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SSRN eLibrary Search Results
Chicago Booth Fama-Miller: Capital Markets (Topic)
54,529 Total downloads

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Showing Papers 1 - 42 of 42
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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
662 downloads

Incl. Electronic Paper Resolution of Policy Uncertainty and Sudden Declines in Volatility
Chicago Booth Research Paper No. 13-78, Fama-Miller Working Paper
Dante Amengual and Dacheng Xiu
Centre for Monetary and Financial Studies (CEMFI) and University of Chicago - Booth School of Business
Date Posted: November 02, 2013
Last Revised: August 06, 2014
Working Paper Series
102 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: August 01, 2014
Working Paper Series
1381 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
77 downloads

Incl. Electronic Paper Performance Evaluation of Chinese Actively Managed Stock Mutual Funds
Chicago Booth Research Paper No. 13-55, Fama-Miller Working Paper
Yeguang Chi
Booth School of Business, University of Chicago
Date Posted: May 23, 2013
Last Revised: August 08, 2013
Working Paper Series
268 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
111 downloads

Incl. Electronic Paper The Role of the Media in Disseminating Insider Trading News
Chicago Booth Research Paper No. 13-34, Fama-Miller Working Paper
Jonathan L. Rogers , Douglas J. Skinner and Sarah L. C. Zechman
University of Chicago - Booth School of Business , The University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: March 19, 2013
Working Paper Series
313 downloads

Incl. Electronic Paper Firm Volatility in Granular Networks
Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-56
Bryan T. Kelly , 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: December 07, 2012
Last Revised: October 15, 2013
Working Paper Series
692 downloads

Incl. Electronic Paper Hard Times
Chicago Booth Research Paper No. 12-46, Fama-Miller Working Paper
John Y. Campbell , Stefano Giglio and Christopher Polk
Harvard University - Department of Economics , University of Chicago - Booth School of Business and London School of Economics
Date Posted: September 13, 2012
Working Paper Series
142 downloads

Incl. Electronic Paper Endogenous Liquidity and Defaultable Bonds
Chicago Booth Research Paper No. 12-32, Fama-Miller Working Paper
Zhiguo He and Konstantin Milbradt
University of Chicago - Booth School of Business, and NBER and Kellogg School of Management - Department of Finance
Date Posted: August 21, 2012
Last Revised: April 10, 2013
Working Paper Series
122 downloads

Incl. Electronic Paper Does the Fed Control Interest Rates?
The Review of Asset Pricing Studies, Forthcoming, Chicago Booth Research Paper No. 12-23, Fama-Miller Working Paper
Eugene F. Fama
University of Chicago - Finance
Date Posted: August 05, 2012
Last Revised: July 02, 2013
Accepted Paper Series
2211 downloads

Incl. Electronic Paper The Cost of Financial Frictions for Life Insurers
Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-30
Ralph S. J. Koijen and Motohiro Yogo
London Business School - Department of Finance and Federal Reserve Bank of Minneapolis
Date Posted: March 31, 2012
Last Revised: May 29, 2014
Working Paper Series
747 downloads

Incl. Electronic Paper A Tale of Two Option Markets: Pricing Kernels and Volatility Risk
Fama-Miller Working Paper, Forthcoming, Chicago Booth Research Paper No. 12-10
Zhaogang Song and Dacheng Xiu
Federal Reserve Board and University of Chicago - Booth School of Business
Date Posted: March 01, 2012
Last Revised: February 10, 2014
Working Paper Series
395 downloads

Incl. Electronic Paper Private Equity Performance: What Do We Know?
Journal of Finance, Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-44, Darden Business School Working Paper No. 1932316
Robert S. Harris , Tim Jenkinson and Steven N. Kaplan
University of Virginia (UVA) - Darden School of Business , University of Oxford - Said Business School and University of Chicago - Booth School of Business
Date Posted: September 23, 2011
Last Revised: July 30, 2013
Accepted Paper Series
5652 downloads

Incl. Electronic Paper The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors
Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-19
Bryan T. Kelly and Seth Pruitt
University of Chicago - Booth School of Business and Arizona State University (ASU) - Finance Department
Date Posted: June 22, 2011
Last Revised: July 22, 2014
Working Paper Series
1231 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
1417 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
1486 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 Reverse Survivorship Bias
Journal of Finance, Forthcoming, Western Finance Association 2010 Conference, CRSP Working Paper, Chicago Booth Research Paper No. 10-17
Juhani T. Linnainmaa
University of Chicago - Booth School of Business
Date Posted: April 12, 2010
Last Revised: November 17, 2011
Accepted Paper Series
411 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
692 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
144 downloads

