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Chicago Booth Research Paper Series

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Viewing: 1 - 50 of 626 papers

1.

Monetary Policy Communications and Their Effects on Household Inflation Expectations

Fama-Miller Working Paper, Chicago Booth Research Paper No. 19-03
Number of pages: 42 Posted: 16 Jan 2019 Last Revised: 16 Jan 2019
Working Paper Series
Olivier Coibion, Yuriy Gorodnichenko and Michael Weber
University of Texas at Austin, University of California, Berkeley - Department of Economics and University of Chicago - Finance

Multiple version iconThere are 3 versions of this paper

Downloads 27
2.

Non-answers during Conference Calls

Chicago Booth Research Paper No. 19-01, Fama-Miller Working Paper , Rock Center for Corporate Governance at Stanford University Working Paper No. 237
Number of pages: 60 Posted: 04 Jan 2019 Last Revised: 31 Jan 2019
Working Paper Series
Ian D. Gow, David F. Larcker and Anastasia A. Zakolyukina
University of Melbourne, Stanford University - Graduate School of Business and University of Chicago - Booth School of Business
Downloads 127
3.

Interest Rates and Inflation Revisited

Chicago Booth Research Paper No. 18-10, Fama-Miller Working Paper
Number of pages: 15 Posted: 18 Oct 2018 Last Revised: 29 Dec 2018
Working Paper Series
Eugene F. Fama
University of Chicago - Finance
Downloads 256
4.

Financial Intermediation Through Financial Disintermediation: Evidence from the ECB Corporate Sector Purchase Programme

Fama-Miller Working Paper , Chicago Booth Research Paper No. 18-06
Number of pages: 63 Posted: 16 Jun 2018 Last Revised: 18 Sep 2018
Working Paper Series
Aytekin Ertan, Anya Kleymenova and Marcel Tuijn
London Business School, The University of Chicago Booth School of Business and Erasmus University Rotterdam (EUR)
Downloads 114
5.

The Economic Limits of Bitcoin and the Blockchain

Chicago Booth Research Paper No. 18-07
Number of pages: 24 Posted: 16 Jun 2018
Working Paper Series
Eric B. Budish
University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 166
6.

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018
Number of pages: 67 Posted: 09 Apr 2018 Last Revised: 29 Jul 2018
Working Paper Series
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 6,443
7.

Screening for Breast Cancer: The Role of Supplemental Tests and Breast Density Information

Chicago Booth Research Paper No. 18-03
Number of pages: 42 Posted: 12 Feb 2018
Working Paper Series
Burhaneddin Sandikci, Mucahit Cevik and David Schacht
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and University of Chicago - Dept. of Radiology
Downloads 102
8.

Unconventional Fiscal Policy

Chicago Booth Research Paper No. 18-02, Fama-Miller Working Paper
Number of pages: 6 Posted: 18 Jan 2018
Working Paper Series
Francesco D'Acunto, Daniel Hoang and Michael Weber
Boston College, Karlsruhe Institute of Technology (KIT) and University of Chicago - Finance

Multiple version iconThere are 4 versions of this paper

Downloads 70
9.

Volatility Lessons

Chicago Booth Research Paper No. 17-33, Fama-Miller Working Paper
Number of pages: 20 Posted: 04 Dec 2017 Last Revised: 19 Oct 2018
Working Paper Series
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 1,345
10.

Information versus Investment

Chicago Booth Research Paper No. 19-02, Fama-Miller Working Paper
Number of pages: 56 Posted: 21 Nov 2017 Last Revised: 09 Jan 2019
Working Paper Series
Stephen Terry, Toni M. Whited and Anastasia A. Zakolyukina
Boston University, University of Michigan, Stephen M. Ross School of Business and University of Chicago - Booth School of Business
Downloads 92
11.

Dissecting Characteristics Nonparametrically

Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-32
Number of pages: 105 Posted: 20 Nov 2017 Last Revised: 27 Jul 2018
Working Paper Series
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance

Multiple version iconThere are 6 versions of this paper

Downloads 148
12.

Monetary Policy Through Production Networks: Evidence from the Stock Market

Fama-Miller Working Paper , Chicago Booth Research Paper No. 17-31
Number of pages: 66 Posted: 20 Nov 2017
Working Paper Series
Ali K. Ozdagli and Michael Weber
Federal Reserve Banks - Federal Reserve Bank of Boston and University of Chicago - Finance

Multiple version iconThere are 6 versions of this paper

Downloads 78
13.

