| 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 |
1 |
7 |
7 |
870 |
| A Return Based Measure of Firm Quality |
0 |
0 |
0 |
45 |
1 |
1 |
3 |
111 |
| A Simple Approach to Valuing Intangibles and Rents |
0 |
0 |
2 |
9 |
0 |
3 |
8 |
26 |
| A contingent claim approach to performance evaluation |
0 |
0 |
0 |
706 |
0 |
3 |
4 |
1,963 |
| An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices |
0 |
0 |
0 |
1,115 |
0 |
1 |
7 |
3,809 |
| An Intangibles-Adjusted Profitability Factor |
0 |
0 |
1 |
19 |
2 |
8 |
11 |
47 |
| Assessing Specification Errors in Stochastic Discount Factor Models |
0 |
0 |
0 |
434 |
2 |
11 |
17 |
1,841 |
| Assessing specification errors in stochastic discount factor models |
0 |
0 |
0 |
217 |
6 |
14 |
18 |
858 |
| Banking Panics |
0 |
0 |
0 |
93 |
3 |
17 |
18 |
408 |
| Building Castles in the Air: Evidence from Industry IPO Waves |
0 |
0 |
2 |
27 |
4 |
14 |
18 |
143 |
| CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence |
0 |
0 |
0 |
405 |
0 |
8 |
14 |
2,011 |
| Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease! |
0 |
0 |
0 |
251 |
4 |
9 |
14 |
585 |
| Consumption Risk and the Cost of Equity Capital |
0 |
0 |
0 |
259 |
2 |
6 |
7 |
921 |
| Day Traders, Noise, and Cost of Immediacy |
0 |
0 |
1 |
7 |
1 |
4 |
6 |
21 |
| Dirty Business: Transition Risk of Factor Portfolios |
0 |
0 |
2 |
2 |
1 |
5 |
17 |
17 |
| Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
0 |
53 |
2 |
8 |
11 |
93 |
| Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation |
0 |
0 |
0 |
149 |
2 |
13 |
21 |
599 |
| Do We Need CAPM for Capital Budgeting? |
0 |
0 |
0 |
761 |
0 |
2 |
7 |
2,196 |
| Does Product Market Competition Reduce Agency Costs? |
0 |
0 |
0 |
223 |
1 |
2 |
4 |
1,050 |
| Econometric evaluation of asset pricing models |
0 |
0 |
1 |
696 |
2 |
9 |
13 |
1,625 |
| Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods |
0 |
0 |
0 |
553 |
0 |
1 |
3 |
1,514 |
| Environmental, Social, and Governance Criteria: Why Investors are Paying Attention |
0 |
0 |
0 |
107 |
4 |
8 |
19 |
464 |
| Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology |
0 |
0 |
0 |
37 |
0 |
4 |
7 |
315 |
| Ex-day behavior of Japanese stock prices: new insights from new methodology |
0 |
0 |
1 |
64 |
1 |
6 |
9 |
988 |
| Ex-dividend price behavior of common stocks |
0 |
0 |
4 |
556 |
7 |
20 |
27 |
2,986 |
| Ex-dividend price behavior of common stocks |
0 |
0 |
0 |
302 |
1 |
6 |
13 |
1,409 |
| Globalization and Profitability of US Firms: The Role of Intangibles |
0 |
0 |
4 |
32 |
1 |
7 |
17 |
57 |
| Growth Expectations, Dividend Yields, and Future Stock Returns |
0 |
0 |
2 |
61 |
0 |
7 |
13 |
180 |
| Implications of Security Market Data for Models of Dynamic Economies |
0 |
0 |
3 |
177 |
2 |
17 |
24 |
855 |
| Implications of security market data for models of dynamic economies |
0 |
0 |
1 |
206 |
1 |
6 |
8 |
974 |
| Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
0 |
0 |
0 |
49 |
1 |
3 |
8 |
315 |
| Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets |
0 |
0 |
0 |
67 |
0 |
3 |
11 |
379 |
| Momentum Trading, Return Chasing and Predictable Crashes |
0 |
0 |
0 |
25 |
1 |
9 |
17 |
165 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
1 |
1 |
25 |
2 |
22 |
31 |
214 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
0 |
0 |
9 |
2 |
10 |
18 |
97 |
| On Frequent Batch Auctions for Stocks |
0 |
0 |
0 |
21 |
3 |
13 |
15 |
84 |
| On the relation between the expected value and the volatility of the nominal excess return on stocks |
1 |
4 |
14 |
3,049 |
7 |
24 |
77 |
9,575 |
