Ronnie Sadka

Associate Professor of Finance
Boston College, Carroll School of Management
336 Fulton Hall
140 Commonwealth Ave.
Chestnut Hill, MA 02467
Phone: (617) 552-0899 Fax: (617) 552-0431
Email: sadka@bc.edu Web: www2.bc.edu/~sadka/

Publications

Predictability and the earnings-returns relation (with Gil Sadka), Journal of Financial Economics, forthcoming.
Mispricing and costly arbitrage (with Anna Scherbina), Journal of Investment Management, forthcoming.
The divergence of liquidity commonality in the cross-section of stocks (with Avraham Kamara and Xiaoxia Lou), Journal of Financial Economics 89, October 2008, 444-466.
Seasonality in the cross-section of stock returns (with Steven L. Heston), Journal of Financial Economics 87, February 2008, 418-445.
Pricing the commonality across alternative measures of liquidity (with Robert A. Korajczyk), Journal of Financial Economics 87, January 2008, 45-72.
Analyst Disagreement, mispricing, and liquidity (with Anna Scherbina), Journal of Finance 62, October 2007, 2367-2403.
Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk, Journal of Financial Economics 80, May 2006, 309-349.
Are momentum profits robust to trading costs? (with Robert A. Korajczyk), Journal of Finance 59, June 2004, 1039-1082.
Weighted Euclidean centers (with Ami Arbel), Optimization 54, June 2005, 239-251 (M.Sc. thesis).

Working papers

Have extreme events become larger? (with Peter Kondor)
Intraday patterns in the cross-section of stock returns (with Steven L. Heston and Robert A. Korajczyk)
Aggregate earnings and asset prices (with Ray Ball and Gil Sadka)
Liquidity and the post-earnings-announcement drift (with Tarun Chordia, Amit Goyal, Gil Sadka, and Lakshmanan Shivakumar)
Seasonality in the cross-section of stock returns: The international evidence (with Steven L. Heston)
How fundamental is the pricing of liquidity? Evidence from Bolsa and Börse, 1902-1925 (with Lyndon Moore)
Can liquidity explain the low-short-interest puzzle? Implications from the options market (with Jefferson Duarte and Xiaoxia Lou)
Measuring the actions of liquidity providers