Faculty of Management at 麻豆AV. 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.

Curriculum vitae: 
PDF icon russgoyenko_cv-_may_2021.pdf
Group: 
Faculty
Tenured & Tenure Track
Research areas: 
Asset Pricing
Mutual & Hedge Funds
Risk Management
Selected publications: 

Papers in Peer-Reviewed Journals

Disagreement in the Equity Options Market and Stock Returns, with Benjamin Golez, (2021),聽Forthcoming, Review of Financial Studies

鈥淚lliquidity Premium in Equity Option Markets鈥� with Peter Christoffersen, Kris Jacobs and Mehdi Karoui, 聽聽Review of Financial Studies, 31 (3) (2018), 811-851,聽Editor鈥檚 Choice, lead article

鈥淭reasury Bond Illiquidity and Global Equity Returns鈥� with Sergei Sarkissian, Journal of Financial and Quantitative Analysis, 49 (2014), 1227 - 1253

鈥淢utual Fund鈥檚 R2聽as Predictor of Performance鈥� with Yakov Amihud, Review of Financial Studies, 26 (3) (2013), 667-694

鈥淭he Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns鈥� (with Avanidhar Subrahmanyam and Andrey Ukhov ), Journal of Financial and Quantitative Analysis, 46 (2011), 111-139.

鈥淪tock and Bond Market Liquidity: A Long-Run Empirical Analysis鈥� (with Andrey Ukhov), Journal of Financial and Quantitative Analysis, 44 (2009), 189-212.

鈥淒o Liquidity Measures Measure Liquidity?鈥� (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聽Economics in the Areas of Capital Markets and Asset Pricing (second prize)

Awards, honours, and fellowships: 

Awards


Winner of the Fama/DFA Prize for the best paper in the Journal of Financial聽Economics in the Areas of Capital Markets and Asset Pricing (second prize)

2007: 鈥淭he Term Structure of Bond Market Liquidity and Its Implications for聽Expected Bond Returns鈥� awarded prize for best paper, (the most聽鈥渟ignificant contribution to the understanding of financial markets and institutions and to knowledge in financial economics鈥�) by Referee Finance聽().

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聽University

Fellowships

2001-2005: Kelley School of Business, Indiana University Fellowship

Grants

2010-2013:IFM2

2009-2012: SSHRC

2007-2010: IFM2

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