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Jacobsen, Ben's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
31,124 |
Total
Citations
137 |
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1.
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The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle
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Jacobsen, Ben
New Zealand Institute of Advanced Study Bouman, Sven
Saemor Capital
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Posted:
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15 Apr 98
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Last Revised:
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31 Oct 09
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8,100
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40
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Jacobsen, Ben
New Zealand Institute of Advanced Study Bouman, Sven
Saemor Capital
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28 Mar 02
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Last Revised:
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30 Oct 09
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0
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Stock returns, Sell in May, Return predictability, Halloween indicator
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Jacobsen, Ben
New Zealand Institute of Advanced Study Bouman, Sven
Saemor Capital
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15 Apr 98
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Last Revised:
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31 Oct 09
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8,100
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Stock returns, Sell in May, Return predictability, Halloween indicator
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2.
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Striking Oil: Another Puzzle
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Driesprong, Gerben
Erasmus University Rotterdam - Rotterdam School of Management Jacobsen, Ben
New Zealand Institute of Advanced Study Maat, Benjamin
APG Asset Management
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Posted:
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14 Aug 05
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Last Revised:
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19 Dec 09
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7,053
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23
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Driesprong, Gerben
Erasmus University Rotterdam - Rotterdam School of Management Jacobsen, Ben
New Zealand Institute of Advanced Study Maat, Benjamin
APG Asset Management
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Return Predictability, Oil Prices, International Stock Markets, Market Efficiency, Stock Returns, Underreaction
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Driesprong, Gerben
Erasmus University Rotterdam - Rotterdam School of Management Jacobsen, Ben
New Zealand Institute of Advanced Study Maat, Benjamin
APG Asset Management
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764
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return predictability, oil prices, international stock markets, market efficiency, stock returns, besliskunde
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Driesprong, Gerben
Erasmus University Rotterdam - Rotterdam School of Management Jacobsen, Ben
New Zealand Institute of Advanced Study Maat, Benjamin
APG Asset Management
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6,289
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23
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Return Predictability, Oil Prices, International Stock Markets, Market Efficiency, Stock Returns, Underreaction
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3.
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Jacobsen, Ben
New Zealand Institute of Advanced Study Marshall, Ben R.
Massey University - Department of Economics and Finance Visaltanachoti, Nuttawat
Massey University - Department of Economics and Finance
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25 Feb 07
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Last Revised:
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19 Nov 09
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2,035
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observation interval, return predictability tests, market efficiency, gradual information diffusion, market timing, quantitative investment techniques, commodity
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4.
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Jacobsen, Ben
New Zealand Institute of Advanced Study Visaltanachoti, Nuttawat
New Zealand Institute of Advanced Study
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10 May 06
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Last Revised:
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18 May 09
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1,937
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Sectors, Industries, Stock Markets, Halloween effect, Sell in May, Sector Rotation
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5.
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Riding Bubbles
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Guenster, Nadja
Maastricht University - Department of Finance Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Jacobsen, Ben
New Zealand Institute of Advanced Study
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Posted:
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17 Mar 08
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Last Revised:
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24 May 12
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1,567
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Guenster, Nadja
Maastricht University - Department of Finance Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Jacobsen, Ben
New Zealand Institute of Advanced Study
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449
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market efficiency, structural breaks, bubbles, asset pricing model, limits to arbitrage
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Guenster, Nadja
Maastricht University - Department of Finance Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Jacobsen, Ben
New Zealand Institute of Advanced Study
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17 Mar 08
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Last Revised:
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18 Mar 10
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1,118
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bubbles, limits to arbitrage, market efficiency, structural breaks
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6.
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Jacobsen, Ben
New Zealand Institute of Advanced Study Zhang, Cherry Yi
Massey University - School of Economics and Finance
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02 Oct 12
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Last Revised:
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09 Oct 12
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1,427
(5,104)
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seasonal anomalies, sell in May, Halloween indicator, long time series data
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7.
