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Chicago Booth Fama-Miller: Asset Pricing (Topic)
81,511 Total downloads

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Showing Papers 1 - 43 of 43
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Incl. Electronic Paper Inference on Risk Premia in the Presence of Omitted Factors
Chicago Booth Research Paper No. 16-21
Stefano Giglio and Dacheng Xiu
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: November 08, 2016
Last Revised: January 24, 2017
Working Paper Series
164 downloads

Effect of Financial Innovations on Demand for Money in Pakistan: An ARDL Approach
Q Z Malik
CIIT, Sahiwal
Date Posted: February 19, 2016
Working Paper Series

Incl. Electronic Paper Cross-Section Versus Time-Series Tests of Asset Pricing Models
Fama-Miller Working Paper
Eugene F. Fama
University of Chicago - Finance
Date Posted: November 03, 2015
Working Paper Series
998 downloads

Incl. Electronic Paper Climate Change and Long-Run Discount Rates: Evidence from Real Estate
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Andreas Weber
University of Chicago - Booth School of Business, Harvard University, New York University (NYU) and New York University (NYU), Leonard N. Stern School of Business, Students
Date Posted: August 05, 2015
Last Revised: January 20, 2017
Working Paper Series
548 downloads

Incl. Electronic Paper Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns
Marshall School of Business Working Paper No. FBE 01.16
Tom Chang, Samuel M. Hartzmark, David H. Solomon and Eugene F. Soltes
University of Southern California - Marshall School of Business - Finance and Business Economics Department, University of Chicago - Booth School of Business, University of Southern California - Marshall School of Business and Harvard Business School
Date Posted: June 29, 2014
Last Revised: January 20, 2017
Working Paper Series
1190 downloads

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: June 26, 2016
Working Paper Series
2159 downloads

Incl. Electronic Paper Tail Risk and Asset Prices
Chicago Booth Research Paper No. 13-67
Bryan T. Kelly and Hao Jiang
University of Chicago - Booth School of Business and Erasmus University Rotterdam (EUR)
Date Posted: September 05, 2013
Last Revised: January 11, 2014
Working Paper Series
1391 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
2901 downloads

Incl. Electronic Paper Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion
Chicago Booth Research Paper No. 15-29, Fama-Miller Working Paper
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
Last Revised: October 09, 2015
Working Paper Series
145 downloads

Incl. Electronic Paper A Five-Factor Asset Pricing Model
Fama-Miller Working Paper
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Tuck School of Business at Dartmouth
Date Posted: June 30, 2013
Last Revised: September 23, 2014
Working Paper Series
34746 downloads

Incl. Electronic Paper Finance: Function Matters, Not Size
John H. Cochrane
Hoover Institution
Date Posted: April 03, 2013
Working Paper Series
211 downloads

Incl. Electronic Paper A Mean-Variance Benchmark for Intertemporal Portfolio Theory
Journal of Finance, Forthcoming
John H. Cochrane
Hoover Institution
Date Posted: January 24, 2013
Accepted Paper Series
237 downloads

Incl. Electronic Paper Money Doctors
Chicago Booth Research Paper No. 12-39, Fama-Miller Working Paper
Nicola Gennaioli, Andrei Shleifer and Robert W. Vishny
Bocconi University - Department of Finance, Harvard University - Department of Economics and University of Chicago - Booth School of Business
Date Posted: August 21, 2012
Working Paper Series
192 downloads

Incl. Electronic Paper Decomposing value
Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-18
Joseph J. Gerakos and Juhani T. Linnainmaa
Tuck School of Business at Dartmouth College and USC Marshall School of Business
Date Posted: June 13, 2012
Last Revised: December 24, 2016
Working Paper Series
1731 downloads

Incl. Electronic Paper Tail Risk and Hedge Fund Returns
Chicago Booth Research Paper No. 12-44, Fama-Miller Working Paper
Bryan T. Kelly and Hao Jiang
University of Chicago - Booth School of Business and Michigan State University
Date Posted: May 31, 2012
Last Revised: November 20, 2012
Working Paper Series
1954 downloads

Incl. Electronic Paper Political Uncertainty and Risk Premia
Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-39
Lubos Pastor and Pietro Veronesi
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: October 06, 2011
Last Revised: March 07, 2014
Working Paper Series
251 downloads

Incl. Electronic Paper Equity Yields
Chicago Booth Research Paper No. 11-33, Fama-Miller Working Paper
Jules H. van Binsbergen, Wouter Hueskes, Ralph S. J. Koijen and Evert B. Vrugt
University of Pennsylvania - The Wharton School, APG Asset Management, New York University (NYU) - Department of Finance and VU University Amsterdam, PGO-IM
Date Posted: September 08, 2011
Last Revised: September 15, 2013
Working Paper Series
334 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
1659 downloads

Incl. Electronic Paper Market Sentiment: A Tragedy of the Commons
Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-07
Tarek A. Hassan and Thomas M. Mertens
University of Chicago - Booth School of Business and Federal Reserve Bank of San Francisco
Date Posted: December 19, 2010
Last Revised: July 29, 2011
Working Paper Series
723 downloads