The Information Content of Dividends: Safer Profits, Not Higher Profits

Chicago Booth Research Paper 17-30, Fama-Miller Working Paper
Number of pages: 80 Posted: 04 Nov 2017 Last Revised: 24 Jan 2018
Working Paper Series
Roni Michaely, Stefano Rossi and Michael Weber
University of Geneva - Geneva Finance Research Institute (GFRI), Bocconi University and University of Chicago - Finance

Multiple version iconThere are 4 versions of this paper

Downloads 377
14.

When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility

Chicago Booth Research Paper No. 17-27, Fama-Miller Working Paper
Number of pages: 115 Posted: 29 Sep 2017
Working Paper Series
Rui Da and Dacheng Xiu
Univeristy of Chicago Booth School of Business and University of Chicago - Booth School of Business
Downloads 122
15.

Historical Antisemitism, Ethnic Specialization, and Financial Development

Becker Friedman Institute for Research in Economics Working Paper No. 2018-19, Chicago Booth Research Paper No. 17-26, Fama-Miller Working Paper
Number of pages: 68 Posted: 01 Sep 2017
Working Paper Series
Francesco D'Acunto, Marcel Prokopczuk and Michael Weber
Boston College, Leibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance

Multiple version iconThere are 3 versions of this paper

Downloads 87
16.

Price Rigidities and the Granular Origins of Aggregate Fluctuations

Chicago Booth Research Paper No. 17-25, Fama-Miller Working Paper
Number of pages: 64 Posted: 20 Aug 2017 Last Revised: 24 Jan 2018
Working Paper Series
Ernesto Pasten, Raphael Schoenle and Michael Weber
University of Toulouse 1 - Toulouse School of Economics (TSE), Brandeis University and University of Chicago - Finance

Multiple version iconThere are 5 versions of this paper

Downloads 26
17.

Regulatory Spillovers in Common Audit Markets

Chicago Booth Research Paper No. 17-24, MIT Sloan Research Paper No. 5234-17
Number of pages: 48 Posted: 19 Aug 2017 Last Revised: 19 Feb 2019
Working Paper Series
Raphael Duguay, Michael Minnis and Andrew Sutherland
University of Chicago, Booth School of Business, Students, University of Chicago - Booth School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 430
18.

What Information Drives Asset Prices?

Chicago Booth Research Paper No. 17-23
Number of pages: 81 Posted: 09 Aug 2017
Working Paper Series
Anisha Ghosh and George M. Constantinides
Carnegie Mellon University and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 163
19.

Long-Horizon Returns

Chicago Booth Research Paper No. 17-17, Fama-Miller Working Paper
Number of pages: 28 Posted: 24 May 2017 Last Revised: 21 Nov 2017
Working Paper Series
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 1,722
20.

Prices and Promotions in U.S. Retail Markets: Evidence from Big Data

Chicago Booth Research Paper No. 17-18
Number of pages: 82 Posted: 19 May 2017 Last Revised: 11 Feb 2018
Working Paper Series
Günter J. Hitsch, Ali Hortacsu and Xiliang Lin
University of Chicago - Booth School of Business, University of Chicago - Department of Economics and University of Chicago - Booth School of Business
Downloads 642
21.

Time-Varying Lower Bound of Interest Rates in Europe

Chicago Booth Research Paper No. 17-06
Number of pages: 41 Posted: 05 Apr 2017
Working Paper Series
Jing Cynthia Wu and Fan Dora Xia
University of Notre Dame - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 610
22.

Efficient Estimation of Integrated Volatility Functionals via Multiscale Jackknife

Chicago Booth Research Paper No. 17-05
Number of pages: 31 Posted: 28 Mar 2017 Last Revised: 18 Apr 2018
Working Paper Series
Jia Li, Yunxiao Liu and Dacheng Xiu
Duke University, University of North Carolina (UNC) at Chapel Hill and University of Chicago - Booth School of Business
Downloads 45
23.

Taming the Factor Zoo: A Test of New Factors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-04
Number of pages: 74 Posted: 20 Mar 2017 Last Revised: 10 Feb 2019
Working Paper Series
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 2,455
24.

Earnings, Retained Earnings, and Book-to-Market in the Cross Section of Expected Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 66 Posted: 01 Mar 2017 Last Revised: 20 Jan 2019
Accepted Paper Series
Ray Ball, Joseph J. Gerakos, Juhani T. Linnainmaa and Valeri V. Nikolaev
University of Chicago - Booth School of Business, Tuck School of Business at Dartmouth College, USC Marshall School of Business and University of Chicago Booth School of Business
Downloads 1,487
25.

Knowing Factors or Factor Loadings, or Neither? Evaluating Estimators of Large Covariance Matrices with Noisy and Asynchronous Data

Chicago Booth Research Paper No. 17-02
Number of pages: 61 Posted: 23 Feb 2017 Last Revised: 01 Nov 2017
Working Paper Series
Chaoxing Dai, Kun Lu and Dacheng Xiu
University of Chicago - Booth School of Business, Princeton University and University of Chicago - Booth School of Business
Downloads 160
26.

