| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1 |
0 |
0 |
0 |
241 |
0 |
0 |
0 |
863 |
| A Return Based Measure of Firm Quality |
0 |
0 |
0 |
45 |
1 |
1 |
3 |
109 |
| A Simple Approach to Valuing Intangibles and Rents |
1 |
1 |
2 |
9 |
2 |
2 |
4 |
21 |
| A contingent claim approach to performance evaluation |
0 |
0 |
0 |
706 |
0 |
0 |
3 |
1,960 |
| An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices |
0 |
0 |
0 |
1,115 |
5 |
6 |
6 |
3,808 |
| An Intangibles-Adjusted Profitability Factor |
0 |
1 |
1 |
19 |
0 |
2 |
3 |
39 |
| Assessing Specification Errors in Stochastic Discount Factor Models |
0 |
0 |
0 |
434 |
1 |
2 |
9 |
1,828 |
| Assessing specification errors in stochastic discount factor models |
0 |
0 |
0 |
217 |
1 |
3 |
4 |
843 |
| Banking Panics |
0 |
0 |
0 |
93 |
0 |
0 |
4 |
390 |
| Building Castles in the Air: Evidence from Industry IPO Waves |
0 |
1 |
2 |
27 |
0 |
2 |
3 |
128 |
| CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence |
0 |
0 |
0 |
405 |
1 |
2 |
6 |
2,002 |
| Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease! |
0 |
0 |
0 |
251 |
2 |
2 |
4 |
575 |
| Consumption Risk and the Cost of Equity Capital |
0 |
0 |
0 |
259 |
0 |
0 |
0 |
914 |
| Day Traders, Noise, and Cost of Immediacy |
0 |
0 |
1 |
7 |
0 |
0 |
2 |
17 |
| Dirty Business: Transition Risk of Factor Portfolios |
0 |
0 |
2 |
2 |
2 |
4 |
11 |
11 |
| Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
0 |
53 |
0 |
1 |
3 |
84 |
| Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation |
0 |
0 |
0 |
149 |
1 |
1 |
10 |
585 |
| Do We Need CAPM for Capital Budgeting? |
0 |
0 |
0 |
761 |
0 |
1 |
2 |
2,191 |
| Does Product Market Competition Reduce Agency Costs? |
0 |
0 |
0 |
223 |
1 |
1 |
3 |
1,048 |
| Econometric evaluation of asset pricing models |
0 |
0 |
1 |
696 |
2 |
3 |
4 |
1,616 |
| Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods |
0 |
0 |
1 |
553 |
0 |
0 |
2 |
1,512 |
| Environmental, Social, and Governance Criteria: Why Investors are Paying Attention |
0 |
0 |
2 |
107 |
3 |
4 |
24 |
456 |
| Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology |
0 |
0 |
0 |
37 |
2 |
2 |
5 |
311 |
| Ex-day behavior of Japanese stock prices: new insights from new methodology |
1 |
1 |
1 |
64 |
1 |
1 |
3 |
981 |
| Ex-dividend price behavior of common stocks |
0 |
0 |
0 |
302 |
1 |
1 |
4 |
1,400 |
| Ex-dividend price behavior of common stocks |
0 |
0 |
4 |
555 |
1 |
1 |
8 |
2,963 |
| Globalization and Profitability of US Firms: The Role of Intangibles |
0 |
0 |
5 |
32 |
1 |
3 |
10 |
47 |
| Growth Expectations, Dividend Yields, and Future Stock Returns |
1 |
1 |
2 |
61 |
3 |
4 |
6 |
173 |
| Implications of Security Market Data for Models of Dynamic Economies |
2 |
2 |
4 |
177 |
2 |
2 |
12 |
838 |
| Implications of security market data for models of dynamic economies |
1 |
1 |
2 |
206 |
1 |
1 |
6 |
968 |
| Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
0 |
0 |
0 |
49 |
0 |
3 |
6 |
312 |
| Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets |
0 |
0 |
1 |
67 |
6 |
6 |
8 |
375 |
| Momentum Trading, Return Chasing and Predictable Crashes |
0 |
0 |
1 |
25 |
3 |
5 |
9 |
154 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
0 |
1 |
24 |
7 |
7 |
17 |
191 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
0 |
0 |
9 |
3 |
5 |
7 |
84 |
| On Frequent Batch Auctions for Stocks |
0 |
0 |
1 |
21 |
0 |
0 |
6 |
71 |
| On the relation between the expected value and the volatility of the nominal excess return on stocks |
3 |
4 |
20 |
3,043 |
17 |
27 |
69 |
9,541 |
| Price Destabilizing Speculation: The Role of Strategic Limit Orders |
0 |
0 |
0 |
10 |
1 |
1 |