| Price Destabilizing Speculation: The Role of Strategic Limit Orders |
0 |
0 |
0 |
10 |
2 |
6 |
7 |
16 |
| Price Dividend Ratio Factors: Proxies for Long Run Risk |
0 |
0 |
0 |
40 |
0 |
3 |
8 |
172 |
| Price Momentum In Stocks: Insights From Victorian Age Data |
0 |
0 |
1 |
137 |
0 |
7 |
18 |
659 |
| Recovery from fast crashes: Role of mutual funds |
0 |
0 |
0 |
33 |
0 |
5 |
5 |
63 |
| Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market |
0 |
0 |
0 |
186 |
0 |
7 |
11 |
1,418 |
| Return to Venture Capital in the Aggregate |
0 |
0 |
0 |
13 |
0 |
9 |
11 |
62 |
| Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
0 |
0 |
0 |
651 |
2 |
9 |
29 |
1,753 |
| Seasonalities in security returns: the case of earnings announcements |
0 |
0 |
0 |
319 |
1 |
3 |
7 |
891 |
| Stock Price Crashes: Role of Slow-Moving Capital |
0 |
0 |
0 |
23 |
3 |
13 |
16 |
91 |
| THE CAPM IS ALIVE AND WELL |
0 |
0 |
3 |
4,243 |
1 |
1 |
13 |
13,628 |
| Tail Risk in Momentum Strategy Returns |
0 |
0 |
0 |
80 |
6 |
13 |
16 |
379 |
| The CAPM is alive and well |
2 |
2 |
6 |
1,171 |
5 |
9 |
36 |
3,042 |
| The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data |
0 |
0 |
0 |
26 |
1 |
6 |
16 |
170 |
| The Declining U.S. Equity Premium |
0 |
0 |
0 |
319 |
1 |
4 |
10 |
911 |
| The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks |
1 |
1 |
10 |
1,460 |
10 |
30 |
74 |
8,554 |
| The conditional CAPM and the cross-section of expected returns |
0 |
3 |
7 |
3,338 |
4 |
22 |
46 |
8,983 |
| Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis |
0 |
1 |
1 |
992 |
1 |
8 |
8 |
2,191 |
| Valuing the Reload Features of Executive Stock Options |
0 |
0 |
0 |
316 |
1 |
8 |
11 |
2,048 |
| When Does a Mutual Fund's Trade Reveal its Skill? |
0 |
0 |
0 |
105 |
2 |
7 |
9 |
508 |
| Why Do IPO Auctions Fail? |
0 |
0 |
1 |
507 |
7 |
13 |
22 |
1,707 |
| Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms |
0 |
0 |
0 |
44 |
1 |
3 |
5 |
173 |
| Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes |
1 |
1 |
7 |
657 |
17 |
73 |
103 |
3,968 |
| Total Working Papers |
5 |
13 |
75 |
25,722 |
132 |
570 |
1,023 |
91,152 |
| 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 |
0 |
1 |
6 |
116 |
0 |
8 |
17 |
300 |
| A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem |
0 |
0 |
0 |
8 |
0 |
2 |
3 |
49 |
| A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” |
0 |
0 |
0 |
9 |
0 |
5 |
5 |
73 |
| 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 |
0 |
319 |
2 |
5 |
10 |
766 |
| A direct test for the mean variance efficiency of a portfolio |
0 |
0 |
0 |
157 |
2 |
4 |
4 |
335 |
| An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives |
0 |
0 |
0 |
4 |
0 |
1 |
2 |
28 |
| An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model |
0 |
0 |
0 |
110 |
1 |
6 |
8 |
294 |
| An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices |
0 |
0 |
1 |
206 |
1 |
8 |
11 |
774 |
| Assessing Specification Errors in Stochastic Discount Factor Models |
1 |
1 |
1 |
314 |
2 |
31 |
42 |
903 |
| Assessing the Market Timing Performance of Managed Portfolios |
0 |
0 |
1 |
530 |
2 |
9 |
14 |
1,459 |
| Avoiding the Next Crisis |
0 |
0 |
0 |
85 |
0 |
5 |
8 |
196 |
| CAPM for estimating the cost of equity capital: Interpreting the empirical evidence |
0 |
2 |
8 |
83 |
3 |
16 |
40 |
374 |
| Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns |
0 |
0 |
0 |
7 |
0 |
8 |
10 |
69 |
| Call options and the risk of underlying securities |
0 |
2 |
6 |
153 |
0 |
5 |
12 |
625 |
| Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease! |
0 |
0 |
1 |
166 |
0 |
6 |
16 |
847 |