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Jacobsen, Ben
New Zealand Institute of Advanced Study Mamun, Abdullah
University of Saskatchewan - Department of Finance and Management Science Visaltanachoti, Nuttawat
University of Saskatchewan - Department of Finance and Management Science
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1,365
(5,521)
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8
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Halloween Effect, Sell in May, January effect, Book to Market, Value, Growth
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8.
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Jacobsen, Ben
New Zealand Institute of Advanced Study
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1,284
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2
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9.
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Zhang, Cherry Yi
Massey University - School of Economics and Finance Jacobsen, Ben
New Zealand Institute of Advanced Study
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26 Oct 10
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Last Revised:
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06 Sep 12
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1,237
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1
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Historical Data, Stock Return Seasonality, January Effect, Seasonal Anomalies, Sell in May, Halloween Indicator, Tax Loss Selling
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10.
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Is it the Weather?
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Versions (3)
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Jacobsen, Ben
New Zealand Institute of Advanced Study Marquering, Wessel
Erasmus University Rotterdam (EUR) - Department of Financial Management
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Posted:
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21 Sep 05
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Last Revised:
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19 Dec 09
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1,109
(7,815)
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19
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Jacobsen, Ben
New Zealand Institute of Advanced Study Marquering, Wessel
Erasmus University Rotterdam (EUR) - Department of Financial Management
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0
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Stock market seasonality, Sell in May, Seasonal affective disorder, Temperature effect, Spurious correlations
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Jacobsen, Ben
New Zealand Institute of Advanced Study Marquering, Wessel
Erasmus University Rotterdam (EUR) - Department of Financial Management
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| Posted: |
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21 Sep 05
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Last Revised:
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19 Dec 09
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390
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stock market seasonality, sell in May, seasonal affective disorder, temperature, spurious correlations
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Jacobsen, Ben
New Zealand Institute of Advanced Study Marquering, Wessel
Erasmus University Rotterdam (EUR) - Department of Financial Management
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30 Sep 08
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Last Revised:
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20 Oct 08
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719
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Stock market seasonality, Sell in May, Seasonal Affective Disorder, temperature, spurious correlations
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11.
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Jacobsen, Ben
New Zealand Institute of Advanced Study
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801
(13,133)
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2
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12.
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Fang, Jiali
Massey University - School of Economics and Finance Jacobsen, Ben
New Zealand Institute of Advanced Study Qin, Yafeng
Massey University
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25 May 12
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Last Revised:
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14 Jun 12
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684
(16,570)
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Technical Analysis, Return Predictability, Out-of-Sample Test
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13.
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Berkman, Henk
University of Auckland - Faculty of Business & Economics Jacobsen, Ben
New Zealand Institute of Advanced Study
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524
(24,023)
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2
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War, Peace, Volatility Puzzle, Stock Returns, International Crises
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14.
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Jacobsen, Ben
New Zealand Institute of Advanced Study Marshall, Ben R.
Massey University - Department of Economics and Finance Visaltanachoti, Nuttawat
Massey University - Department of Economics and Finance
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| Posted: |
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19 Aug 10
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Last Revised:
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31 Jan 13
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394
(34,722)
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industrial metals, state-switching, regime switching, return predictability, gradual information diffusion, business cycle
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15.
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Jacobsen, Ben
New Zealand Institute of Advanced Study Lee, John B.
University of Auckland Marquering, Wessel
Erasmus University Rotterdam (EUR) - Department of Financial Management
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| Posted: |
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16 Nov 07
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Last Revised:
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21 Jan 09
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328
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2
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Optimism, Pessimism, Gender Difference, Consumer Confidence, Economic Indicators, Risk Aversion
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16.
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Berkman, Henk
University of Auckland - Faculty of Business & Economics Jacobsen, Ben
New Zealand Institute of Advanced Study Lee, John B.
University of Auckland
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18 Mar 10
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Last Revised:
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12 Oct 10
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292
(49,781)
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4
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Equity Premium, Volatility, Rare Disasters, International Political Crises, Consumption
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17.
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Gregory-Allen, Russell B.
