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SSRN eLibrary Search Results
Chicago Booth Fama-Miller: Asset Pricing (Topic)
39,431 Total downloads

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Showing Papers 1 - 39 of 39
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Incl. Electronic Paper The Price of Political Uncertainty: Theory and Evidence from the Option Market
Fama-Miller Working Paper
Bryan T. Kelly , Lubos Pastor and Pietro Veronesi
University of Chicago - Booth School of Business , University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: November 19, 2013
Last Revised: July 04, 2014
Working Paper Series
627 downloads

Incl. Electronic Paper Tail Risk and Asset Prices
Chicago Booth Research Paper No. 13-67
Bryan T. Kelly and Hao Jiang
University of Chicago - Booth School of Business and Erasmus University Rotterdam (EUR)
Date Posted: September 05, 2013
Last Revised: January 11, 2014
Working Paper Series
792 downloads

Incl. Electronic Paper Scale and Skill in Active Management
Lubos Pastor , Robert F. Stambaugh and Lucian Taylor
University of Chicago - Booth School of Business , University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Date Posted: September 01, 2013
Last Revised: June 22, 2014
Working Paper Series
1317 downloads

Incl. Electronic Paper Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion
Nicolae Garleanu , Stavros Panageas and Jianfeng Yu
University of California, Berkeley - Haas School of Business , University of Chicago - Booth School of Business and University of Minnesota
Date Posted: August 20, 2013
Working Paper Series
71 downloads

Incl. Electronic Paper A Five-Factor Asset Pricing Model
Fama-Miller Working Paper
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Date Posted: June 30, 2013
Last Revised: May 11, 2014
Working Paper Series
7477 downloads

Incl. Electronic Paper Finance: Function Matters, Not Size
John H. Cochrane
University of Chicago - Booth School of Business
Date Posted: April 03, 2013
Working Paper Series
108 downloads

Incl. Electronic Paper A Mean-Variance Benchmark for Intertemporal Portfolio Theory
Journal of Finance, Forthcoming
John H. Cochrane
University of Chicago - Booth School of Business
Date Posted: January 24, 2013
Accepted Paper Series
163 downloads

Incl. Electronic Paper Money Doctors
Chicago Booth Research Paper No. 12-39, Fama-Miller Working Paper
Nicola Gennaioli , Andrei Shleifer and Robert W. Vishny
Bocconi University - Department of Finance , Harvard University - Department of Economics and University of Chicago - Booth School of Business
Date Posted: August 21, 2012
Working Paper Series
150 downloads

Incl. Electronic Paper Dissecting Factors
Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-18
Joseph Gerakos and Juhani T. Linnainmaa
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: June 13, 2012
Last Revised: January 21, 2014
Working Paper Series
921 downloads

Incl. Electronic Paper Tail Risk and Hedge Fund Returns
Chicago Booth Research Paper No. 12-44, Fama-Miller Working Paper
Bryan T. Kelly and Hao Jiang
University of Chicago - Booth School of Business and University of Texas at Austin
Date Posted: May 31, 2012
Last Revised: November 20, 2012
Working Paper Series
1396 downloads

Incl. Electronic Paper Political Uncertainty and Risk Premia
Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-39
Lubos Pastor and Pietro Veronesi
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: October 06, 2011
Last Revised: March 07, 2014
Working Paper Series
200 downloads

Incl. Electronic Paper Equity Yields
Chicago Booth Research Paper No. 11-33, Fama-Miller Working Paper
Jules H. van Binsbergen , Wouter Hueskes , Ralph S. J. Koijen and Evert B. Vrugt
University of Pennsylvania - The Wharton School , APG Asset Management , London Business School - Department of Finance and VU University Amsterdam, PGO-IM
Date Posted: September 08, 2011
Last Revised: September 15, 2013
Working Paper Series
282 downloads

Incl. Electronic Paper Market Expectations in the Cross Section of Present Values
Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 11-08, Fama-Miller Working Paper , AFA 2013 San Diego Meetings Paper
Bryan T. Kelly and Seth Pruitt
University of Chicago - Booth School of Business and Arizona State University (ASU) - Finance Department
Date Posted: February 02, 2011
Last Revised: September 11, 2012
Working Paper Series
1411 downloads

