Dominik Roesch : Citation Profile

State University of New York-Buffalo (SUNY)

3

H index

3

i10 index

115

Citations

RESEARCH PRODUCTION:

4

Articles

RESEARCH ACTIVITY:

   4 years (2017 - 2021). See details.
   Cites by year: 28
   Journals where Dominik Roesch has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 1 (0.86 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pro1265
   Updated: 2025-12-13    RAS profile: 2021-10-25    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Dominik Roesch.

Is cited by:

Ren, Xiaohang (3)

Urquhart, Andrew (2)

Hirshleifer, David (2)

Yin, Xiangkang (2)

Lee, Albert (2)

faff, robert (2)

Li, Youwei (2)

Blau, Benjamin (1)

Schreiber, Ben (1)

Chiah, Mardy (1)

Prokopczuk, Marcel (1)

Cites to:

Roll, Richard (5)

French, Kenneth (5)

Zhang, Bohui (4)

Lee, Charles (4)

Fama, Eugene (4)

Subrahmanyam, Avanidhar (4)

Polk, Christopher (4)

Vayanos, Dimitri (4)

Angrist, Joshua (3)

Amihud, Yakov (3)

Foucault, Thierry (3)

Main data

Where Dominik Roesch has published?

Journals with more than one article published# docs
Journal of Financial Economics3

Recent works citing Dominik Roesch (2025 and 2024)

YearTitle of citing document
2025Does Overnight News Explain Overnight Returns?. (2025). Glasserman, Paul ; Krstovski, Kriste ; Mamaysky, Harry ; Laliberte, Paul. In: Papers. RePEc:arx:papers:2507.04481.

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2024Investor attention and stock price efficiency: Evidence from quasi‐natural experiments in China. (2024). Li, Zhibing ; Liu, Xiaoyu ; Wu, Chonglin. In: Financial Management. RePEc:bla:finmgt:v:53:y:2024:i:1:p:175-225.

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2024Efficient Market Hypothesis on the blockchain: A social‐media‐based index for cryptocurrency efficiency. (2024). Mazur, Mieszko ; Rubbaniy, Ghulame ; Polyzos, Efstathios. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:3:p:807-829.

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2024Oil Market Efficiency, Quantity of Information, and Oil Market Turbulence. (2024). Wadud, Sania ; Gronwald, Marc ; Dogah, Kingsley. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10995.

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2025Dark trading volume and market quality: A natural experiment. (2025). Puckett, Andy ; Kelley, Eric K ; Farley, Ryan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:91:y:2025:i:c:s0929119925000100.

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2024Competition among high-frequency traders and market quality. (2024). Breckenfelder, Johannes. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001143.

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2025The nexus of overnight trend and asset prices in China. (2025). Li, Youwei ; Guo, Jiaqi ; Han, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001891.

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2024High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times. (2024). Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000472.

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2024Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns. (2024). Zhang, Yali ; Zhao, Xiaojun ; Shang, Pengjian ; Xu, Chao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000227.

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2024Spillover effects between fossil energy and green markets: Evidence from informational inefficiency. (2024). Urquhart, Andrew ; Ren, Xiaohang ; Xiao, YA ; Duan, Kun. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000252.

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2024Information shocks and short-term market overreaction: The role of investor attention. (2024). Meng, Yongqiang ; Xiong, Xiong ; Li, Xiao. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001510.

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2024ETF ownership and stock pricing efficiency: The role of ETF arbitrage. (2024). Zhao, Zhihua ; Liu, Xiao ; Chen, Guanhua. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001387.

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2024Asymmetry, earnings announcements, and the beta-return relation. (2024). faff, robert ; Kim, Young-Mee ; Lee, Deok-Hyeon ; Min, Byoung-Kyu. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009723.

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2025Bitcoin arbitrage and exchange default risk. (2025). Intini, Silvia ; Guo, Weiwei ; Jahanshahloo, Hossein. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s154461232401393x.

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2024Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program. (2024). Lin, Tse-Chun ; Deng, Mengdie ; Zhou, Jiayu. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s138641812300068x.

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2024Green-adjusted share prices: A comparison between standard investors and investors with green preferences. (2024). Tunaru, Radu ; Quaye, Enoch. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308924000998.

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2024Limits of arbitrage and their impact on market efficiency: Evidence from China. (2024). Chen, Jian ; Khan, Ali ; Haboub, Ahmad. In: Global Finance Journal. RePEc:eee:glofin:v:59:y:2024:i:c:s1044028323001114.

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2025Give me a break: What does the equity premium compensate for?. (2025). Perras, Patrizia ; Wagner, Niklas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443124001690.

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2025Predicting the equity premium around the globe: Comprehensive evidence from a large sample. (2025). Tharann, Bjrn ; Simen, Chardin Wese ; Hollstein, Fabian ; Prokopczuk, Marcel. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:208-228.

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2024Tug of war with noise traders? Evidence from the G7 stock markets. (2024). Keiber, Karl Ludwig ; Hajiyev, Aghamehman ; Luczak, Adalbert. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:234-243.

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2024Stock price delay and the cross-section of expected returns: A story of night and day. (2024). Yin, Ximing ; Yang, GE. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006610.

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2024Mutual fund flows and returns dynamics: Investor preferences and performance persistence. (2024). Paimanova, Viktoriia ; Guida, Roberto ; Galloppo, Giuseppe. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002782.

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2025Intraday overreaction and underreaction: profitability analysis and factor explanations. (2025). Siddiqui, Adnan Ahmed ; Misra, Arun Kumar. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:5:d:10.1057_s41260-025-00418-y.

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2024Asset Pricing in the Resource-Constrained Brain. (2024). Siddiqi, Hammad. In: MPRA Paper. RePEc:pra:mprapa:120526.

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2024Parameterised response zero intelligence traders. (2024). Cliff, Dave. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:19:y:2024:i:3:d:10.1007_s11403-023-00388-7.

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2024Informational inefficiency on bitcoin futures. (2024). Wu, Yingying ; Shi, Shimeng ; Zhai, Jia. In: The European Journal of Finance. RePEc:taf:eurjfi:v:30:y:2024:i:6:p:642-667.

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2024Liquidity In Corporate Markets. (2024). Bebczuk, Ricardo ; Carvajal, Ana Fiorella. In: World Bank Publications - Reports. RePEc:wbk:wboper:41408.

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2024Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database. (2024). Wallmeier, Martin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:854-875.

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Works by Dominik Roesch:

YearTitleTypeCited
2020Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program In: Journal of Financial Economics.
[Full Text][Citation analysis]		article29
2020Asset pricing: A tale of night and day In: Journal of Financial Economics.
[Full Text][Citation analysis]		article37
2021The impact of arbitrage on market liquidity In: Journal of Financial Economics.
[Full Text][Citation analysis]		article0
2017The Dynamics of Market Efficiency In: The Review of Financial Studies.
[Full Text][Citation analysis]		article49

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