| 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 |
7 |
870 |
| A Return Based Measure of Firm Quality |
0 |
0 |
0 |
45 |
2 |
3 |
8 |
116 |
| A Simple Approach to Valuing Intangibles and Rents |
0 |
0 |
1 |
9 |
0 |
0 |
10 |
29 |
| A contingent claim approach to performance evaluation |
0 |
0 |
0 |
706 |
0 |
1 |
4 |
1,964 |
| An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices |
0 |
0 |
0 |
1,115 |
0 |
0 |
9 |
3,811 |
| An Intangibles-Adjusted Profitability Factor |
0 |
0 |
1 |
19 |
0 |
3 |
19 |
56 |
| Assessing Specification Errors in Stochastic Discount Factor Models |
0 |
0 |
1 |
435 |
0 |
2 |
26 |
1,852 |
| Assessing specification errors in stochastic discount factor models |
0 |
0 |
0 |
217 |
1 |
4 |
36 |
876 |
| Banking Panics |
0 |
0 |
0 |
93 |
0 |
0 |
22 |
412 |
| Building Castles in the Air: Evidence from Industry IPO Waves |
0 |
0 |
1 |
27 |
0 |
2 |
20 |
146 |
| CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence |
0 |
0 |
0 |
405 |
0 |
1 |
17 |
2,017 |
| Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease! |
0 |
0 |
0 |
251 |
0 |
0 |
18 |
591 |
| Consumption Risk and the Cost of Equity Capital |
0 |
0 |
0 |
259 |
0 |
1 |
9 |
923 |
| Day Traders, Noise, and Cost of Immediacy |
0 |
0 |
0 |
7 |
1 |
4 |
9 |
26 |
| Dirty Business: Transition Risk of Factor Portfolios |
0 |
0 |
0 |
2 |
0 |
0 |
15 |
22 |
| Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
0 |
53 |
1 |
1 |
13 |
96 |
| Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation |
0 |
0 |
0 |
149 |
0 |
1 |
22 |
606 |
| Do We Need CAPM for Capital Budgeting? |
0 |
0 |
0 |
761 |
0 |
1 |
8 |
2,198 |
| Does Product Market Competition Reduce Agency Costs? |
0 |
0 |
0 |
223 |
0 |
1 |
9 |
1,056 |
| Econometric evaluation of asset pricing models |
0 |
0 |
0 |
696 |
0 |
2 |
16 |
1,629 |
| Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods |
0 |
0 |
0 |
553 |
0 |
0 |
7 |
1,519 |
| Environmental, Social, and Governance Criteria: Why Investors are Paying Attention |
1 |
1 |
1 |
108 |
1 |
2 |
19 |
471 |
| Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology |
0 |
0 |
0 |
37 |
0 |
2 |
12 |
321 |
| Ex-day behavior of Japanese stock prices: new insights from new methodology |
0 |
0 |
1 |
64 |
0 |
4 |
26 |
1,006 |
| Ex-dividend price behavior of common stocks |
0 |
0 |
1 |
556 |
1 |
8 |
53 |
3,015 |
| Ex-dividend price behavior of common stocks |
0 |
0 |
0 |
302 |
0 |
4 |
19 |
1,418 |
| Globalization and Profitability of US Firms: The Role of Intangibles |
0 |
0 |
0 |
32 |
0 |
2 |
19 |
63 |
| Growth Expectations, Dividend Yields, and Future Stock Returns |
0 |
0 |
2 |
62 |
0 |
0 |
12 |
181 |
| Implications of Security Market Data for Models of Dynamic Economies |
0 |
0 |
2 |
177 |
0 |
2 |
29 |
865 |
| Implications of security market data for models of dynamic economies |
1 |
2 |
4 |
209 |
2 |
3 |
23 |
990 |
| Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
0 |
0 |
0 |
49 |
0 |
1 |
7 |
316 |
| Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets |
0 |
0 |
0 |
67 |
0 |
5 |
26 |
395 |
| Momentum Trading, Return Chasing and Predictable Crashes |
0 |
0 |
0 |
25 |
0 |
1 |
20 |
169 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
0 |
0 |
9 |
0 |
3 |
22 |
101 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
0 |
1 |
25 |
1 |
4 |
48 |
232 |
| On Frequent Batch Auctions for Stocks |
0 |
0 |
0 |
21 |
0 |
2 |
18 |
89 |
| On the relation between the expected value and the volatility of the nominal excess return on stocks |
1 |
3 |
19 |
3,058 |
7 |
34 |
120 |
9,634 |
| Price Destabilizing Speculation: The Role of Strategic Limit Orders |
0 |
0 |
0 |
10 |
