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Chicago Booth: Fama-Miller Working Paper Series

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Viewing: 1 - 50 of 347 papers

1.

Market Efficiency, Long-Term Returns, and Behavioral Finance

Number of pages: 31 Posted: 30 Apr 1997
Working Paper Series
University of Chicago - Finance
Downloads 86,229
2.

The Capital Asset Pricing Model: Theory and Evidence

CRSP Working Paper No. 550; Tuck Business School Working Paper No. 03-26
Number of pages: 35 Posted: 16 Sep 2003
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 38,587
3.

A Five-Factor Asset Pricing Model

Fama-Miller Working Paper
Number of pages: 52 Posted: 30 Jun 2013 Last Revised: 23 Sep 2014
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 37,388
4.

Value Versus Growth: The International Evidence

Number of pages: 30 Posted: 01 May 1997
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 37,262
5.

Separation of Ownership and Control

Michael C. Jensen, FOUNDATIONS OF ORGANIZATIONAL STRATEGY, Harvard University Press, 1998, and Journal of Law and Economics, Vol. 26, June 1983
Number of pages: 32 Posted: 29 Nov 1998
Accepted Paper Series
University of Chicago - Finance and SSRN
Downloads 34,254
6.

Taxes, Financing Decisions, and Firm Value

Center for Research in Security Prices (CRSP) Working Paper No.
Number of pages: 34 Posted: 01 Feb 1997
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth

Multiple version iconThere are 2 versions of this paper

Downloads 25,961
7.

Fact, Fiction and Momentum Investing

Journal of Portfolio Management, Fall 2014 (40th Anniversary Issue), Fama-Miller Working Paper
Number of pages: 26 Posted: 12 May 2014 Last Revised: 03 Oct 2014
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 22,554
8.

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
Number of pages: 43 Posted: 10 Mar 2009 Last Revised: 08 Feb 2010
Accepted Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 21,053
9.

The Equity Premium

EFMA 2001 Lugano Meetings; CRSP Working Paper No. 522
Number of pages: 29 Posted: 20 Jul 2000
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth

Multiple version iconThere are 2 versions of this paper

Downloads 18,500
10.

Investor Protection and Corporate Governance

Number of pages: 40 Posted: 27 Jul 2000
Working Paper Series
Dartmouth College - Tuck School of Business, SKEMA Business School, Harvard University - Department of Economics and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 14,344
11.

Agency Problems and Residual Claims

Michael C. Jensen, FOUNDATIONS OF ORGANIZATIONAL STRATEGY, Harvard University Press, 1998; Journal of Law & Economics, Vol. 26, June 1983
Number of pages: 30 Posted: 29 Nov 1998
Accepted Paper Series
University of Chicago - Finance and SSRN
Downloads 13,736
12.

Size Matters, If You Control Your Junk

Fama-Miller Working Paper
Number of pages: 59 Posted: 23 Jan 2015 Last Revised: 16 Apr 2015
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 12,385
13.

Disappearing Dividends: Changing Firm Characteristics Or Lower Propensity To Pay?

AFA 2001 New Orleans; CRSP Working Paper No. 509
Number of pages: 53 Posted: 03 Feb 2000
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 10,837
14.

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
Number of pages: 36 Posted: 05 Dec 2010 Last Revised: 23 Jun 2011
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 10,730
15.

Characteristics, Covariances, and Average Returns: 1929-1997

Center for Research in Security Prices (CRSP) Working Paper No. 471
Number of pages: 24 Posted: 12 Aug 1998
Working Paper Series
Dimensional Fund Advisors Inc., University of Chicago - Finance and Tuck School of Business at Dartmouth

Multiple version iconThere are 2 versions of this paper

Downloads 9,564
16.

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
Number of pages: 43 Posted: 23 Sep 2011 Last Revised: 30 Jul 2013
Accepted Paper Series
University of Virginia - Darden School of Business, University of Oxford - Said Business School and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 8,377
17.

How Do Venture Capitalists Make Decisions?

