Roman Kozhan

University of Warwick - Warwick Business School

Professor of Finance

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

24

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79

Scholarly Papers (24)

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

WBS Finance Group Research Paper No. 148
Number of pages: 25 Posted: 31 Dec 2010 Last Revised: 23 Dec 2019
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 5,125 (2,069)
Citation 2

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Adverse Selection, Ambiguity Aversion, Endogenous Commitment

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

WBS Finance Group Research Paper No. 229
Number of pages: 25 Posted: 18 Feb 2015
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 145 (259,893)

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Adverse Selection, Ambiguity Aversion, Endogenous Commitment

2.
Downloads 3,943 ( 3,204)

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 21 Jan 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, affiliation not provided to SSRN, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 3,943 (3,287)

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non-standard errors, multi-analyst approach, liquidity

3.
Downloads 2,397 ( 7,669)
Citation 30

The Skew Risk Premium in the Equity Index Market

Review of Financial Studies (2013), 26, 2174-2203, AFA 2011 Denver Meetings Paper, WBS Finance Group Research Paper No. 139
Number of pages: 34 Posted: 18 Mar 2010 Last Revised: 23 Dec 2019
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick - Warwick Business School, City University London - Faculty of Finance and University of Lugano - Institute of Finance
Downloads 2,279 (8,143)
Citation 11

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skew risk premium, variance risk premium, index options

The Skew Risk Premium in the Equity Index Market

WBS Finance Group Research Paper No. 228
Number of pages: 34 Posted: 18 Feb 2015
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick - Warwick Business School, City University London - Faculty of Finance and University of Lugano - Institute of Finance
Downloads 118 (304,369)
Citation 19

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Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information

WBS Finance Group Research Paper No. 190
Number of pages: 13 Posted: 31 Jul 2012 Last Revised: 26 Dec 2019
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 2,395 (7,676)
Citation 4

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ambiguity aversion, asymmetric information, value of ambiguous information

5.
Downloads 1,591 ( 14,754)
Citation 4

How Riskless is 'Riskless' Arbitrage?

WBS Finance Group Research Paper No. 134
Number of pages: 56 Posted: 24 Jan 2010 Last Revised: 23 Dec 2019
Roman Kozhan and Wing Wah Tham
University of Warwick - Warwick Business School and University of New South Wales (UNSW)
Downloads 796 (40,024)
Citation 1

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execution risk, limit to arbitrage, liquidity, inventory costs

Execution Risk in High-Frequency Arbitrage

WBS Finance Group Research Paper No. 179
Number of pages: 38 Posted: 29 Mar 2012
Roman Kozhan and Wing Wah Tham
University of Warwick - Warwick Business School and University of New South Wales (UNSW)
Downloads 795 (40,075)
Citation 4

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execution risk, limit to arbitrage, liquidity, high-frequency trading strategies

6.
Downloads 1,112 ( 25,337)
Citation 31

Toxic Arbitrage

HEC Paris Research Paper No. FIN-2014-1040, WBS Finance Group Research Paper No. 219
Number of pages: 53 Posted: 15 Mar 2014 Last Revised: 26 Dec 2019
Thierry Foucault, Roman Kozhan and Wing Wah Tham
HEC Paris - Finance Department, University of Warwick - Warwick Business School and University of New South Wales (UNSW)
Downloads 1,109 (25,035)
Citation 22

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Arbitrage, Liquidity, Adverse Selection, High Frequency Trading

Toxic Arbitrage

Number of pages: 64 Posted: 02 Jun 2014
Thierry Foucault, Roman Kozhan and Wing Wah Tham
HEC Paris - Finance Department, University of Warwick - Warwick Business School and University of New South Wales (UNSW)
Downloads 3 (825,264)
Citation 2
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Adverse Selection, Arbitrage, High Frequency Trading, Liquidity

Optimal Security Design under Asymmetric Information and Profit Manipulation

Number of pages: 50 Posted: 27 Jun 2014 Last Revised: 28 Mar 2018
University of Warwick - Finance Group, University of Warwick - Warwick Business School and University of Rochester - Simon Business School
Downloads 636 (53,993)
Citation 1

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Security design, financial innovation, capital structure, asymmetric information, venture capital

Optimal Security Design Under Asymmetric Information and Profit Manipulation

WBS Finance Group Research Paper No. 230
Number of pages: 36 Posted: 18 Feb 2015
University of Warwick - Finance Group, University of Warwick - Warwick Business School and University of Rochester - Simon Business School
Downloads 229 (173,057)
Citation 2

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security design, financial innovation, capital structure, asymmetric information, venture capital

8.

