| 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 |
1 |
5 |
858 |
| A Return Based Measure of Firm Quality |
2 |
4 |
32 |
32 |
4 |
12 |
65 |
65 |
| A contingent claim approach to performance evaluation |
0 |
0 |
3 |
704 |
0 |
0 |
4 |
1,950 |
| An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices |
0 |
1 |
6 |
1,108 |
0 |
1 |
10 |
3,776 |
| Assessing Specification Errors in Stochastic Discount Factor Models |
0 |
0 |
0 |
433 |
0 |
0 |
8 |
1,814 |
| Assessing specification errors in stochastic discount factor models |
0 |
0 |
0 |
215 |
0 |
2 |
12 |
830 |
| Banking Panics |
0 |
0 |
0 |
85 |
0 |
2 |
16 |
357 |
| Building Castles in the Air: Evidence from Industry IPO Waves |
0 |
0 |
0 |
24 |
0 |
0 |
11 |
112 |
| CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence |
0 |
0 |
1 |
405 |
1 |
2 |
13 |
1,971 |
| Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease! |
0 |
0 |
1 |
251 |
0 |
0 |
3 |
565 |
| Consumption Risk and the Cost of Equity Capital |
0 |
0 |
0 |
258 |
0 |
0 |
3 |
908 |
| Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
0 |
51 |
0 |
1 |
7 |
73 |
| Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation |
2 |
3 |
3 |
149 |
4 |
6 |
14 |
566 |
| Do We Need CAPM for Capital Budgeting? |
0 |
0 |
0 |
759 |
1 |
2 |
9 |
2,181 |
| Does Product Market Competition Reduce Agency Costs? |
0 |
0 |
0 |
223 |
0 |
1 |
8 |
1,036 |
| Econometric evaluation of asset pricing models |
1 |
1 |
3 |
687 |
5 |
9 |
22 |
1,591 |
| Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods |
0 |
0 |
0 |
550 |
1 |
2 |
11 |
1,502 |
| Environmental, Social, and Governance Criteria: Why Investors are Paying Attention |
3 |
13 |
27 |
59 |
19 |
46 |
118 |
232 |
| Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology |
0 |
0 |
0 |
37 |
0 |
1 |
3 |
301 |
| Ex-day behavior of Japanese stock prices: new insights from new methodology |
0 |
0 |
0 |
63 |
0 |
0 |
0 |
970 |
| Ex-dividend price behavior of common stocks |
0 |
0 |
1 |
543 |
1 |
5 |
13 |
2,926 |
| Ex-dividend price behavior of common stocks |
1 |
1 |
2 |
299 |
1 |
3 |
7 |
1,388 |
| Growth Expectations, Dividend Yields, and Future Stock Returns |
1 |
1 |
3 |
55 |
2 |
4 |
31 |
139 |
| Implications of Security Market Data for Models of Dynamic Economies |
0 |
0 |
0 |
161 |
0 |
2 |
18 |
790 |
| Implications of security market data for models of dynamic economies |
0 |
1 |
4 |
197 |
1 |
6 |
30 |
939 |
| Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
0 |
0 |
0 |
47 |
0 |
2 |
5 |
290 |
| Life Cycle Cash Flows of Ventures |
1 |
2 |
4 |
4 |
1 |
4 |
17 |
17 |
| Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets |
1 |
1 |
2 |
64 |
1 |
2 |
11 |
348 |
| Momentum Trading, Return Chasing and Predictable Crashes |
0 |
0 |
1 |
23 |
0 |
3 |
11 |
124 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
0 |
0 |
19 |
3 |
6 |
18 |
126 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
0 |
0 |
9 |
0 |
0 |
12 |
64 |
| On Frequent Batch Auctions for Stocks |
0 |
0 |
4 |
19 |
0 |
3 |
17 |
55 |
| On the relation between the expected value and the volatility of the nominal excess return on stocks |
2 |
4 |
17 |
2,967 |
22 |
49 |
162 |
9,197 |
| Price Dividend Ratio Factors: Proxies for Long Run Risk |
0 |
0 |
0 |
40 |
0 |
0 |
3 |
151 |
