Dominik Rösch

State University of New York at Buffalo
&
Rotterdam School of Management, Erasmus University
drosch@buffalo.edu

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Papers

The Dynamics of Market Efficiency

(with Avanidhar Subrahmanyam and Mathijs A. Van Dijk)
Review of Financial Studies, 2017; 30 (4): 1151-1187

Tick Size, Liquidity for Small and Large Orders, and Price Informativeness: Evidence from the Tick Size Pilot Program

(with Kee Chung and Albert Lee)
Journal of Financial Economics, forthcoming

Asset Pricing: A Tale of Night and Day

(with Terrence Hendershott and Dmitry Livdan)
Journal of Financial Economics, forthcoming


Working Papers

The impact of arbitrage on market liquidity

(solo authored)

How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective

(with Dion Bongaerts, Richard Roll, Mathijs A. Van Dijk, and Darya Yuferova)

A Portfolio Optimization Approach to Identifying Private Information

(with Dion Bongaerts and Mathijs A. Van Dijk)

Learning from the stock price and financial market frictions

(with Avanidhar Subrahmanyam and Mathijs A. Van Dijk)

Multimarket Trading and Accounting Standards

(with Pooyan Ghazizadeh and Erik Peek)

A new measure of the efficiency of international equity markets based on price deviations in cross-listings

(with Mathijs A. Van Dijk)