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Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series

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Viewing: 1 - 50 of 141 papers

1.

Heterogeneous-Agent Asset Pricing

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper, 2021
Number of pages: 91 Posted: 22 Mar 2021 Last Revised: 01 Jul 2021
Working Paper Series
University of Pennsylvania - Finance Department
Downloads 159
2.

Arbitraging Covered Interest Rate Parity Deviations and Bank Lending

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 48 Posted: 19 Feb 2021
Working Paper Series
University of Pennsylvania - The Wharton School
Downloads 68
3.

Discounting Climate Change Mitigating Projects: A Production-Based Model with Disasters

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 24 Posted: 19 Feb 2021 Last Revised: 13 May 2021
Working Paper Series
University of Pennsylvania - The Wharton School
Downloads 56
4.

Getting to the Core: Inflation Risks Within and Across Asset Classes

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 17 Feb 2021 Last Revised: 10 Mar 2021
Working Paper Series
The University of Hong Kong, The University of Hong Kong - Faculty of Business and Economics and University of Pennsylvania - The Wharton School
Downloads 347
5.

Mutual Fund Flows and Performance in (Imperfectly) Rational Markets?

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 49 Posted: 09 Dec 2020
Working Paper Series
University of Pennsylvania - The Wharton School, Guanghua School of Management, Peking University and University of Southern California - Marshall School of Business
Downloads 186
6.

The Reserve Supply Channel of Unconventional Monetary Policy

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58 Posted: 25 Sep 2020 Last Revised: 14 Apr 2021
Working Paper Series
University of Pennsylvania - Finance Department, Kellogg School of Management - Department of Finance and Columbia University - Columbia Business School
Downloads 294
7.

Financing Ventures

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 73 Posted: 22 Sep 2020 Last Revised: 19 Oct 2020
Working Paper Series
University of Pennsylvania - Department of Economics, Peking University, Guanghua School of Management and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 58
8.

Is The United States A Lucky Survivor: A Hierarchical Bayesian Approach

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 66 Posted: 10 Sep 2020 Last Revised: 06 Apr 2021
Working Paper Series
University of Pennsylvania - The Wharton School, University of Pennsylvania - The Wharton School and University of Pennsylvania - Finance Department
Downloads 165
9.

Sovereign Default and the Decline in Interest Rates

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 62 Posted: 08 Sep 2020 Last Revised: 29 Apr 2021
Working Paper Series
University of Pennsylvania, The Wharton School, Finance Department, University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
Downloads 285
10.

Student Loans and Social Mobility

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 57 Posted: 27 Aug 2020 Last Revised: 18 Jun 2021
Working Paper Series
University of Pennsylvania - The Wharton School
Downloads 468
11.

Sensitivity and Computational Complexity in Financial Networks

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 35 Posted: 24 Aug 2020
Working Paper Series
University of Pennsylvania and University of Pennsylvania - Department of Computer and Information Science
Downloads 16
12.

CLO Performance

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 53 Posted: 15 Aug 2020 Last Revised: 04 Feb 2021
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER) and University of Pennsylvania - The Wharton School
Downloads 694
13.

Man vs. Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 71 Posted: 07 Jul 2020 Last Revised: 27 Feb 2021
Working Paper Series
University of Pennsylvania - The Wharton School, University of Edinburgh Business School and BI Norwegian Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,585
14.

Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper, 2020
Number of pages: 66 Posted: 02 Jul 2020 Last Revised: 01 Apr 2021
Working Paper Series
Columbia University - Columbia Business School, Columbia University - Columbia Business School and University of Pennsylvania - The Wharton School
Downloads 905
15.

Do Managers Learn from Institutional Investors Through Direct Interactions?

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Posted: 01 Jul 2020 Last Revised: 17 Apr 2021
Working Paper Series
NUS Business School
16.

Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 31 Posted: 26 May 2020 Last Revised: 17 Feb 2021
Working Paper Series
University of Pennsylvania - Department of Economics, The Wharton School, University of Pennsylvania and University of California, Los Angeles (UCLA) - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 167
17.

Can the COVID Bailouts Save the Economy?

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 60 Posted: 05 May 2020 Last Revised: 22 Feb 2021
Working Paper Series
Johns Hopkins Carey Business School, University of Pennsylvania - The Wharton School and Columbia University Graduate School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 448
18.

Executive Stock Options and Systemic Risk

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 47 Posted: 01 May 2020 Last Revised: 21 Sep 2020
Working Paper Series
University of Pennsylvania - Accounting Department, University of Pennsylvania - Accounting Department and University of Pennsylvania - The Wharton School
Downloads 101
19.