| Price Momentum In Stocks: Insights From Victorian Age Data |
1 |
3 |
5 |
133 |
2 |
5 |
28 |
586 |
| Recovery from fast crashes: Role of mutual funds |
0 |
0 |
3 |
27 |
2 |
3 |
8 |
42 |
| Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market |
0 |
0 |
0 |
185 |
0 |
1 |
8 |
1,401 |
| Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
1 |
1 |
9 |
638 |
2 |
7 |
35 |
1,663 |
| Seasonalities in security returns: the case of earnings announcements |
1 |
1 |
5 |
314 |
2 |
4 |
17 |
863 |
| Stock Price Crashes: Role of Slow-Moving Capital |
2 |
2 |
2 |
22 |
2 |
3 |
19 |
63 |
| THE CAPM IS ALIVE AND WELL |
0 |
0 |
2 |
4,218 |
2 |
5 |
14 |
13,557 |
| Tail Risk in Momentum Strategy Returns |
1 |
5 |
13 |
70 |
5 |
16 |
48 |
302 |
| The CAPM is alive and well |
15 |
39 |
75 |
959 |
58 |
134 |
306 |
1,998 |
| The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data |
0 |
0 |
0 |
24 |
0 |
2 |
10 |
118 |
| The Declining U.S. Equity Premium |
0 |
0 |
0 |
317 |
1 |
2 |
9 |
880 |
| The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks |
0 |
0 |
13 |
1,423 |
4 |
18 |
69 |
8,328 |
| The conditional CAPM and the cross-section of expected returns |
4 |
8 |
23 |
3,296 |
17 |
38 |
92 |
8,810 |
| Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis |
2 |
4 |
4 |
985 |
2 |
8 |
14 |
2,156 |
| Valuing the Reload Features of Executive Stock Options |
0 |
0 |
0 |
316 |
0 |
1 |
8 |
2,033 |
| When Does a Mutual Fund's Trade Reveal its Skill? |
0 |
0 |
0 |
104 |
1 |
4 |
12 |
496 |
| Why Do IPO Auctions Fail? |
0 |
1 |
1 |
500 |
4 |
19 |
38 |
1,586 |
| Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms |
1 |
1 |
3 |
44 |
2 |
3 |
13 |
160 |
| Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes |
0 |
1 |
4 |
637 |
5 |
21 |
49 |
3,738 |
| Total Working Papers |
42 |
98 |
276 |
24,993 |
179 |
471 |
1,494 |
86,992 |
| 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 |
5 |
17 |
58 |
0 |
14 |
65 |
177 |
| A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
44 |
| A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” |
0 |
0 |
1 |
8 |
1 |
5 |
17 |
58 |
| 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 |
6 |
308 |
0 |
3 |
13 |
724 |
| A direct test for the mean variance efficiency of a portfolio |
0 |
3 |
5 |
148 |
0 |
6 |
11 |
307 |
| An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
23 |
| An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model |
0 |
0 |
0 |
107 |
0 |
4 |
4 |
274 |
| An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices |
0 |
0 |
0 |
202 |
0 |
2 |
14 |
752 |
| Assessing Specification Errors in Stochastic Discount Factor Models |
0 |
0 |
1 |
298 |
3 |
7 |
17 |
817 |
| Assessing the Market Timing Performance of Managed Portfolios |
1 |
1 |
3 |
512 |
1 |
3 |
22 |
1,399 |
| Avoiding the Next Crisis |
0 |
0 |
0 |
85 |
2 |
2 |
9 |
185 |
| CAPM for estimating the cost of equity capital: Interpreting the empirical evidence |
1 |
5 |
15 |
53 |
2 |
17 |
50 |
241 |
| Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns |
0 |
0 |
0 |
7 |
0 |
0 |
3 |
50 |
| Call options and the risk of underlying securities |
0 |
0 |
0 |
142 |
0 |
1 |
3 |
605 |
| Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease! |
2 |
5 |
20 |
132 |
8 |
21 |
64 |
725 |
| Correcting for Heteroscedasticity in Tests for Market Timing Ability |