Massey University - Department of Commerce Jacobsen, Ben
New Zealand Institute of Advanced Study Marquering, Wessel
Erasmus University Rotterdam (EUR) - Department of Financial Management
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| Posted: |
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03 Aug 06
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Last Revised:
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19 Jan 09
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246
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1
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Daylight Saving Time, Mood, International Stock Market Returns
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18.
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Political-Cycles in US Industry Returns
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Versions (2)
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Stangl, Jeffrey Scott
Massey University - School of Economics and Finance Jacobsen, Ben
New Zealand Institute of Advanced Study
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Posted:
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06 Dec 05
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Last Revised:
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12 Sep 09
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229
(65,142)
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1
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Stangl, Jeffrey Scott
Massey University - School of Economics and Finance Jacobsen, Ben
New Zealand Institute of Advanced Study
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0
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Market efficiency, Industry returns, Presidential cycle, Political business cycle
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Stangl, Jeffrey Scott
Massey University - School of Economics and Finance Jacobsen, Ben
New Zealand Institute of Advanced Study
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229
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1
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efficient markets, industry returns, political cycles
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19.
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Jacobsen, Ben
New Zealand Institute of Advanced Study de Roon, Frans
Tilburg University - Department of Finance
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200
(74,860)
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Diversification, Stock Picking, Modern Portfolio Theory, Return Predictability
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20.
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Predictability in the Short and Long Legs of Carry Trades
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Versions (2)
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Lu, Helen
University of Otago Jacobsen, Ben
New Zealand Institute of Advanced Study
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Posted:
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23 Aug 12
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Last Revised:
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22 Nov 12
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128
(112,137)
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Lu, Helen
University of Otago Jacobsen, Ben
New Zealand Institute of Advanced Study
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25 Oct 12
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Last Revised:
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22 Nov 12
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99
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Carry Trade, Return Predictability, Safe-haven Currencies, Volatility, Gradual Information Diffusion, Time-varying Risk Premium
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Lu, Helen
University of Otago Jacobsen, Ben
New Zealand Institute of Advanced Study
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| Posted: |
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23 Aug 12
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Last Revised:
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22 Nov 12
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29
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Carry Trade, Return Predictability, Safe-haven Currencies, Volatility, Gradual Information Diffusion, Time-varying Risk Preimium
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21.
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Jacobsen, Ben
New Zealand Institute of Advanced Study Marquering, Wessel
Erasmus University Rotterdam (EUR) - Department of Financial Management
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| Posted: |
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27 Jan 09
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Last Revised:
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21 Feb 09
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120
(118,217)
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18
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Stock market seasonality, Sell in May, Seasonal affective disorder
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22.
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Lu, Helen
University of Otago Jacobsen, Ben
New Zealand Institute of Advanced Study
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60
(184,042)
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Carry Trade, Return Predictability, Gradual Information Diffusion, Safe-haven
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23.
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Jacobsen, Ben
New Zealand Institute of Advanced Study Visaltanachoti, Nuttawat
New Zealand Institute of Advanced Study
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4
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7
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24.
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Jacobsen, Ben
New Zealand Institute of Advanced Study
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Time series, Stock returns, Long term dependence, Rescaled range statistic, R/S analysis, Hurst exponent
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25.
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Jacobsen, Ben
New Zealand Institute of Advanced Study Dannenburg, Dennis
affiliation not provided to SSRN
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Stock returns, GARCH, Volatility clustering, Temporal aggregation
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26.
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Jacobsen, Ben
New Zealand Institute of Advanced Study Potters, Johannes (Jan) J. M.
Tilburg University - CentER Schram, Arthur J. H. C.
University of Amsterdam - Faculty of Economics and Business (FEB) Van Winden, F. A. A. M.
University of Amsterdam - Amsterdam School of Economics (ASE) Wit, Jörgen
affiliation not provided to SSRN
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Political stock market, Common value, Proportional representation, Market efficiency
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27.
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Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Guenster, Nadja
Maastricht University - Department of Finance Jacobsen, Ben
New Zealand Institute of Advanced Study
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bubbles, crashes, skewness
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28.
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Jacobsen, Ben
New Zealand Institute of Advanced Study
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