Incl. Electronic Paper Market Sentiment: A Tragedy of the Commons
Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-07
Tarek A. Hassan and Thomas M. Mertens
University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Date Posted: December 19, 2010
Last Revised: July 29, 2011
Working Paper Series
526 downloads

Incl. Electronic Paper Size, Value, and Momentum in International Stock Returns
Fama-Miller Working Paper, Tuck School of Business Working Paper No. 2011-85, Chicago Booth Research Paper No. 11-10
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Date Posted: December 05, 2010
Last Revised: June 23, 2011
Working Paper Series
7152 downloads

Incl. Electronic Paper The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth
CRSP Working Paper Forthcoming, Chicago Booth Research Paper No. 10-26
Anisha Ghosh and George M. Constantinides
Carnegie Mellon University and University of Chicago - Booth School of Business
Date Posted: July 06, 2010
Last Revised: September 06, 2012
Accepted Paper Series
201 downloads

Incl. Electronic Paper Uncertainty about Government Policy and Stock Prices
Chicago Booth Research Paper No. 10-25, Fama-Miller Working Paper Series
Lubos Pastor and Pietro Veronesi
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: June 16, 2010
Last Revised: September 06, 2012
Accepted Paper Series
1473 downloads

Incl. Electronic Paper Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic
Chicago Booth Research Paper No. 10-28, CRSP Working Paper Forthcoming
John H. Cochrane
University of Chicago - Booth School of Business
Date Posted: June 02, 2010
Last Revised: September 06, 2012
Working Paper Series
431 downloads

Incl. Electronic Paper The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
PIER Working Paper No. 10-011
Jules H. van Binsbergen , Jesús Fernández-Villaverde , Ralph S. J. Koijen and Juan Francisco Rubio-Ramirez
University of Pennsylvania - The Wharton School , University of Pennsylvania - Department of Economics , London Business School - Department of Finance and Duke University - Department of Economics
Date Posted: March 15, 2010
Last Revised: September 15, 2013
Working Paper Series
689 downloads

Incl. Electronic Paper Do Unexpected Land Auction Outcomes Bring New Information to the Real Estate Market?
Journal of Real Estate Finance and Economics, Vol. 40, No. 4, 2010
K.W. Chau , Siu Kei Wong , Chung Yim Edward Yiu , K. S. Maurice Tse and Frederik Pretorius
The University of Hong Kong , University of Hong Kong , Chinese University of Hong Kong - Department of Geography and Resource Management , University of Hong Kong - School of Economics and Finance and University of Hong Kong - Department of Real Estate and Construction
Date Posted: February 26, 2010
Last Revised: December 26, 2012
Accepted Paper Series
69 downloads

Incl. Electronic Paper Wealth Creation: Powerpoint Presentation of the Firms' Competitive Life-Cycle Framework
Bartley J. Madden
Independent
Date Posted: February 23, 2010
Last Revised: March 14, 2010
Working Paper Series
615 downloads

Incl. Electronic Paper On the Efficient Market Equilibrium and the Pricing of Equities: A Fundamental Approach to Real Time Pricing
Y. I. T. Mtulia
Howard University - School of Business
Date Posted: January 29, 2010
Last Revised: April 21, 2010
Working Paper Series
142 downloads

Incl. Electronic Paper Lack of Anonymity and the Inference from Order Flow
CRSP Working Paper, Johnson School Research Paper Series No. 02-2010, Chicago Booth Research Paper No. 10-03, EFA 2011 Stockholm Meetings Paper
Juhani T. Linnainmaa and Gideon Saar
University of Chicago - Booth School of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: January 28, 2010
Last Revised: October 17, 2011
Working Paper Series
363 downloads

Incl. Electronic Paper Where Does the Information in Mark-to-Market Come From?
Chicago Booth Research Paper #10-06
Alexander Bleck and Pingyang Gao
University of British Columbia - Sauder School of Business and University of Chicago - Booth School of Business
Date Posted: November 18, 2009
Last Revised: September 06, 2012
Working Paper Series
649 downloads

Incl. Electronic Paper The Cross-section of Managerial Ability, Incentives, and Risk Preferences
EFA 2008 Athens Meetings Paper, AFA 2009 San Francisco Meetings Paper
Ralph S. J. Koijen
London Business School - Department of Finance
Date Posted: March 23, 2009
Last Revised: October 17, 2012
Working Paper Series
1831 downloads

