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Chicago Booth Fama-Miller: Asset Pricing (Topic)
26,704 Total downloads

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Showing Papers 1 - 36 of 36
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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
54 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
106 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
Centro di Ricerca sull'Economia delle Istituzioni (CREI) (Research Center on Economics of Institutions) , Harvard University - Department of Economics and University of Chicago - Booth School of Business
Date Posted: August 21, 2012
Working Paper Series
117 downloads

Incl. Electronic Paper Confounded Factors
Chicago Booth Research Paper No. 12-18, Fama-Miller Working Paper
 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: March 28, 2013
Working Paper Series
554 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 Erasmus University - Rotterdam School of Management
Date Posted: May 31, 2012
Last Revised: November 20, 2012
Working Paper Series
1067 downloads

Incl. Electronic Paper Political Uncertainty and Risk Premia
Chicago Booth Research Paper No. 11-39, Fama-Miller Working Paper
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: July 07, 2012
Working Paper Series
164 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
Stanford University - Graduate School of Business , APG Asset Management , University of Chicago - Booth School of Business and VU University Amsterdam, PGO-IM
Date Posted: September 08, 2011
Last Revised: March 15, 2012
Working Paper Series
248 downloads

Incl. Electronic Paper Tail Risk and Asset Prices
Chicago Booth Research Paper No. 11-17, Fama-Miller Working Paper
 Bryan T. Kelly
University of Chicago - Booth School of Business
Date Posted: May 02, 2011
Last Revised: November 29, 2012
Working Paper Series
1756 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 Federal Reserve Board
Date Posted: February 02, 2011
Last Revised: September 11, 2012
Working Paper Series
1092 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
417 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 - Booth School of Business (Finance Authors) and Dartmouth College - Tuck School of Business
Date Posted: December 05, 2010
Last Revised: June 23, 2011
Working Paper Series
5419 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
188 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
1179 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
388 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
Stanford University - Graduate School of Business , University of Pennsylvania - Department of Economics , University of Chicago - Booth School of Business and Duke University - Department of Economics
Date Posted: March 15, 2010
Last Revised: March 09, 2011
Working Paper Series
589 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 , University of Hong Kong - Department of Real Estate and Construction , 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
58 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
525 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
123 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
346 downloads

Incl. Electronic Paper What Ties Return Volatilities to Price Valuations and Fundamentals?
Chicago Booth Research Working Paper No. 10-05, CRSP Working Paper
 Alexander David and Pietro Veronesi
University of Calgary - Haskayne School of Business and University of Chicago - Booth School of Business
Date Posted: November 25, 2009
Last Revised: December 25, 2012
Working Paper Series
451 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 Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: November 18, 2009
Last Revised: September 06, 2012
Working Paper Series
603 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
University of Chicago - Booth School of Business
Date Posted: March 23, 2009
Last Revised: October 17, 2012
Working Paper Series
1628 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
633 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
University of Chicago - Booth School of Business , UCLA - Anderson School of Management and New York University Stern School of Business, Department of Finance
Date Posted: February 11, 2009
Last Revised: August 30, 2012
Working Paper Series
2279 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
280 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
1009 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
123 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
940 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
296 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: June 21, 2011
Working Paper Series
394 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
342 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
312 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
2437 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
587 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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