The Cross-Section of Currency Volatility Premia

Number of pages: 108 Posted: 13 Jan 2017 Last Revised: 24 Dec 2019
Imperial College Business School, University of Warwick - Warwick Business School and City University London - Faculty of Finance
Downloads 679 (50,241)
Citation 6

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Currency Volatility Risk Premia, Forward Volatility Agreement, Foreign Exchange Volatility, Term Structure

9.

Asymmetric Momentum Effects Under Uncertainty

WBS Finance Group Research Paper No. 142
Number of pages: 39 Posted: 20 May 2010
David Kelsey, Roman Kozhan and Wei Pang
University of Exeter Business School - Department of Economics, University of Warwick - Warwick Business School and Kingston University
Downloads 674 (50,711)
Citation 2

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Momentum, Knightian Uncertainty, Asymmetric Response

10.

The Information Content of a Limit Order Book: The Case of an FX Market

WBS Finance Group Research Paper No. 150
Number of pages: 44 Posted: 18 Jan 2011
Roman Kozhan and Mark Salmon
University of Warwick - Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 499 (74,112)
Citation 4

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limit order book, profitability, high-frequency data

Market Order Flows, Limit Order Flows and Returns: Theory and Evidence

WBS Finance Group Research Paper No. 218
Number of pages: 51 Posted: 02 Mar 2014 Last Revised: 26 Dec 2019
Roman Kozhan, Michael Moore and Richard Payne
University of Warwick - Warwick Business School, University of Warwick - Warwick Business School and City University London - Sir John Cass Business School
Downloads 273 (145,277)
Citation 2

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Market order flow, limit order flow, price discovery

Market Order Flows, Limit Order Flows and Returns: Theory and Evidence

Number of pages: 51 Posted: 27 Nov 2015 Last Revised: 01 Apr 2018
Roman Kozhan, Michael Moore and Richard Payne
University of Warwick - Warwick Business School, University of Warwick - Warwick Business School and City University London - Sir John Cass Business School
Downloads 125 (291,701)
Citation 3

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Market order flow, limit order flow, price discovery

12.

Decentralized Stablecoins and Collateral Risk

WBS Finance Group Research Paper
Number of pages: 81 Posted: 22 Jun 2021 Last Revised: 01 Sep 2021
Roman Kozhan and Ganesh Viswanath-Natraj
University of Warwick - Warwick Business School and Warwick Business School
Downloads 395 (97,643)
Citation 2

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Cryptocurrency, fixed exchange rates, monetary policy, stablecoins, collateralized debt positions

13.

Short Selling and Price Discovery in Corporate Bonds

Number of pages: 70 Posted: 04 Jun 2014 Last Revised: 13 Nov 2017
Terrence Hendershott, Roman Kozhan and Vikas Raman
University of California, Berkeley - Haas School of Business, University of Warwick - Warwick Business School and Lancaster University - Department of Accounting and Finance
Downloads 353 (110,893)
Citation 1

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Short Selling, Corporate Bonds, Financial Crisis

14.

Uncertainty Aversion in an Agent-Based Model of Foreign Exchange Rate Formation

WBS Finance Group Research Paper No. 74
Number of pages: 23 Posted: 03 Mar 2007
Roman Kozhan and Mark Salmon
University of Warwick - Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 332 (118,681)
Citation 1

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uncertainty aversion, exchange rate formation, agent-based modeling

Prospect Theory and Currency Returns: Empirical Evidence

Number of pages: 70 Posted: 10 Jul 2020 Last Revised: 18 Sep 2020
Qi Xu, Roman Kozhan and Mark P. Taylor
Zhejiang University - School of Economics and Academy of Financial Research, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 269 (147,535)

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foreign exchange, currency returns, prospect theory, limits to arbitrage

Prospect Theory and Currency Returns: Empirical Evidence

Number of pages: 73 Posted: 22 Sep 2020
Roman Kozhan, Mark P. Taylor and Qi Xu
University of Warwick - Warwick Business School, Washington University in St. Louis - John M. Olin Business School and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 2 (836,224)
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currency returns, foreign exchange, Limits to Arbitrage, prospect theory

16.

