Details about Lorne Switzer

Access statistics for papers by Lorne Switzer.

Last updated 2021-03-07. Update your information in the RePEc Author Service.

Short-id: psw50

Journal Articles

2020

1. Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets
   Research in International Business and Finance, 2020, 53, (C)

2019

2. Risk, culture and investor behavior in small (but notorious) Eurozone countries
   Journal of International Financial Markets, Institutions and Money, 2019, 60, (C), 89-110 View citations (1)

2018

3. Corporate governance and default risk in financial firms over the post-financial crisis period: International evidence
   Journal of International Financial Markets, Institutions and Money, 2018, 52, (C), 196-210 View citations (4)

2017

4. An event based approach for quantifying the effects of securities fraud in the IT industry
   Information Systems Frontiers, 2017, 19, (3), 457-467 View citations (1)
   Also in Information Systems Frontiers, 1-11
5. Extreme risk and small investor behavior in developed markets
   Journal of Asset Management, 2017, 18, (6), 457-475
6. Institutional investment horizon, the information environment, and firm credit risk
   Journal of Financial Stability, 2017, 29, (C), 57-71 View citations (4)
7. Volatility measures as predictors of extreme returns
   Review of Financial Economics, 2017, 35, (C), 1-10
   Also in Review of Financial Economics, 2017, 35, (1), 1-10 (2017)

2016

8. Stock market liquidity and economic cycles: A non-linear approach
   Economic Modelling, 2016, 57, (C), 106-119 View citations (4)

2015

9. Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets
   Multinational Finance Journal, 2015, 19, (3), 169-221 View citations (2)
10. Intraday market liquidity, corporate governance, and ownership structure in markets with weak shareholder protection: evidence from Brazil and Chile
    Journal of Management & Governance, 2015, 19, (2), 395-419
11. Special issue: Ethical finance and governance. Introduction
    Journal of Management & Governance, 2015, 19, (2), 255-257
12. The benefits of international diversification: market development, corporate governance, market cap, and structural change effects
    International Review of Financial Analysis, 2015, 42, (C), 76-97 View citations (5)

2011

13. Shareholder interests vs board of director members' interests and company performance: A new look
    Review of Accounting and Finance, 2011, 10, (3), 228-245 View citations (2)

2010

14. Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment
    International Econometric Review (IER), 2010, 2, (1), 11-35
15. The behaviour of small cap vs. large cap stocks in recessions and recoveries: Empirical evidence for the United States and Canada
    The North American Journal of Economics and Finance, 2010, 21, (3), 332-346 View citations (10)
16. The effects of macroeconomic announcements on equity returns and their connections to Fama-French factors
    Applied Financial Economics, 2010, 20, (16), 1257-1267

2009

17. Corporate governance, compliance and valuation effects of Sarbanes-Oxley on US and foreign firms
    International Journal of Business Governance and Ethics, 2009, 4, (4), 400-426

2007

18. Corporate governance, Sarbanes-Oxley, and small-cap firm performance
    The Quarterly Review of Economics and Finance, 2007, 47, (5), 651-666 View citations (7)
19. Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and value style indexes
    Journal of Asset Management, 2007, 8, (1), 9-23 View citations (3)
20. Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets
    Journal of Futures Markets, 2007, 27, (1), 61-84 View citations (26)

2006

21. Corporate governance mechanisms and the performance of small-cap firms in Canada
    International Journal of Business Governance and Ethics, 2006, 2, (3/4), 294-328
22. Macroeconomic news effects on conditional volatilities in the bond and stock markets
    Applied Financial Economics, 2006, 16, (5), 377-384 View citations (10)

2000

23. Standard and Poor’s depository receipts and the performance of the S&P 500 index futures market
    Journal of Futures Markets, 2000, 20, (8), 705-716 View citations (10)

1999

24. The interactions between trading volume and volatility: evidence from the equity options markets
    Applied Financial Economics, 1999, 9, (6), 627-637 View citations (4)

1996

25. An Economic Analysis of Real Estate Swaps
    Canadian Journal of Economics, 1996, 29, (s1), 527-33 View citations (1)
26. Mean reversion of interest‐rate term premiums and profits from trading strategies with treasury futures spreads
    Journal of Futures Markets, 1996, 16, (3), 331-352 View citations (6)

1995

27. Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note
    Journal of Futures Markets, 1995, 15, (1), 61-67 View citations (65)
28. Index participation units and the performance of index futures markets: Evidence from the Toronto 35 index participation units market
    Journal of Futures Markets, 1995, 15, (2), 187-200 View citations (8)
29. Risk Management of Real Estate: The Case of Real Estate Swaps
    The Journal of Real Estate Finance and Economics, 1995, 11, (3), 219-33 View citations (1)
30. Stock market crash behavior of screen-sorted portfolios
    International Review of Economics & Finance, 1995, 4, (3), 227-244 View citations (3)

1994

31. Currency-free evaluation of investment results and the R index: an addendum
    Omega, 1994, 22, (5), 535-536

1992

32. The stock market's valuation of R&D spending and market concentration
    Journal of Economics and Business, 1992, 44, (2), 95-114 View citations (34)

1985

33. How Effective Are Canada's Direct Tax Incentives for R and D?
    Canadian Public Policy, 1985, 11, (2), 241-246 View citations (6)
34. The effects of R&D tax credits and allowances in Canada
    Research Policy, 1985, 14, (2), 97-107 View citations (15)

1984

35. Effects of Federal Support on Company-Financed R and D: The Case of Energy
    Management Science, 1984, 30, (5), 562-571 View citations (16)
36. The Determinants of Industrial R&D: A Funds Flow Simultaneous Equation Approach
    The Review of Economics and Statistics, 1984, 66, (1), 163-68 View citations (10)

1983

37. R&D price indexes and real R&D expenditures in the United States
    Research Policy, 1983, 12, (2), 105-112 View citations (9)