Incl. Electronic Paper Portfolio Selection and Asset Pricing Models
Journal of Finance, forthcoming.
Lubos Pastor
University of Chicago - Booth School of Business
Date Posted: February 13, 2009
Working Paper Series
699 downloads

Incl. Electronic Paper The Cross-Section and Time-Series of Stock and Bond Returns
EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper
Ralph S. J. Koijen , Hanno N. Lustig and Stijn Van Nieuwerburgh
London Business School - Department of Finance , UCLA - Anderson School of Management and New York University Stern School of Business, Department of Finance
Date Posted: February 11, 2009
Last Revised: September 25, 2013
Working Paper Series
2524 downloads

Incl. Electronic Paper Analyzing the Time-Varying Stock Market Risk-Return Relation
C. N. V. Krishnan and Ralitsa Petkova
Case Western Reserve University - Department of Banking & Finance and Purdue University - Krannert School of Management
Date Posted: January 02, 2009
Last Revised: June 21, 2011
Working Paper Series
301 downloads

Incl. Electronic Paper Country Size, Currency Unions, and International Asset Returns
Journal of Finance, Forthcoming, AFA 2011 Denver Meetings Paper
Tarek A. Hassan
University of Chicago - Booth School of Business
Date Posted: November 26, 2008
Last Revised: January 11, 2013
Accepted Paper Series
1158 downloads

Incl. Electronic Paper Are Options on Index Futures Profitable for Risk Averse Investors‘ Empirical Evidence
George M. Constantinides , Michal Czerwonko , Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business , McGill University , University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Date Posted: October 14, 2008
Last Revised: July 26, 2010
Working Paper Series
137 downloads

Incl. Electronic Paper Using Economic Theory to Build Optimal Portfolios
Thomas Chevrier and Robert E. McCulloch
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: April 30, 2008
Working Paper Series
1010 downloads

Incl. Electronic Paper The Social Cost of Near-Rational Investment
AFA 2012 Chicago Meetings Paper
Tarek A. Hassan and Thomas M. Mertens
University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Date Posted: March 18, 2008
Last Revised: May 19, 2014
Working Paper Series
409 downloads

Incl. Electronic Paper Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-23
George M. Constantinides , Michal Czerwonko , Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business , McGill University , University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Date Posted: March 18, 2008
Last Revised: July 27, 2011
Working Paper Series
308 downloads

Incl. Electronic Paper Asset Pricing Tests with Long Run Risks in Consumption Growth
Fama-Miller Working Paper , Chicago Booth Working Paper 11-25
George M. Constantinides and Anisha Ghosh
University of Chicago - Booth School of Business and Carnegie Mellon University
Date Posted: March 16, 2008
Last Revised: July 27, 2011
Working Paper Series
352 downloads

Incl. Electronic Paper Understanding Trust
CRSP Working Paper No. 621
Paola Sapienza , Anna Toldra and Luigi Zingales
Northwestern University - Kellogg School of Management - Department of Finance , Universidad Carlos III de Madrid and University of Chicago - Booth School of Business
Date Posted: September 04, 2007
Working Paper Series
339 downloads

Incl. Electronic Paper Predictive Systems: Living with Imperfect Predictors
CRSP Working Paper No. 617, EFA 2007 Ljubljana Meetings Paper
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Date Posted: February 19, 2007
Last Revised: December 13, 2011
Working Paper Series
2534 downloads

Incl. Electronic Paper A Fundamentally Different Interpretation of the Relation Between Implied and Realized Volatility
Federico M. Bandi and Benoit Perron
University of Chicago - Booth School of Business and University of Montreal - Department of Economics
Date Posted: March 02, 2002
Working Paper Series
604 downloads

Asset Pricing with Heterogeneous Consumers
J. OF POLITICAL ECONOMY, Vol. 104 No. 2, April 1996
George M. Constantinides and Darrell Duffie
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
Date Posted: June 28, 1998
Accepted Paper Series

A Cross-Sectional Test of an Investment-Based Asset Pricing Model
J. OF POLITICAL ECONOMY, Vol. 104 No. 3, June 1996
John H. Cochrane
University of Chicago - Booth School of Business
Date Posted: September 25, 1996
Accepted Paper Series


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