Mitch Warachka
Mitch Warachka
C. Larry Hoag Chair in Real Estate, Professor of Finance, Chapman University
Verified email at - Homepage
Cited by
Cited by
Frog in the pan: Continuous information and momentum
Z Da, UG Gurun, M Warachka
The review of financial studies 27 (7), 2171-2218, 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
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
Tobin's q does not measure firm performance: Theory, empirics, and alternatives
PH Dybvig, M Warachka
Empirics, and Alternatives (March 5, 2015), 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
The disparity between long-term and short-term forecasted earnings growth
Z Da, M Warachka
Journal of Financial Economics 100 (2), 424-442, 2011
Streaks in earnings surprises and the cross-section of stock returns
RK Loh, M Warachka
Management Science 58 (7), 1305-1321, 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
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
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
An improved test for statistical arbitrage
R Jarrow, M Teo, YK Tse, M Warachka
Journal of Financial Markets 15 (1), 47-80, 2012
Forecast accuracy uncertainty and momentum
B Han, D Hong, M Warachka
Management Science 55 (6), 1035-1046, 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
Optimal liquidation strategies and their implications
C Ting, M Warachka, Y Zhao
Journal of Economic Dynamics and Control 31 (4), 1431-1450, 2007
Momentum and informed trading
A Hameed, D Hong, M Warachka
EFA 2008 Athens Meetings Paper, 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
Option pricing with liquidity risk
U Cetin, RA Jarrow, P Protter, M Warachka
Preprint, Cornell University, 2002
Internalized retail order imbalances and institutional liquidity demand
YH Barardehi, D Bernhardt, Z Da, M Warachka
Available at SSRN 3966059, 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
A quantum field theory term structure model applied to hedging
BE Baaquie, M Srikant, MC Warachka
International Journal of Theoretical and Applied Finance 6 (05), 443-467, 2003
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