| Correcting for Heteroscedasticity in Tests for Market Timing Ability |
0 |
0 |
0 |
69 |
1 |
5 |
6 |
304 |
| Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
1 |
9 |
0 |
3 |
5 |
72 |
| Cross-Sectional Asset Pricing Tests |
0 |
0 |
1 |
120 |
7 |
11 |
21 |
354 |
| Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
0 |
14 |
0 |
0 |
2 |
116 |
| Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation |
0 |
0 |
0 |
64 |
0 |
7 |
9 |
436 |
| Do We Need CAPM for Capital Budgeting? |
0 |
0 |
0 |
0 |
1 |
5 |
10 |
748 |
| Does product market competition reduce agency costs? |
0 |
0 |
0 |
73 |
1 |
4 |
6 |
334 |
| Effects of Insider Trading Disclosures on Speculative Activity and Future Prices |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
147 |
| Empirical Evaluation of Asset‐Pricing Models: A Comparison of the SDF and Beta Methods |
0 |
0 |
0 |
145 |
0 |
5 |
6 |
485 |
| Erratum to "A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem" |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
20 |
| Ex-day behavior of japanese stock prices: New insights from new methodology |
0 |
0 |
0 |
24 |
0 |
5 |
6 |
197 |
| Ex-dividend Price Behavior of Common Stocks |
0 |
0 |
1 |
199 |
2 |
11 |
13 |
1,141 |
| Generalized Method of Moments: Applications in Finance |
0 |
0 |
0 |
0 |
1 |
6 |
11 |
1,254 |
| Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
0 |
0 |
0 |
31 |
2 |
3 |
4 |
131 |
| Implications of Security Market Data for Models of Dynamic Economies |
2 |
6 |
33 |
1,588 |
10 |
28 |
98 |
4,168 |
| Jackknife Estimator for Tracking Error Variance of Optimal Portfolios |
0 |
0 |
2 |
13 |
1 |
8 |
14 |
84 |
| Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns |
1 |
1 |
1 |
163 |
2 |
7 |
12 |
511 |
| Note---Response |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
28 |
| On Frequent Batch Auctions for Stocks* |
0 |
0 |
0 |
4 |
0 |
10 |
11 |
17 |
| On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks |
1 |
4 |
22 |
833 |
26 |
75 |
182 |
3,187 |
| Price Stability and Futures Trading in Commodities |
0 |
0 |
0 |
86 |
0 |
6 |
7 |
344 |
| Price-Dividend Ratio Factor Proxies for Long-Run Risks |
0 |
0 |
0 |
3 |
1 |
2 |
3 |
29 |
| Recovery from fast crashes: Role of mutual funds |
0 |
0 |
1 |
1 |
1 |
6 |
8 |
15 |
| Reforming the Bookbuilding Process for IPOs |
0 |
0 |
1 |
77 |
2 |
9 |
13 |
228 |
| Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market |
0 |
0 |
0 |
77 |
0 |
3 |
10 |
417 |
| Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
3 |
8 |
16 |
68 |
12 |
41 |
85 |
244 |
| Share auctions of initial public offerings: Global evidence |
0 |
0 |
1 |
38 |
0 |
9 |
20 |
155 |
| The CAPM debate |
0 |
1 |
4 |
1,020 |
5 |
15 |
24 |
2,674 |
| The Conditional CAPM and the Cross-Section of Expected Returns |
0 |
2 |
6 |
629 |
3 |
12 |
29 |
1,785 |
| The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks |
0 |
0 |
9 |
454 |
4 |
14 |
43 |
1,536 |
| The declining U.S. equity premium |
0 |
0 |
0 |
110 |
2 |
13 |
17 |
504 |
| The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare? |
0 |
0 |
0 |
121 |
6 |
9 |
12 |
408 |
| Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models |
0 |
0 |
0 |
8 |
0 |
3 |
5 |
56 |
| Why do firms use high discount rates? |
2 |
3 |
9 |
291 |
2 |
11 |
29 |
746 |
| Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes |
1 |
1 |
6 |
204 |
3 |
11 |
26 |
742 |
| Why should older people invest less in stock than younger people? |
0 |
1 |
10 |
373 |
3 |
14 |
38 |
1,608 |
| Total Journal Articles |
11 |
33 |
148 |
9,176 |
112 |
495 |
995 |
32,322 |
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