1 |
10 |
| Price Dividend Ratio Factors: Proxies for Long Run Risk |
0 |
0 |
0 |
40 |
1 |
2 |
3 |
166 |
| Price Momentum In Stocks: Insights From Victorian Age Data |
0 |
1 |
1 |
137 |
7 |
8 |
11 |
650 |
| Recovery from fast crashes: Role of mutual funds |
0 |
0 |
0 |
33 |
0 |
0 |
0 |
58 |
| Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market |
0 |
0 |
0 |
186 |
1 |
1 |
4 |
1,411 |
| Return to Venture Capital in the Aggregate |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
52 |
| Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
0 |
0 |
0 |
651 |
6 |
8 |
17 |
1,740 |
| Seasonalities in security returns: the case of earnings announcements |
0 |
0 |
0 |
319 |
0 |
0 |
4 |
886 |
| Stock Price Crashes: Role of Slow-Moving Capital |
0 |
0 |
0 |
23 |
0 |
0 |
3 |
77 |
| THE CAPM IS ALIVE AND WELL |
0 |
1 |
7 |
4,243 |
1 |
2 |
14 |
13,624 |
| Tail Risk in Momentum Strategy Returns |
0 |
0 |
0 |
80 |
0 |
2 |
5 |
366 |
| The CAPM is alive and well |
0 |
1 |
10 |
1,168 |
5 |
8 |
40 |
3,025 |
| The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data |
0 |
0 |
0 |
26 |
0 |
4 |
10 |
160 |
| The Declining U.S. Equity Premium |
0 |
0 |
0 |
319 |
3 |
5 |
6 |
907 |
| The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks |
0 |
1 |
12 |
1,458 |
5 |
16 |
59 |
8,520 |
| The conditional CAPM and the cross-section of expected returns |
0 |
3 |
4 |
3,335 |
3 |
13 |
28 |
8,959 |
| Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis |
0 |
0 |
0 |
991 |
0 |
0 |
2 |
2,183 |
| Valuing the Reload Features of Executive Stock Options |
0 |
0 |
0 |
316 |
2 |
2 |
2 |
2,039 |
| When Does a Mutual Fund's Trade Reveal its Skill? |
0 |
0 |
0 |
105 |
0 |
0 |
0 |
499 |
| Why Do IPO Auctions Fail? |
0 |
0 |
1 |
507 |
2 |
3 |
12 |
1,694 |
| Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms |
0 |
0 |
0 |
44 |
0 |
0 |
0 |
168 |
| Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes |
0 |
3 |
6 |
655 |
9 |
18 |
30 |
3,888 |
| Total Working Papers |
9 |
22 |
95 |
25,703 |
116 |
198 |
538 |
90,491 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Firm's Cost of Capital |
1 |
1 |
5 |
115 |
1 |
2 |
12 |
292 |
| A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
46 |
| A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” |
0 |
0 |
0 |
9 |
0 |
0 |
1 |
68 |
| A Sequential Algorithm for a Class of Programming Problems with Nonlinear Constraints |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
| A contingent claim approach to performance evaluation |
0 |
0 |
2 |
319 |
0 |
1 |
9 |
761 |
| A direct test for the mean variance efficiency of a portfolio |
0 |
0 |
0 |
157 |
0 |
0 |
1 |
331 |
| An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives |
0 |
0 |
0 |
4 |
0 |
1 |
3 |
27 |
| An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model |
0 |
0 |
0 |
110 |
2 |
2 |
3 |
288 |
| An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices |
0 |
0 |
1 |
206 |
0 |
0 |
3 |
765 |
| Assessing Specification Errors in Stochastic Discount Factor Models |
0 |
0 |
1 |
313 |
3 |
6 |
12 |
870 |
| Assessing the Market Timing Performance of Managed Portfolios |
0 |
0 |
1 |
530 |
1 |
2 |
6 |
1,449 |
| Avoiding the Next Crisis |
0 |
0 |
0 |
85 |
0 |
0 |
1 |
188 |
| CAPM for estimating the cost of equity capital: Interpreting the empirical evidence |
2 |
3 |
6 |
81 |
7 |
10 |
22 |
355 |
| Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns |
0 |
0 |
0 |
7 |
0 |
1 |
4 |
60 |
| Call options and the risk of underlying securities |
0 |
0 |
3 |
150 |
0 |
0 |
5 |
618 |
| Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease! |
0 |
0 |
4 |
166 |
1 |
1 |
13 |
839 |