On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates

WBS Finance Group Research Paper No. 101
Number of pages: 46 Posted: 23 May 2008
Roman Kozhan and Mark Salmon
University of Warwick - Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 256 (155,696)
Citation 1

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Knightian uncertainty, market timing, predictability, high-frequency data

17.

Non-Additive Anonymous Games

WBS Finance Group Research Paper No. 141
Number of pages: 22 Posted: 06 May 2010
Roman Kozhan
University of Warwick - Warwick Business School
Downloads 214 (184,933)

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Anonymous Game, Uncertainty, Non-Additive Measure, Capacity

18.

Spurious Regressions of Stationary AR(p) Processes with Structural Breaks

WBS Finance Group Research Paper No. 143
Number of pages: 38 Posted: 12 Jul 2010
Ba M. Chu and Roman Kozhan
Carleton University and University of Warwick - Warwick Business School
Downloads 209 (189,079)

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Spurious Regression, Weak Dependence, Structural Breaks, Strictly Stationary, Autoregressive Processes

19.

Firms' Investment under Financial Constraints: A Euro Area Investigation

WBS Finance Group Research Paper No. 115
Number of pages: 33 Posted: 01 Mar 2009 Last Revised: 23 Dec 2019
Rozalia Pal and Roman Kozhan
European University Viadrina Frankfurt (Oder) and University of Warwick - Warwick Business School
Downloads 200 (196,921)

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financing constraints, growth, investment, cash flow sensitivity

20.

Insiders' information advantage: Evidence from competition with short sellers

Number of pages: 72 Posted: 18 Mar 2017 Last Revised: 14 Jun 2021
Harold Contreras, Jana P. Fidrmuc and Roman Kozhan
Faculty of Economics and Business - University of Chile, Warwick Business School - Finance Group and University of Warwick - Warwick Business School
Downloads 195 (201,490)
Citation 1

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Insider trading, Short selling, Informed trading, Earnings announcements

21.

Predictability of Order Imbalance, Market Quality and Equity Cost of Capital

WBS Finance Group Research Paper No. 262
Number of pages: 72 Posted: 20 Dec 2018 Last Revised: 26 Dec 2019
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and University of Warwick - Warwick Business School
Downloads 183 (213,202)

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Order Imbalance Predictability, Market Efficiency, Liquidity Provision, Asymmetric Information

22.

Parameter Learning in Production Economies

Number of pages: 52 Posted: 22 Aug 2018 Last Revised: 27 Jan 2021
Mykola Babiak and Roman Kozhan
Lancaster University Management School and University of Warwick - Warwick Business School
Downloads 106 (326,242)
Citation 1

Abstract:

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Parameter Learning, Equity Premium, Business Cycles, Markov Switching

23.

Growth Uncertainty, Rational Learning, and Option Prices

Number of pages: 50 Posted: 02 Oct 2020 Last Revised: 03 Dec 2020
Mykola Babiak and Roman Kozhan
Lancaster University Management School and University of Warwick - Warwick Business School
Downloads 73 (409,933)

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Uncertainty, Rational Learning, Business Cycles, Variance Premium, Implied Volatilities

24.

Correlated Portfolio Inventory Risk of Liquidity Providers: Frictions and Market Fragility

Number of pages: 46 Posted: 22 Sep 2020 Last Revised: 15 Sep 2021
Roman Kozhan, Vikas Raman and Pradeep K. Yadav
University of Warwick - Warwick Business School, Lancaster University - Department of Accounting and Finance and University of Oklahoma Price College of Business
Downloads 56 (468,694)

Abstract:

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Inventory Management, Limit Order Markets, Market Quality