Frog in the pan: Continuous information and momentum Z Da, UG Gurun, M Warachka The review of financial studies 27 (7), 2171-2218, 2014 | 354 | 2014 |
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies S Hogan, R Jarrow, M Teo, M Warachka Journal of Financial economics 73 (3), 525-565, 2004 | 248 | 2004 |
Pricing options in an extended Black Scholes economy with illiquidity: Theory and empirical evidence U Cetin, R Jarrow, P Protter, M Warachka The Review of Financial Studies 19 (2), 493-529, 2006 | 235 | 2006 |
Tobin's q does not measure firm performance: Theory, empirics, and alternatives PH Dybvig, M Warachka Empirics, and Alternatives (March 5, 2015), 2015 | 158 | 2015 |
Cashflow risk, systematic earnings revisions, and the cross-section of stock returns Z Da, MC Warachka Journal of Financial Economics 94 (3), 448-468, 2009 | 140 | 2009 |
The disparity between long-term and short-term forecasted earnings growth Z Da, M Warachka Journal of Financial Economics 100 (2), 424-442, 2011 | 96 | 2011 |
Streaks in earnings surprises and the cross-section of stock returns RK Loh, M Warachka Management Science 58 (7), 1305-1321, 2012 | 80 | 2012 |
Using high-frequency transaction data to estimate the probability of informed trading A Tay, C Ting, YK Tse, M Warachka Journal of Financial Econometrics 7 (3), 288-311, 2009 | 77 | 2009 |
Investment in a smaller world: The implications of air travel for investors and firms Z Da, UG Gurun, B Li, M Warachka Management Science 67 (1), 417-435, 2021 | 40 | 2021 |
Tobin’s Q does not measure firm performance: Theory, empirics, and alternative measures PH Dybvig, M Warachka SSRN eLibrary. http://papers. ssrn. com/sol3/papers. cfm, 2012 | 40 | 2012 |
An improved test for statistical arbitrage R Jarrow, M Teo, YK Tse, M Warachka Journal of Financial Markets 15 (1), 47-80, 2012 | 32 | 2012 |
Forecast accuracy uncertainty and momentum B Han, D Hong, M Warachka Management science 55 (6), 1035-1046, 2009 | 23 | 2009 |
Statistical arbitrage and market efficiency: Enhanced theory, robust tests and further applications RA Jarrow, M Teo, YK Tse, M Warachka Robust Tests and Further Applications (February 2005), 2005 | 20 | 2005 |
Optimal liquidation strategies and their implications C Ting, M Warachka, Y Zhao Journal of Economic Dynamics and Control 31 (4), 1431-1450, 2007 | 18 | 2007 |
Momentum and informed trading A Hameed, D Hong, M Warachka EFA 2008 Athens Meetings Paper, 2008 | 17 | 2008 |
The impact of transaction duration, volume and direction on price dynamics and volatility AS Tay, C Ting, Y Kuen Tse, M Warachka Quantitative Finance 11 (3), 447-457, 2011 | 16 | 2011 |
Option pricing with liquidity risk U Cetin, RA Jarrow, P Protter, M Warachka Preprint, Cornell University, 2002 | 16 | 2002 |
Internalized retail order imbalances and institutional liquidity demand YH Barardehi, D Bernhardt, Z Da, M Warachka Available at SSRN 3966059, 2021 | 14 | 2021 |
Fiscal policy, consumption risk, and stock returns: Evidence from US states Z Da, M Warachka, H Yun Journal of financial and quantitative analysis 53 (1), 109-136, 2018 | 14 | 2018 |
The implied jump risk of LIBOR rates LK Guan, C Ting, M Warachka Journal of Banking & Finance 29 (10), 2503-2522, 2005 | 13 | 2005 |