| Correcting for Heteroscedasticity in Tests for Market Timing Ability |
0 |
0 |
1 |
69 |
1 |
1 |
4 |
299 |
| Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
1 |
1 |
9 |
0 |
1 |
4 |
69 |
| Cross-Sectional Asset Pricing Tests |
1 |
1 |
3 |
120 |
3 |
7 |
12 |
342 |
| Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
1 |
14 |
0 |
0 |
5 |
116 |
| Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation |
0 |
0 |
0 |
64 |
1 |
1 |
4 |
429 |
| Do We Need CAPM for Capital Budgeting? |
0 |
0 |
0 |
0 |
1 |
3 |
4 |
742 |
| Does product market competition reduce agency costs? |
0 |
0 |
0 |
73 |
0 |
0 |
1 |
328 |
| Effects of Insider Trading Disclosures on Speculative Activity and Future Prices |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
145 |
| Empirical Evaluation of Asset‐Pricing Models: A Comparison of the SDF and Beta Methods |
0 |
0 |
0 |
145 |
0 |
1 |
3 |
480 |
| Erratum to "A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem" |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
17 |
| Ex-day behavior of japanese stock prices: New insights from new methodology |
0 |
0 |
0 |
24 |
0 |
0 |
0 |
191 |
| Ex-dividend Price Behavior of Common Stocks |
0 |
0 |
0 |
198 |
0 |
0 |
1 |
1,128 |
| Generalized Method of Moments: Applications in Finance |
0 |
0 |
0 |
0 |
2 |
3 |
7 |
1,247 |
| Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
0 |
0 |
0 |
31 |
0 |
0 |
4 |
128 |
| Implications of Security Market Data for Models of Dynamic Economies |
1 |
4 |
49 |
1,581 |
6 |
15 |
103 |
4,130 |
| Jackknife Estimator for Tracking Error Variance of Optimal Portfolios |
1 |
2 |
2 |
13 |
1 |
3 |
3 |
73 |
| Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns |
0 |
0 |
2 |
162 |
0 |
1 |
8 |
503 |
| Note---Response |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
26 |
| On Frequent Batch Auctions for Stocks* |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
6 |
| On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks |
4 |
10 |
28 |
827 |
26 |
50 |
143 |
3,098 |
| Price Stability and Futures Trading in Commodities |
0 |
0 |
0 |
86 |
0 |
0 |
1 |
338 |
| Price-Dividend Ratio Factor Proxies for Long-Run Risks |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
27 |
| Recovery from fast crashes: Role of mutual funds |
0 |
1 |
1 |
1 |
0 |
1 |
2 |
9 |
| Reforming the Bookbuilding Process for IPOs |
0 |
1 |
1 |
77 |
0 |
3 |
4 |
218 |
| Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market |
0 |
0 |
0 |
77 |
3 |
4 |
6 |
413 |
| Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
1 |
3 |
10 |
60 |
8 |
15 |
52 |
197 |
| Share auctions of initial public offerings: Global evidence |
0 |
1 |
1 |
38 |
4 |
8 |
9 |
144 |
| The CAPM debate |
0 |
1 |
7 |
1,019 |
0 |
1 |
22 |
2,659 |
| The Conditional CAPM and the Cross-Section of Expected Returns |
0 |
2 |
5 |
627 |
6 |
13 |
20 |
1,773 |
| The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks |
0 |
0 |
8 |
447 |
1 |
4 |
31 |
1,510 |
| The declining U.S. equity premium |
0 |
0 |
0 |
110 |
0 |
0 |
5 |
490 |
| The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare? |
0 |
0 |
0 |
121 |
1 |
2 |
2 |
398 |
| Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models |
0 |
0 |
0 |
8 |
2 |
2 |
2 |
53 |
| Why do firms use high discount rates? |
0 |
0 |
5 |
286 |
3 |
4 |
22 |
732 |
| Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes |
0 |
1 |
5 |
203 |
0 |
4 |
18 |
731 |
| Why should older people invest less in stock than younger people? |
1 |
1 |
13 |
371 |
3 |
7 |
26 |
1,589 |
| Total Journal Articles |
12 |
33 |
166 |
9,128 |
87 |
180 |
628 |
31,740 |
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