Incl. Electronic Paper 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
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Tuck School of Business at Dartmouth
Date Posted: December 05, 2010
Last Revised: June 23, 2011
Working Paper Series
10185 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
235 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
2019 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
Hoover Institution
Date Posted: June 02, 2010
Last Revised: September 06, 2012
Working Paper Series
543 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, New York University (NYU) - Department of Finance and Federal Reserve Bank of Atlanta - Research Department
Date Posted: March 15, 2010
Last Revised: September 15, 2013
Working Paper Series
886 downloads

Incl. Electronic Paper Do Unexpected Land Auction Outcomes Bring New Information to the Real Estate Market?
Journal of Real Estate Finance and Economics, Vol. 40, No. 4, 2010
K.W. Chau, Siu Kei Wong, Chung Yim Edward Yiu, K. S. Maurice Tse and Frederik Pretorius
The University of Hong Kong - Ronald Coase Centre for Property Rights Research, University of Hong Kong, Chinese University of Hong Kong - Department of Geography and Resource Management, The University of Hong Kong - School of Economics and Finance and The University of Hong Kong - Department of Real Estate and Construction
Date Posted: February 26, 2010
Last Revised: December 26, 2012
Accepted Paper Series
135 downloads

Incl. Electronic Paper Wealth Creation: Powerpoint Presentation of the Firms' Competitive Life-Cycle Framework
Bartley J. Madden
DePaul University - Center for Strategy, Execution and Valuation
Date Posted: February 23, 2010
Last Revised: March 14, 2010
Working Paper Series
779 downloads

Incl. Electronic Paper Lack of Anonymity and the Inference from Order Flow
CRSP Working Paper, Johnson School Research Paper Series No. 02-2010, Chicago Booth Research Paper No. 10-03, EFA 2011 Stockholm Meetings Paper
Juhani T. Linnainmaa and Gideon Saar
USC Marshall School of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: January 28, 2010
Last Revised: October 17, 2011
Working Paper Series
409 downloads

Incl. Electronic Paper Where Does the Information in Mark-to-Market Come From?
Chicago Booth Research Paper #10-06
Alexander Bleck and Pingyang Gao
University of British Columbia - Sauder School of Business and University of Chicago - Booth School of Business
Date Posted: November 18, 2009
Last Revised: December 10, 2016
Working Paper Series
737 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
New York University (NYU) - Department of Finance
Date Posted: March 23, 2009
Last Revised: October 17, 2012
Working Paper Series
2176 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
871 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
New York University (NYU) - Department of Finance, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Date Posted: February 11, 2009
Last Revised: February 03, 2016
Working Paper Series
3138 downloads

Incl. Electronic Paper Analyzing the Time-Varying Stock Market Risk-Return Relation
C. N. V. Krishnan and Ralitsa Petkova
Case Western Reserve University - Department of Banking & Finance and Case Western Reserve University - Department of Banking & Finance
Date Posted: January 02, 2009
Last Revised: June 21, 2011
Working Paper Series
332 downloads

Incl. Electronic Paper Country Size, Currency Unions, and International Asset Returns
Journal of Finance, Forthcoming, AFA 2011 Denver Meetings Paper
Tarek A. Hassan
University of Chicago - Booth School of Business
Date Posted: November 26, 2008
Last Revised: January 11, 2013
Accepted Paper Series
1337 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, Concordia 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
161 downloads

Incl. Electronic Paper Using Economic Theory to Build Optimal Portfolios
Thomas Chevrier and Robert E. McCulloch
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: April 30, 2008
Working Paper Series
1131 downloads

Incl. Electronic Paper The Social Cost of Near-Rational Investment
AFA 2012 Chicago Meetings Paper
Tarek A. Hassan and Thomas M. Mertens
University of Chicago - Booth School of Business and Federal Reserve Bank of San Francisco
Date Posted: March 18, 2008
Last Revised: July 31, 2016
Working Paper Series
461 downloads

Incl. Electronic Paper Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-23
George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis
University of Chicago - Booth School of Business, Concordia University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business
Date Posted: March 18, 2008
Last Revised: July 27, 2011
Working Paper Series
348 downloads

Incl. Electronic Paper Asset Pricing Tests with Long Run Risks in Consumption Growth
Fama-Miller Working Paper , Chicago Booth Working Paper 11-25
George M. Constantinides and Anisha Ghosh
University of Chicago - Booth School of Business and Carnegie Mellon University
Date Posted: March 16, 2008
Last Revised: July 27, 2011
Working Paper Series
365 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
397 downloads

Incl. Electronic Paper Predictive Systems: Living with Imperfect Predictors
CRSP Working Paper No. 617, EFA 2007 Ljubljana Meetings Paper
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Date Posted: February 19, 2007
Last Revised: December 13, 2011
Working Paper Series
2709 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
623 downloads

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

A Cross-Sectional Test of an Investment-Based Asset Pricing Model
J. OF POLITICAL ECONOMY, Vol. 104 No. 3, June 1996
John H. Cochrane
Hoover Institution
Date Posted: September 25, 1996
Accepted Paper Series