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/

Bio

Publications

Liquidity risk and the cross-section of hedge-fund returns, Journal of Financial Economics, forthcoming.
Intraday patterns in the cross-section of stock returns (with Steven L. Heston and Robert A. Korajczyk), Journal of Finance, forthcoming.
Aggregate earnings and asset prices (with Ray Ball and Gil Sadka), Journal of Accounting Research, forthcoming.
Has the US stock market become more vulnerable over time? (with Avraham Kamara and Xiaoxia Lou), Financial Analysts Journal, forthcoming.
Seasonality in the cross-section of stock returns: The international evidence (with Steven L. Heston), Journal of Financial and Quantitative Analysis, forthcoming.
Mispricing and costly arbitrage (with Anna Scherbina), Journal of Investment Management 7, 2009, 1-13.
Predictability and the earnings-returns relation (with Gil Sadka), Journal of Financial Economics 94, 2009, 87-106.
Liquidity and the post-earnings-announcement drift (with Tarun Chordia, Amit Goyal, Gil Sadka, and Lakshmanan Shivakumar), Financial Analysts Journal 65, July/August 2009.
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

Do Analyst Forecasts Reflect Investor Expectations? On the Predictability of Analyst Forecast Errors (with Xiaoxia Lou, Yaniv Konchitchki, and Gil Sadka)
Smart money or smart about money? Evidence from hedge funds (with Gideon Ozik)
Have extreme events become larger? (with Peter Kondor)
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