Dominik Rösch

State University of New York at Buffalo - School of Management

Assistant Professor

Jacobs Management Center

Buffalo, NY 14222

United States

http://dominikroesch.com

Erasmus University - Rotterdam School of Management

Irregular Staff

P.O. Box 1738

Rotterdam, 3000 DR

Netherlands

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 21,349

in Total Papers Citations

33

CROSSREF CITATIONS

14

Scholarly Papers (11)

1.

Asset Pricing: A Tale of Night and Day

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 65 Posted: 15 Feb 2018 Last Revised: 03 Dec 2019
Terrence Hendershott, Dmitry Livdan and Dominik Rösch
University of California, Berkeley - Haas School of Business, University of California, Berkeley and State University of New York at Buffalo - School of Management
Downloads 833 (35,341)
Citation 18

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2.

The Dynamics of Market Efficiency

Review of Financial Studies, Forthcoming
Number of pages: 69 Posted: 21 May 2012 Last Revised: 30 Jun 2016
State University of New York at Buffalo - School of Management, University of California, Los Angeles (UCLA) - Finance Area and Erasmus University - Rotterdam School of Management
Downloads 533 (63,557)
Citation 11

Abstract:

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market efficiency, co-movement, funding liquidity, hedge funds, algorithmic trading

3.

Does Floor Trading Matter?

Number of pages: 68 Posted: 26 May 2020 Last Revised: 26 Jan 2021
University of Utah - David Eccles School of Business, University of Utah - Department of Finance and State University of New York at Buffalo - School of Management
Downloads 480 (72,607)
Citation 2

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Algorithmic trading, DMM, human trading, floor trading, liquidity, market making, market quality, price efficiency

4.

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

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 85 Posted: 04 Aug 2018 Last Revised: 08 Aug 2019
Kee H. Chung, Albert J. Lee and Dominik Rösch
State University of New York at Buffalo - School of Management, SUNY at Buffalo - School of Management and State University of New York at Buffalo - School of Management
Downloads 441 (80,182)
Citation 9

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Tick size; Pilot program; Pricing efficiency; Liquidity spillover

5.

The Impact of Arbitrage on Market Liquidity

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 108 Posted: 20 Jul 2013 Last Revised: 08 Oct 2020
Dominik Rösch
State University of New York at Buffalo - School of Management
Downloads 436 (81,277)
Citation 1

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arbitrage, liquidity, efficiency, fragmentation, market integration

A Portfolio Optimization Approach to Identifying Private Information

Number of pages: 46 Posted: 01 Dec 2014 Last Revised: 08 Oct 2018
Dion Bongaerts, Dominik Rösch and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Finance, State University of New York at Buffalo - School of Management and Erasmus University - Rotterdam School of Management
Downloads 320 (114,873)
Citation 1

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XPIN, informed trading, private information, portfolio optimization model

Cross-Sectional Identification of Informed Trading

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 44 Posted: 01 Feb 2016
Dion Bongaerts, Dominik Rösch and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Finance, State University of New York at Buffalo - School of Management and Erasmus University - Rotterdam School of Management
Downloads 81 (367,117)

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XPIN, informed trading, private information, portfolio optimization model

7.

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

forthcoming in Management Science
Number of pages: 66 Posted: 04 Aug 2014 Last Revised: 01 Mar 2021
Erasmus University Rotterdam (EUR) - Finance, California Institute of Technology, State University of New York at Buffalo - School of Management, Erasmus University - Rotterdam School of Management and Norwegian School of Economics (NHH) - Department of Finance
Downloads 399 (90,114)
Citation 4

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Equity markets, jumps, financial crises, contagion, liquidity, trading activity

8.

Investor short-termism and real investment

Journal of Financial Markets, Forthcoming
Number of pages: 56 Posted: 13 Dec 2019 Last Revised: 09 Apr 2021
State University of New York at Buffalo - School of Management, University of California, Los Angeles (UCLA) - Finance Area and Erasmus University - Rotterdam School of Management
Downloads 128 (268,095)

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investor short-termism, market liquidity; real investment; investment-to-price sensitivity

9.

Competition and Exchange Data Fees

Number of pages: 50 Posted: 02 Nov 2020 Last Revised: 24 Apr 2021
Jonathan Brogaard, James Brugler and Dominik Rösch
University of Utah - David Eccles School of Business, University of Melbourne - Department of Finance and State University of New York at Buffalo - School of Management
Downloads 113 (293,379)

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Data Fees, Exchange Competition

10.

Day and Night Returns for Chinese Stocks

Number of pages: 55 Posted: 05 May 2021 Last Revised: 08 Jun 2021
Chaoqun Ma, Ru Xiao and Dominik Rösch
Hunan University - Business School, Hunan University - Business School and State University of New York at Buffalo - School of Management
Downloads 58 (438,027)

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Chinese Stocks, Day Trading, Day-Night, Illiquidity Premium

11.

Transparency and Liquidity in a Multi-Market Setting

Number of pages: 41 Posted: 28 May 2021
Pouyan Ghazizadeh, Erik Peek and Dominik Rösch
Amsterdam Business School - University of Amsterdam, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and State University of New York at Buffalo - School of Management
Downloads 23 (601,725)

Abstract:

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transparency, liquidity, trading volume, American Depository Receipts