0 |
0 |
0 |
68 |
0 |
0 |
3 |
292 |
| Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
1 |
6 |
0 |
4 |
8 |
54 |
| Cross-Sectional Asset Pricing Tests |
2 |
3 |
8 |
101 |
4 |
8 |
27 |
286 |
| Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
1 |
8 |
0 |
5 |
14 |
95 |
| Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation |
1 |
1 |
2 |
62 |
11 |
23 |
40 |
396 |
| Do We Need CAPM for Capital Budgeting? |
0 |
0 |
0 |
0 |
4 |
5 |
17 |
729 |
| Does product market competition reduce agency costs? |
0 |
0 |
0 |
66 |
1 |
3 |
14 |
296 |
| Effects of Insider Trading Disclosures on Speculative Activity and Future Prices |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
143 |
| Erratum to "A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem" |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
15 |
| Ex-day behavior of japanese stock prices: New insights from new methodology |
0 |
0 |
0 |
21 |
0 |
0 |
4 |
187 |
| Ex-dividend Price Behavior of Common Stocks |
1 |
1 |
1 |
195 |
2 |
3 |
7 |
1,116 |
| Generalized Method of Moments: Applications in Finance |
0 |
0 |
0 |
0 |
1 |
5 |
13 |
1,222 |
| Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
0 |
0 |
3 |
22 |
0 |
0 |
8 |
95 |
| Implications of Security Market Data for Models of Dynamic Economies |
1 |
3 |
17 |
1,451 |
8 |
15 |
64 |
3,803 |
| Jackknife Estimator for Tracking Error Variance of Optimal Portfolios |
0 |
1 |
1 |
10 |
1 |
4 |
5 |
67 |
| Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns |
0 |
2 |
4 |
151 |
2 |
7 |
20 |
459 |
| Note---Response |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
23 |
| On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks |
1 |
6 |
27 |
724 |
19 |
49 |
201 |
2,567 |
| Price Stability and Futures Trading in Commodities |
0 |
0 |
0 |
83 |
0 |
0 |
2 |
328 |
| Price-Dividend Ratio Factor Proxies for Long-Run Risks |
0 |
0 |
0 |
2 |
0 |
1 |
4 |
21 |
| Reforming the Bookbuilding Process for IPOs |
0 |
0 |
0 |
73 |
0 |
1 |
4 |
204 |
| Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market |
0 |
0 |
0 |
75 |
1 |
2 |
3 |
395 |
| Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
0 |
0 |
14 |
16 |
2 |
7 |
38 |
45 |
| Share auctions of initial public offerings: Global evidence |
0 |
0 |
2 |
24 |
0 |
2 |
12 |
97 |
| The CAPM debate |
2 |
8 |
15 |
964 |
5 |
20 |
63 |
2,500 |
| The Conditional CAPM and the Cross-Section of Expected Returns |
3 |
9 |
26 |
603 |
7 |
27 |
78 |
1,660 |
| The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks |
1 |
7 |
23 |
390 |
2 |
18 |
67 |
1,328 |
| The declining U.S. equity premium |
0 |
1 |
4 |
104 |
1 |
7 |
27 |
449 |
| The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare? |
0 |
0 |
0 |
117 |
0 |
0 |
5 |
386 |
| Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models |
0 |
0 |
1 |
7 |
0 |
1 |
3 |
44 |
| Why do firms use high discount rates? |
4 |
18 |
36 |
129 |
9 |
37 |
99 |
356 |
| Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes |
1 |
6 |
12 |
181 |
2 |
14 |
28 |
642 |
| Why should older people invest less in stock than younger people? |
3 |
24 |
43 |
320 |
8 |
97 |
166 |
1,442 |
| Total Journal Articles |
24 |
109 |
309 |
8,045 |
107 |
452 |
1,343 |
28,128 |
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