Stanford University Graduate School of Business Research Paper No. 16-33, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 477/2016
Number of pages: 95 Posted: 29 Jun 2016 Last Revised: 10 May 2017
Working Paper Series
Harvard Business School - Finance Unit, University of British Columbia (UBC) - Sauder School of Business, University of Chicago - Booth School of Business and Stanford University - Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 8,065
18.

Dissecting Anomalies

CRSP Working Paper No. 610
Number of pages: 37 Posted: 26 Jun 2006
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 7,879
19.

The Corporate Cost of Capital and the Return on Corporate Investment

CRSP Working Paper
Number of pages: 31 Posted: 11 Aug 1998
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 7,853
20.

Forecasting Profitability And Earnings

CRSP Working Paper No. 456
Number of pages: 18 Posted: 13 Nov 1997
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth

Multiple version iconThere are 2 versions of this paper

Downloads 7,720
21.

Testing Tradeoff and Pecking Order Predictions About Dividends and Debt

CRSP Working Paper No. 506
Number of pages: 46 Posted: 15 Dec 1999
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 7,523
22.

The Market for Financial Adviser Misconduct

Number of pages: 78 Posted: 29 Feb 2016 Last Revised: 10 May 2017
Working Paper Series
University of Minnesota Carlson School of Management, University of Chicago - Booth School of Business and Stanford University

Multiple version iconThere are 2 versions of this paper

Downloads 6,693
23.

The Cost of Diversity: The Diversification Discount and Inefficient Investment

CRSP Working Paper No. 463
Number of pages: 79 Posted: 05 Feb 1998
Working Paper Series
University of Chicago - Booth School of Business, London Business School and University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 6,366
24.

Value and Momentum Everywhere

Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72 Posted: 14 Nov 2012
Working Paper Series
AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 5,675
25.

Profitability, Growth, and Average Returns

CRSP Working Paper No. 558
Number of pages: 41 Posted: 30 Jul 2004
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 5,628
26.

Measuring Income Tax Evasion using Bank Credit: Evidence from Greece

Chicago Booth Research Paper No. 12-25, Fama-Miller Working Paper
Number of pages: 66 Posted: 17 Jul 2012 Last Revised: 28 Sep 2015
Working Paper Series
University of Massachusetts at Amherst, Isenberg School of Management, University of California, Berkeley - Haas School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 5,581
27.

Financing Decisions: Who Issues Stock?

CRSP Working Paper No. 549
Number of pages: 39 Posted: 13 Aug 2003
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 5,428
28.

Disagreement, Tastes, and Asset Prices

CRSP Working Paper No. 552, Tuck Business School Working Paper No. 2004-03
Number of pages: 35 Posted: 17 Nov 2005
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 5,403
29.

Momentum Crashes

Swiss Finance Institute Research Paper No. 13-61, Columbia Business School Research Paper No. 14-6, Fama-Miller Working Paper
Number of pages: 57 Posted: 24 Dec 2013
Working Paper Series
Columbia Business School - Finance and Economics and Yale University, Yale SOM

Multiple version iconThere are 5 versions of this paper

Downloads 5,299
30.

Dissecting Anomalies with a Five-Factor Model

Fama-Miller Working Paper
Number of pages: 49 Posted: 01 Oct 2014 Last Revised: 26 Jun 2015
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 5,295
31.

Time Series Momentum

Chicago Booth Research Paper No. 12-21, Fama-Miller Working Paper
Number of pages: 62 Posted: 23 Jun 2012
Working Paper Series
Yale University, Yale SOM, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 5,249
32.

The Behavior of Interest Rates

CRSP Working Paper No. 553
Number of pages: 30 Posted: 25 May 2004
Working Paper Series
University of Chicago - Finance

Multiple version iconThere are 2 versions of this paper

Downloads 4,851
33.

Liquidity Risk, Liquidity Creation and Financial Fragility: A Theory of Banking

CRSP Working Paper No. 476
Number of pages: 51 Posted: 15 Aug 1998
Working Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,737
34.

New Lists: Fundamentals and Survival Rates

CRSP Working Paper No. 530; Tuck Business School Working Paper No. 03-15
Number of pages: 57 Posted: 07 May 2003
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 4,494
35.

What Explains the 2007-2009 Drop in Employment?