0 |
1 |
14 |
23 |
| Price Dividend Ratio Factors: Proxies for Long Run Risk |
0 |
0 |
1 |
41 |
0 |
0 |
13 |
177 |
| Price Momentum In Stocks: Insights From Victorian Age Data |
0 |
0 |
1 |
137 |
0 |
1 |
23 |
665 |
| Recovery from fast crashes: Role of mutual funds |
0 |
0 |
0 |
33 |
0 |
1 |
6 |
64 |
| Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market |
0 |
0 |
0 |
186 |
2 |
3 |
13 |
1,423 |
| Return to Venture Capital in the Aggregate |
0 |
0 |
0 |
13 |
0 |
1 |
17 |
69 |
| Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
1 |
2 |
3 |
654 |
7 |
19 |
50 |
1,782 |
| Seasonalities in security returns: the case of earnings announcements |
0 |
0 |
0 |
319 |
0 |
0 |
7 |
893 |
| Stock Price Crashes: Role of Slow-Moving Capital |
0 |
0 |
0 |
23 |
0 |
1 |
20 |
97 |
| THE CAPM IS ALIVE AND WELL |
0 |
0 |
1 |
4,243 |
0 |
0 |
8 |
13,630 |
| Tail Risk in Momentum Strategy Returns |
0 |
0 |
0 |
80 |
1 |
2 |
23 |
387 |
| The CAPM is alive and well |
0 |
0 |
4 |
1,171 |
1 |
2 |
29 |
3,046 |
| The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data |
0 |
0 |
0 |
26 |
2 |
2 |
26 |
182 |
| The Declining U.S. Equity Premium |
0 |
0 |
0 |
319 |
0 |
0 |
11 |
913 |
| The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks |
1 |
2 |
7 |
1,464 |
4 |
11 |
71 |
8,575 |
| The conditional CAPM and the cross-section of expected returns |
0 |
0 |
7 |
3,339 |
0 |
5 |
59 |
9,005 |
| Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis |
0 |
0 |
1 |
992 |
0 |
1 |
12 |
2,195 |
| Valuing the Reload Features of Executive Stock Options |
0 |
0 |
0 |
316 |
1 |
1 |
16 |
2,053 |
| When Does a Mutual Fund's Trade Reveal its Skill? |
0 |
0 |
0 |
105 |
0 |
2 |
14 |
513 |
| Why Do IPO Auctions Fail? |
0 |
0 |
0 |
507 |
0 |
3 |
22 |
1,713 |
| Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms |
0 |
0 |
0 |
44 |
0 |
0 |
7 |
175 |
| Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes |
0 |
2 |
10 |
662 |
2 |
21 |
181 |
4,051 |
| Total Working Papers |
5 |
12 |
70 |
25,751 |
37 |
181 |
1,419 |
91,712 |
| 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 |
0 |
5 |
119 |
0 |
1 |
22 |
312 |
| A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem |
0 |
0 |
0 |
8 |
1 |
1 |
5 |
51 |
| A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” |
1 |
1 |
1 |
10 |
1 |
1 |
9 |
77 |
| A Sequential Algorithm for a Class of Programming Problems with Nonlinear Constraints |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
8 |
| A contingent claim approach to performance evaluation |
0 |
0 |
0 |
319 |
1 |
3 |
10 |
770 |
| A direct test for the mean variance efficiency of a portfolio |
0 |
0 |
0 |
157 |
1 |
3 |
8 |
339 |
| An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives |
0 |
0 |
0 |
4 |
0 |
0 |
3 |
29 |
| An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model |
0 |
0 |
0 |
110 |
0 |
1 |
11 |
297 |
| An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices |
0 |
0 |
0 |
206 |
0 |
0 |
13 |
778 |
| Assessing Specification Errors in Stochastic Discount Factor Models |
0 |
1 |
3 |
316 |
0 |
5 |
55 |
919 |
| Assessing the Market Timing Performance of Managed Portfolios |
0 |
0 |
0 |
530 |
0 |
1 |
17 |
1,464 |
| Avoiding the Next Crisis |
0 |
0 |
0 |
85 |
1 |
2 |
11 |
199 |
| CAPM for estimating the cost of equity capital: Interpreting the empirical evidence |
0 |
0 |
6 |
84 |
4 |
12 |
48 |
393 |
| Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns |
0 |
0 |
0 |
7 |
0 |
0 |
12 |
71 |
| Call options and the risk of underlying securities |
0 |
0 |
3 |
153 |
0 |
1 |
9 |
627 |
| Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease! |
0 |
0 |
0 |
166 |
1 |