Common Fund Flows: Flow Hedging and Factor Pricing

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 63 Posted: 24 Apr 2020 Last Revised: 07 Jun 2021
Working Paper Series
The Wharton School, University of Pennsylvania, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Texas A&M University
Downloads 790
20.

Social Security and Trends in Wealth Inequality

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 79 Posted: 14 Apr 2020 Last Revised: 21 Dec 2020
Working Paper Series
University of Pennsylvania - Finance Department, University of Pennsylvania, The Wharton School, Finance Department and University of Pennsylvania Carey Law School
Downloads 1,491
21.

Measuring Marginal q

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 46 Posted: 07 Apr 2020
Working Paper Series
Pacific Investment Management Company - PIMCO
Downloads 43
22.

Economics of Leveraged Buyouts: Theory and Evidence from the UK Private Equity Industry

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 82 Posted: 19 Mar 2020
Working Paper Series
University of Pennsylvania, The Wharton School
Downloads 197
23.

Insurance against Long-Run Volatility Risk: Demand, Supply, and Pricing

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 32 Posted: 18 Mar 2020
Working Paper Series
The Wharton School
Downloads 78
24.

Feedback and Contagion through Distressed Competition

The Rodney L. White Center Working Papers Series at the Wharton School, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 61 Posted: 05 Feb 2020 Last Revised: 10 Sep 2020
Working Paper Series
Massachusetts Institute of Technology, The Wharton School, University of Pennsylvania, University of Pennsylvania and Hong Kong University of Science & Technology (HKUST)
Downloads 438
25.

Democratization, Inequality, and Risk Premia

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 81 Posted: 15 Jan 2020 Last Revised: 07 Jun 2021
Working Paper Series
University of Pennsylvania, The Wharton School, Finance Department
Downloads 209
26.

Undisclosed SEC Investigations

Management Science, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 42 Posted: 10 Jan 2020 Last Revised: 12 Aug 2020
Accepted Paper Series
Oregon State University, Stanford Graduate School of Business, University of Washington - Foster School of Business and The Wharton School, University of Pennsylvania
Downloads 937
27.

Sustainable Investing in Equilibrium

Chicago Booth Research Paper No. 20-12, Fama-Miller Working Paper, Journal of Financial Economics (JFE), Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 54 Posted: 19 Dec 2019 Last Revised: 12 Aug 2020
Accepted Paper Series
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School

Multiple version iconThere are 4 versions of this paper

Downloads 2,957
28.

Bank Debt versus Mutual Fund Equity in Liquidity Provision

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 70 Posted: 05 Dec 2019 Last Revised: 19 Feb 2021
Working Paper Series
Columbia University - Columbia Business School, Columbia University - Columbia Business School and University of Pennsylvania - The Wharton School
Downloads 298
29.

The Term Structure of Equity Risk Premia

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 75 Posted: 01 Dec 2019
Working Paper Series
Duke University, University of Pennsylvania -- Wharton School of Business, University of Michigan - Ross School of Business and Johns Hopkins University - Carey Business School
Downloads 194
30.

Fearing the Fed: How Wall Street Reads Main Street

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 44 Posted: 30 Nov 2019
Working Paper Series
University of Pennsylvania -- Wharton School of Business, affiliation not provided to SSRN and Johns Hopkins University - Carey Business School
Downloads 62
31.

Common Ownership and Innovation Efficiency

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 60 Posted: 27 Nov 2019 Last Revised: 13 Jul 2021
Working Paper Series
University of South Carolina - Darla Moore School of Business, University of Pennsylvania - Finance Department and University of Pennsylvania - The Wharton School
Downloads 772
32.

Optimal, Truthful, and Private Securities Lending

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 19 Posted: 13 Nov 2019
Working Paper Series
The Wharton School of the University of Pennsylvania, affiliation not provided to SSRN, University of Pennsylvania - Statistics Department and University of Pennsylvania - Department of Computer and Information Science
Downloads 18
33.

Underreaction, Overreaction, and Dynamic Autocorrelation of Stock Returns

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 57 Posted: 13 Nov 2019 Last Revised: 22 Jan 2021
Working Paper Series
University of Pennsylvania
Downloads 240
34.

Sea Level Rise Exposure and Municipal Bond Yields

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 47 Posted: 11 Nov 2019 Last Revised: 19 Feb 2021
Working Paper Series
Yale School of Management, Pennsylvania State University - Smeal College of Business, University of Colorado, Boulder and University of Pennsylvania - The Wharton School
Downloads 640
35.

Money-Back Guarantees in Individual Retirement Accounts: Still a Good Deal?

SAFE Working Paper No. 263 (2019), Wharton Pension Research Council Working Paper No. 2019-19, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 66 Posted: 23 Oct 2019 Last Revised: 12 Mar 2021
Working Paper Series
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School

Multiple version iconThere are 2 versions of this paper

Downloads 75
36.