Political Cycles and Stock Returns

Chicago Booth Research Paper No. 17-01, Fama-Miller Working Paper
Number of pages: 41 Posted: 01 Feb 2017 Last Revised: 17 Oct 2018
Working Paper Series
Lubos Pastor and Pietro Veronesi
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 1,218
27.

Grocery Store Density and Food Waste

Chicago Booth Research Paper No. 16-23
Number of pages: 42 Posted: 28 Dec 2016 Last Revised: 08 Aug 2017
Working Paper Series
Elena Belavina
Cornell SC Johnson College of Business
Downloads 352
28.

Leverage

Columbia Business School Research Paper No. 17-1
Number of pages: 50 Posted: 01 Dec 2016 Last Revised: 23 Dec 2018
Working Paper Series
Tano Santos and Pietro Veronesi
Columbia Business School and University of Chicago - Booth School of Business
Downloads 135
29.

Asset Pricing with Omitted Factors

Chicago Booth Research Paper No. 16-21
Number of pages: 94 Posted: 08 Nov 2016 Last Revised: 31 May 2018
Working Paper Series
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 466
30.

Credit Allocation under Economic Stimulus: Evidence from China

Chicago Booth Research Paper No. 17-19
Number of pages: 57 Posted: 01 Nov 2016 Last Revised: 18 Nov 2018
Working Paper Series
Lin William Cong, Haoyu Gao, Jacopo Ponticelli and Xiaoguang Yang
University of Chicago - Booth School of Business, Central University of Finance and Economics (CUFE), Northwestern University - Kellogg School of Management and Chinese Academy of Sciences (CAS)

Multiple version iconThere are 2 versions of this paper

Downloads 2,182
31.

Financial Market Frictions and Diversification

Chicago Booth Research Paper No. 17-13
Number of pages: 87 Posted: 24 Oct 2016 Last Revised: 31 May 2017
Working Paper Series
Gregor Matvos, Amit Seru and Rui Silva
University of Texas at Austin - Department of Finance, Stanford University and London Business School - Department of Finance
Downloads 510
32.

Dynamic Release Management: A Market Intensity Approach

Chicago Booth Research Paper No. 16-19
Number of pages: 42 Posted: 06 Oct 2016
Working Paper Series
Dan Adelman and Angelo Mancini
The University of Chicago Booth School of Business and University of Chicago - Booth School of Business
Downloads 36
33.

Supply Disruption with a Risk-Averse Buyer

Chicago Booth Research Paper No. 16-20
Number of pages: 46 Posted: 05 Oct 2016
Working Paper Series
Dan Adelman and Shanshan Wang
The University of Chicago Booth School of Business and Boston Consulting Group - Hong Kong
Downloads 22
34.

A Shadow Rate New Keynesian Model

Chicago Booth Research Paper No. 16-18
Number of pages: 57 Posted: 28 Sep 2016 Last Revised: 22 Oct 2018
Working Paper Series
Jing Cynthia Wu and Ji Zhang
University of Notre Dame - Department of Economics and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 999
35.

Firm-Level Political Risk: Measurement and Effects

Number of pages: 79 Posted: 28 Sep 2016 Last Revised: 19 Dec 2017
Working Paper Series
Tarek A. Hassan, Stephan Hollander, Laurence van Lent and Ahmed Tahoun
University of Chicago - Booth School of Business, Tilburg University - Tilburg School of Economics and Management, Frankfurt School of Finance & Management gemeinnützige GmbH - Accounting Department and London Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,162
36.

Price Uncertainty and Market Power in Retail Gasoline: The Case of an Italian Highway

Chicago Booth Research Paper No. 16-15
Number of pages: 46 Posted: 29 Aug 2016 Last Revised: 28 Mar 2018
Working Paper Series
Federico Rossi and Pradeep K. Chintagunta
Purdue University - Krannert School of Management and University of Chicago
Downloads 122
37.

Stimulating Housing Markets

Chicago Booth Research Paper No. 16-16, Kreisman Working Papers Series in Housing Law and Policy No. 40
Number of pages: 55 Posted: 19 Aug 2016 Last Revised: 14 Sep 2016
Working Paper Series
David Berger, Nick Turner and Eric Zwick
Northwestern University, Board of Governors of the Federal Reserve System and University of Chicago - Finance

Multiple version iconThere are 2 versions of this paper

Downloads 107
38.

Currency Manipulation

Number of pages: 70 Posted: 07 Aug 2016 Last Revised: 20 Jan 2017
Working Paper Series
Tarek A. Hassan, Thomas M. Mertens and Tony Zhang
University of Chicago - Booth School of Business, Federal Reserve Bank of San Francisco and Boston University - Questrom School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 160
39.