1 |
14 |
852 |
| Correcting for Heteroscedasticity in Tests for Market Timing Ability |
0 |
0 |
0 |
69 |
0 |
0 |
9 |
307 |
| Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
1 |
9 |
0 |
1 |
7 |
75 |
| Cross-Sectional Asset Pricing Tests |
0 |
0 |
1 |
120 |
0 |
3 |
25 |
360 |
| Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
0 |
14 |
1 |
2 |
2 |
118 |
| Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation |
0 |
0 |
0 |
64 |
0 |
0 |
16 |
444 |
| Do We Need CAPM for Capital Budgeting? |
0 |
0 |
0 |
0 |
0 |
1 |
12 |
751 |
| Does product market competition reduce agency costs? |
0 |
0 |
0 |
73 |
0 |
2 |
10 |
338 |
| Effects of Insider Trading Disclosures on Speculative Activity and Future Prices |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
147 |
| Empirical Evaluation of Asset‐Pricing Models: A Comparison of the SDF and Beta Methods |
0 |
0 |
0 |
145 |
0 |
3 |
12 |
491 |
| Erratum to "A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem" |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
22 |
| Ex-day behavior of japanese stock prices: New insights from new methodology |
0 |
0 |
0 |
24 |
1 |
3 |
16 |
207 |
| Ex-dividend Price Behavior of Common Stocks |
0 |
0 |
1 |
199 |
0 |
2 |
22 |
1,150 |
| Generalized Method of Moments: Applications in Finance |
0 |
0 |
0 |
0 |
0 |
1 |
13 |
1,257 |
| Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
0 |
0 |
0 |
31 |
1 |
3 |
8 |
136 |
| Implications of Security Market Data for Models of Dynamic Economies |
2 |
6 |
24 |
1,601 |
7 |
28 |
117 |
4,232 |
| Jackknife Estimator for Tracking Error Variance of Optimal Portfolios |
0 |
0 |
2 |
13 |
0 |
0 |
18 |
88 |
| Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns |
0 |
0 |
1 |
163 |
0 |
0 |
13 |
515 |
| Note---Response |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
30 |
| On Frequent Batch Auctions for Stocks* |
0 |
0 |
0 |
4 |
1 |
1 |
15 |
21 |
| On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks |
1 |
6 |
30 |
847 |
14 |
51 |
237 |
3,285 |
| Price Stability and Futures Trading in Commodities |
0 |
0 |
0 |
86 |
0 |
0 |
7 |
345 |
| Price-Dividend Ratio Factor Proxies for Long-Run Risks |
0 |
0 |
0 |
3 |
0 |
2 |
5 |
32 |
| Recovery from fast crashes: Role of mutual funds |
0 |
0 |
1 |
1 |
0 |
0 |
9 |
17 |
| Reforming the Bookbuilding Process for IPOs |
0 |
0 |
1 |
77 |
0 |
9 |
27 |
242 |
| Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market |
0 |
0 |
0 |
77 |
1 |
2 |
10 |
419 |
| Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
1 |
4 |
18 |
75 |
6 |
19 |
102 |
284 |
| Share auctions of initial public offerings: Global evidence |
0 |
0 |
1 |
38 |
1 |
10 |
31 |
167 |
| The CAPM debate |
0 |
0 |
2 |
1,020 |
0 |
8 |
29 |
2,687 |
| The Conditional CAPM and the Cross-Section of Expected Returns |
0 |
0 |
4 |
629 |
0 |
6 |
47 |
1,807 |
| The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks |
0 |
1 |
9 |
456 |
0 |
4 |
38 |
1,544 |
| The declining U.S. equity premium |
0 |
0 |
0 |
110 |
0 |
2 |
16 |
506 |
| The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare? |
0 |
0 |
0 |
121 |
0 |
0 |
15 |
411 |
| Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models |
0 |
0 |
0 |
8 |
0 |
2 |
7 |
58 |
| Why do firms use high discount rates? |
2 |
5 |
27 |
313 |
4 |
13 |
60 |
788 |
| Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes |
0 |
0 |
3 |
205 |
0 |
4 |
27 |
754 |
| Why should older people invest less in stock than younger people? |
0 |
0 |
5 |
375 |
4 |
6 |
42 |
1,624 |
| Total Journal Articles |
7 |
24 |
149 |
9,244 |
52 |
223 |
1,285 |
32,845 |
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