Incl. Electronic Paper A New Capital Regulation for Large Financial Institutions
Chicago Booth Research Paper No. 09-36
Oliver Hart and Luigi Zingales
Harvard University - Department of Economics and University of Chicago - Booth School of Business
Date Posted: October 02, 2009
Working Paper Series
369 downloads

Incl. Electronic Paper IQ and Stock Market Participation
AEA 2010 Atlanta Meetings Paper, CRSP Working Paper, Western Finance Association 2010 Meetings Paper, Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 09-27
Mark Grinblatt , Matti Keloharju and Juhani T. Linnainmaa
University of California, Los Angeles (UCLA) - Finance Area , Aalto University - School of Business and University of Chicago - Booth School of Business
Date Posted: August 02, 2009
Last Revised: January 23, 2011
Accepted Paper Series
2664 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
1839 downloads

Incl. Electronic Paper Luck Versus Skill in the Cross Section of Mutual Fund Returns
Tuck School of Business Working Paper No. 2009-56 , Chicago Booth School of Business Research Paper, Journal of Finance, Forthcoming
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Date Posted: March 10, 2009
Last Revised: February 08, 2010
Accepted Paper Series
16785 downloads

Incl. Electronic Paper Dynamic Equicorrelation
NYU Working Paper No. FIN-08-038, Chicago Booth Research Paper No. 12-07, Fama-Miller Working Paper
Robert F. Engle and Bryan T. Kelly
New York University - Leonard N. Stern School of Business - Department of Economics and University of Chicago - Booth School of Business
Date Posted: March 09, 2009
Last Revised: November 15, 2013
Working Paper Series
947 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
701 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
2539 downloads

Incl. Electronic Paper Learning in Financial Markets
Learning in Financial Markets, Forthcoming, Chicago Booth School of Business Research Paper No. 08-28
Lubos Pastor and Pietro Veronesi
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: January 08, 2009
Accepted Paper Series
3278 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 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
340 downloads

Incl. Electronic Paper Diversification and Persistence in Hedge Funds
Craig W. French , Damian B. Ko and David Abuaf
WBI Investments , Corbin Capital Partners, L.P. and University of Chicago - Booth School of Business
Date Posted: November 21, 2005
Working Paper Series
793 downloads

Incl. Electronic Paper Comparisons of Alternative Quasi-Monte Carlo Sequences for American Option Pricing

Jennifer X.F. Jiang and John R. Birge
Northwestern University - Department of Industrial Engineering and Management Sciences and University of Chicago - Booth School of Business
Date Posted: December 29, 2004
Working Paper Series
496 downloads

Incl. Electronic Paper Inflation and Earnings Uncertainty and Volatility Forecasts: A Structural Form Approach
Chicago GSB Research Paper, University of Calgary Haskyane School of Business Working Paper
Alexander David and Pietro Veronesi
University of Calgary - Haskayne School of Business and University of Chicago - Booth School of Business
Date Posted: February 27, 2004
Last Revised: March 20, 2009
Working Paper Series
721 downloads

Incl. Electronic Paper An Evaluation of the Reliability of Accounting Based Measures of Expected Returns: A Measurement Error Perspective
University of Notre Dame and INSEAD Working Paper
Peter D. Easton and Steven J. Monahan
University of Notre Dame - Department of Accountancy and INSEAD
Date Posted: September 15, 2003
Working Paper Series
1217 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

Incl. Electronic Paper Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails
Boston College Finance Dept. Working Paper
Eric Jacquier , Peter E. Rossi and Nick Polson
Boston University School of Management , University of California, Los Angeles (UCLA) - Anderson School of Management and University of Chicago - Booth School of Business
Date Posted: July 16, 2001
Working Paper Series
891 downloads

Incl. Electronic Paper Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
CRSP Working Paper No. 495
George M. Constantinides and Thaleia Zariphopoulou
University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business
Date Posted: April 26, 2000
Working Paper Series
313 downloads

Incl. Electronic Paper An Analysis of Risk and Pricing Anomalies
CRSP Working Paper No. 500
Tobias J. Moskowitz
University of Chicago - Booth School of Business
Date Posted: March 15, 2000
Working Paper Series
1007 downloads

Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences
Finance and Stochastics, Vol. 3 Iss. 3, May 1999
George M. Constantinides and Thaleia Zariphopoulou
University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business
Date Posted: August 17, 1999
Accepted Paper Series

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


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