Fama-Miller Working Paper , Chicago Booth Research Paper No. 13-43
Number of pages: 51 Posted: 17 Nov 2011 Last Revised: 01 Mar 2014
Working Paper Series
Princeton University - Department of Economics and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,092
36.

Does the Fed Control Interest Rates?

The Review of Asset Pricing Studies, Forthcoming, Chicago Booth Research Paper No. 12-23, Fama-Miller Working Paper
Number of pages: 31 Posted: 05 Aug 2012 Last Revised: 02 Jul 2013
Accepted Paper Series
University of Chicago - Finance
Downloads 4,073
37.

Migration

CRSP Working Paper No. 614
Number of pages: 24 Posted: 28 Aug 2006
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth

Multiple version iconThere are 2 versions of this paper

Downloads 3,892
38.

Liquidity Risk and Expected Stock Returns

CRSP Working Paper No. 531
Number of pages: 38 Posted: 17 Aug 2001
Working Paper Series
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

Multiple version iconThere are 3 versions of this paper

Downloads 3,856
39.

Learning in Financial Markets

Learning in Financial Markets, Forthcoming, Chicago Booth School of Business Research Paper No. 08-28
Number of pages: 30 Posted: 08 Jan 2009
Accepted Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 3,828
40.

Power in a Theory of the Firm

Number of pages: 45 Posted: 31 Mar 1997
Working Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 3,812
41.

Choosing Factors

Fama-Miller Working Paper , Tuck School of Business Working Paper No. 2668236, Chicago Booth Research Paper No. 16-17
Number of pages: 54 Posted: 02 Oct 2015 Last Revised: 28 Mar 2017
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth

Multiple version iconThere are 2 versions of this paper

Downloads 3,768
42.

Household Balance Sheets, Consumption, and the Economic Slump

Chicago Booth Research Paper No. 13-42, Fama-Miller Working Paper
Number of pages: 50 Posted: 18 Nov 2011 Last Revised: 07 Jun 2013
Working Paper Series
Princeton University - Department of Economics, MasterCard Advisors and University of Chicago - Booth School of Business
Downloads 3,684
43.

Financial Contracting Theory Meets The Real World: An Empirical Analysis Of Venture Capital Contracts

CRSP Working Paper No. 513
Number of pages: 74 Posted: 26 Apr 2000
Working Paper Series
University of Chicago - Booth School of Business and Swedish House of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,674
44.

International Tests of a Five-Factor Asset Pricing Model

Fama-Miller Working Paper, Tuck School of Business Working Paper No. 2622782
Number of pages: 48 Posted: 26 Jun 2015 Last Revised: 31 Dec 2015
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 3,588
45.

Investor Protection and Corporate Valuation

Harvard Institute of Economics Research Paper No. 1882
Number of pages: 45 Posted: 13 Dec 1999
Working Paper Series
Dartmouth College - Tuck School of Business, SKEMA Business School, Harvard University - Department of Economics and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 3,547
46.

Capital Structure Choices

Number of pages: 42 Posted: 15 Apr 2008 Last Revised: 22 Sep 2011
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 3,416
47.

Executive Compensation and Corporate Governance in the U.S.: Perceptions, Facts and Challenges

Chicago Booth Research Paper No. 12-42, Fama-Miller Working Paper
Number of pages: 50 Posted: 29 Aug 2012 Last Revised: 26 Sep 2012
Working Paper Series
University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 3,336
48.

The Cross-Section and Time-Series of Stock and Bond Returns

Journal of Monetary Economics, Forthcoming, EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper
Number of pages: 65 Posted: 11 Feb 2009 Last Revised: 04 May 2017
Working Paper Series
New York University (NYU) - Department of Finance, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Multiple version iconThere are 4 versions of this paper

Downloads 3,289
49.

Are CEOs Different? Characteristics of Top Managers

Columbia Business School Research Paper No. 16-27, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 51 Posted: 15 Mar 2016 Last Revised: 01 Jun 2016
Working Paper Series
University of Chicago - Booth School of Business and Copenhagen Business School
Downloads 3,288
50.

A Theory of Bank Capital

Number of pages: 53 Posted: 09 Jun 1999
Working Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 3,131