Financial Markets with Trade on Risk and Return

The Review of Financial Studies, Volume 32, Issue 10, Stanford University Graduate School of Business Research Paper No. 3454563, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Posted: 25 Sep 2019
Accepted Paper Series
Stanford University Graduate School of Business
37.

Financial Frictions and the Wealth Distribution

PIER Working Paper No. 19-015, September 2019, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 64 Posted: 18 Sep 2019 Last Revised: 11 Sep 2020
Working Paper Series
University of Pennsylvania - Department of Economics, Banco de España and Banco de España

Multiple version iconThere are 4 versions of this paper

Downloads 39
38.

Synergizing Ventures

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 61 Posted: 24 Jun 2019 Last Revised: 18 Sep 2020
Working Paper Series
University of Chicago - Department of Economics, Center for Economic Studies - US Census Bureau, University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta

Multiple version iconThere are 6 versions of this paper

Downloads 50
39.

Dissecting Bankruptcy Frictions

Journal of Financial Economics (JFE), Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 75 Posted: 20 May 2019 Last Revised: 02 Feb 2021
Accepted Paper Series
The Wharton School, University of Pennsylvania, University of Pennsylvania - The Wharton School, Queen's University - Smith School of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 617
40.

Skill and Profit in Active Management

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 46 Posted: 25 Mar 2019 Last Revised: 03 Dec 2020
Working Paper Series
University of Pennsylvania - The Wharton School

Multiple version iconThere are 2 versions of this paper

Downloads 774
41.

Risk Factors That Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 84 Posted: 20 Jan 2019 Last Revised: 24 Sep 2020
Working Paper Series
BI Norwegian Business School
Downloads 1,891
42.

Competition, Profitability, and Discount Rates

Journal of Financial Economics (JFE), Forthcoming, The Rodney L. White Center Working Papers Series at the Wharton School, The Jacobs Levy Equity Management Center for Quantitative Financial Research Working Papers Series, Mays Business School Research Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 14 Jan 2019 Last Revised: 28 Jun 2021
Accepted Paper Series
The Wharton School, University of Pennsylvania, Hong Kong University of Science & Technology (HKUST) and Texas A&M University
Downloads 695
43.

Evolution of Debtor Rights

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 50 Posted: 14 Dec 2018 Last Revised: 17 Sep 2020
Working Paper Series
BI Norwegian Business School
Downloads 66
44.

The Favorite-Longshot Midas

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 64 Posted: 14 Nov 2018 Last Revised: 12 Aug 2020
Working Paper Series
Wharton - Operations, Information and Decisions, Stanford Law School and Microsoft Research
Downloads 229
45.

Audit Process, Private Information, and Insider Trading

Kelley School of Business Research Paper No. 18-85, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 51 Posted: 02 Nov 2018 Last Revised: 12 Aug 2020
Working Paper Series
University of Minnesota - Twin Cities - Carlson School of Management, Stanford Graduate School of Business, Indiana University - Kelley School of Business - Department of Accounting and The Wharton School, University of Pennsylvania
Downloads 865
46.

Volatility Risk Pass-Through

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Posted: 01 Oct 2018 Last Revised: 29 Apr 2021
Working Paper Series
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison

Multiple version iconThere are 3 versions of this paper

47.

Comovement in Arbitrage Limits

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 51 Posted: 24 Sep 2018 Last Revised: 11 Sep 2020
Working Paper Series
University of Hong Kong
Downloads 358
48.

Risk Free Interest Rates

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 22 Sep 2018 Last Revised: 04 Jan 2021
Working Paper Series
University of Pennsylvania - The Wharton School, University of Pennsylvania - Finance Department and London Business School

Multiple version iconThere are 3 versions of this paper

Downloads 1,599
49.

Stochastic Impatience and the Separation of Time and Risk Preferences

PIER Working Paper No. 18-020, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 36 Posted: 20 Sep 2018 Last Revised: 11 Sep 2020
Working Paper Series
University of Pennsylvania - Department of Economics, Washington University in St. Louis and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 44
50.

Inalienable Customer Capital, Corporate Liquidity, and Stock Returns

Journal of Finance, 2021, Vol. 76, No.1, 211-265, The Rodney L. White Center Working Papers Series at the Wharton School, Mays Business School Research Paper No. 3187850, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 78 Posted: 15 Jun 2018 Last Revised: 17 Feb 2021
Working Paper Series
The Wharton School, University of Pennsylvania, Hong Kong University of Science & Technology (HKUST), University of Pennsylvania - Marketing Department and Texas A&M University
Downloads 534