Research Interests



Recent Publications

  1. Optimal Security Design under Asymmetric Information and Profit Manipulation, with Kostas Koufopoulos and Giulio Trigilia, 2018, Review of Corporate Finance Studies, forthcoming

  1. Short Selling and Pricice Discovery in Corporate Bonds, with Terry Hendershott and Vikas Raman, 2018, Journal of Financial and Quantitative Analysis, forthcoming

  1. Toxic Arbitrage, with Thierry Foucault and Wing Wah Tham, 2017, Review of Financial Studies, 30(4), 1053-1094

  1. Optimal Insurance Under Adverse Selection and Ambiguity Aversion, with Kostas Koufopoulos, 2016, Economic Theory, 62(4), 659-687

  1. Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information, with Kostas Koufopoulos,  2014, Journal of Economic Theory, 151, 551-560

  1. The Skew Risk Premium in the Equity Index Market, with Anthony Neuberger and Paul Schneider, 2013, Review of Financial Studies, 26(9), 2174-2203

  1. Execution Risk in High-frequency Arbitrage, with Wing Wah Tham, 2012, Management Science, 58(11), 2131-2149 (link to earlier version)


  1. The Information Content of a Limit Order Book: The Case of an FX Market, with Mark Salmon, 2012, Journal of Financial Markets, 5(1), 1-28 (link to earlier version)


  1. Asymmetric Momentum Effects Under Uncertainty, with David Kelsey and Wei Pang, 2011, Review of Finance, 15(3), 603-631 (link to earlier version)


  1. Uncertainty Aversion in a Heterogeneous Agent Model of Foreign Exchange Rate Formation, with Mark Salmon, 2009, Journal of Economic Dynamics and Control, 33, 1106-1122



Books

  1. Financial Econometrics - With Eviews, Ventus Publisher AsP, 2009



Working Papers

  1. Market Order Flows, Limit Order Flows, And Exchange Rate Dynamics, with Michael Moore and Richard Payne

  1. Ambiguity, Earnings Surprises, and Asset Prices, with Lu Li

  1. Parameter Learning in Production Economies, with Mykola Babiak

  1. When Do Shorts Harm Liquidity? Evidence from Cross-Listing Arbitrage, with Linquan Chen and Arie Gozluklu

  1. Insider selling on public information: Evidence from competition with short sellers, with Harold Contreras and Jana Fidrmuc

  1. The Cross-Section of Currency Volatility Premia, with Pasquale Della Corte and Anthony Neuberger



Teaching at WBS










 
 
Dr. Roman Kozhan

Professor of Finance 
 
Warwick Business School
Finance Group
The University of Warwick
Coventry, UK
CV4 7AL

Tel: +44 (0) 24 7652 4118
Fax: +44 (0) 24 7652 3779
E-mail: Roman.Kozhan@wbs.ac.uk
Office: 2.111 (Scarman Road Building)