The Dynamic Effect of Incentives on Post-Reward Task Engagement

Chicago Booth Research Paper No. 16-14
Number of pages: 62 Posted: 12 Jul 2016
Working Paper Series
Indranil Goswami and Oleg Urminsky
Department of Marketing and University of Chicago - Booth School of Business
Downloads 56
40.

CEO Personality and Firm Policies

6th Miami Behavioral Finance Conference, Stanford University Graduate School of Business Research Paper No. 16-34, Chicago Booth Research Paper No. 16-13, Fama-Miller Working Paper, Rock Center for Corporate Governance at Stanford University Working Paper No. 220
Number of pages: 62 Posted: 08 Jul 2016 Last Revised: 10 Aug 2016
Working Paper Series
Ian D. Gow, Steven N. Kaplan, David F. Larcker and Anastasia A. Zakolyukina
University of Melbourne, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,958
41.

CEO Materialism and Corporate Social Responsibility

Chicago Booth Research Paper No. 16-11, Fama-Miller Working Paper Forthcoming
Number of pages: 71 Posted: 14 Jun 2016
Working Paper Series
Robert H. Davidson, Aiyesha Dey and Abbie J. Smith
Virginia Polytechnic Institute & State University - Department of Accounting and Information Systems, Harvard Business School and University of Chicago - Booth School of Business
Downloads 786
42.

Executives’ Legal Records and Insider Trading Activities

Chicago Booth Research Paper No. 16-12, Fama-Miller Working Paper
Number of pages: 45 Posted: 13 Jun 2016
Working Paper Series
Robert H. Davidson, Aiyesha Dey and Abbie J. Smith
Virginia Polytechnic Institute & State University - Department of Accounting and Information Systems, Harvard Business School and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 131
43.

Liquidity, Banks, and Markets: Effects of Financial Development on Banks and the Maturity of Financial Claims

World Bank Policy Research Working Paper No. 1566
Number of pages: 38 Posted: 20 Apr 2016
Working Paper Series
Douglas W. Diamond
University of Chicago - Booth School of Business
Downloads 306
44.

Bond Risk Premia in Consumption-Based Models

Chicago Booth Research Paper No. 16-10
Number of pages: 81 Posted: 13 Apr 2016 Last Revised: 07 Dec 2017
Working Paper Series
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 362
45.

Consistency and Recovery in Retail Supply Chains

(2018) Journal of Business Logistics, 39(1): 26-37, Chicago Booth Research Paper No. 16-09
Number of pages: 37 Posted: 31 Mar 2016 Last Revised: 13 Sep 2018
Accepted Paper Series
Elliot Bendoly, Nathan Craig and Nicole DeHoratius
The Ohio State University, Ohio State University (OSU) - Fisher College of Business and University of Chicago - Booth School of Business
Downloads 136
46.

The Use and Value of Social Information in Selective Selling of Exclusive Products

Chicago Booth Research Paper No. 16-08
Number of pages: 54 Posted: 29 Mar 2016 Last Revised: 23 Jan 2019
Working Paper Series
Ruslan Momot, Elena Belavina and Karan Girotra
HEC Paris, Cornell SC Johnson College of Business and Cornell Tech
Downloads 414
47.

Regulation of Compensation and Systemic Risk: Evidence from the UK

Chicago Booth Research Paper No. 16-07
Number of pages: 70 Posted: 28 Mar 2016 Last Revised: 23 Oct 2018
Working Paper Series
Anya Kleymenova and A. Irem Tuna
The University of Chicago Booth School of Business and London Business School
Downloads 1,092
48.

Monetary Policy and the Stock Market: Time-Series Evidence

Chicago Booth Research Paper No. 17-16
Number of pages: 89 Posted: 18 Mar 2016 Last Revised: 31 May 2017
Working Paper Series
Andreas Neuhierl and Michael Weber
University of Notre Dame - Department of Finance and University of Chicago - Finance

Multiple version iconThere are 4 versions of this paper

Downloads 303
49.

Dynamic Interventions and Informational Linkages

Chicago Booth Research Paper No. 17-09
Number of pages: 71 Posted: 07 Mar 2016 Last Revised: 26 Nov 2017
Working Paper Series
Lin William Cong, Steven R. Grenadier and Yunzhi Hu
University of Chicago - Booth School of Business, Stanford Graduate School of Business and University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 733
50.

A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

Chicago Booth Research Paper No. 16-06
Number of pages: 55 Posted: 07 Mar 2016 Last Revised: 21 Feb 2017
Working Paper Series
Yacine Ait-Sahalia and Dacheng Xiu
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 434