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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 [Map]
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): 
http://www.ruslangoyenko.com
Office: 
510
Biography: 

Ruslan Goyenko is an Associate Professor of Finance at Desautels Faculty of Management at McGill University. 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), 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, honours, and fellowships: 

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 (http://www.refereefinance.com).

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

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