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Chicago Booth Fama-Miller: Asset Pricing (Topic)

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Viewing: 1 - 50 of 54 papers

1.

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 37,835
2.

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 10,815
3.

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 3,316
4.

Scale and Skill in Active Management

Number of pages: 51 Posted: 01 Sep 2013 Last Revised: 01 Aug 2014
Working 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 5 versions of this paper

Downloads 3,069
5.

Predictive Systems: Living with Imperfect Predictors

CRSP Working Paper No. 617, EFA 2007 Ljubljana Meetings Paper
Number of pages: 51 Posted: 19 Feb 2007 Last Revised: 13 Dec 2011
Working Paper Series
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

Multiple version iconThere are 4 versions of this paper

Downloads 2,747
6.

The Price of Political Uncertainty: Theory and Evidence from the Option Market

Fama-Miller Working Paper
Number of pages: 69 Posted: 19 Nov 2013 Last Revised: 26 Jun 2016
Working Paper Series
University of Chicago - Booth School of Business, 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 2,366
7.

The Cross-section of Managerial Ability, Incentives, and Risk Preferences

EFA 2008 Athens Meetings Paper, AFA 2009 San Francisco Meetings Paper
Number of pages: 88 Posted: 23 Mar 2009 Last Revised: 17 Oct 2012
Working Paper Series
New York University (NYU) - Department of Finance
Downloads 2,230
8.

Uncertainty about Government Policy and Stock Prices

Chicago Booth Research Paper No. 10-25, Fama-Miller Working Paper Series
Number of pages: 54 Posted: 16 Jun 2010 Last Revised: 06 Sep 2012
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 2,101
9.

Political Uncertainty and Risk Premia

Number of pages: 58 Posted: 24 Sep 2011 Last Revised: 09 May 2017
Working Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 5 versions of this paper

Downloads 2,080
10.

Tail Risk and Hedge Fund Returns

Chicago Booth Research Paper No. 12-44, Fama-Miller Working Paper
Number of pages: 42 Posted: 31 May 2012 Last Revised: 20 Nov 2012
Working Paper Series
University of Chicago - Booth School of Business and Michigan State University
Downloads 2,031
11.

Decomposing value

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-18
Number of pages: 44 Posted: 13 Jun 2012 Last Revised: 24 Dec 2016
Working Paper Series
Tuck School of Business at Dartmouth College and USC Marshall School of Business
Downloads 1,848
12.

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
Number of pages: 52 Posted: 02 Feb 2011 Last Revised: 11 Sep 2012
Working Paper Series
University of Chicago - Booth School of Business and Arizona State University (ASU) - Finance Department
Downloads 1,686
13.

Tail Risk and Asset Prices

Chicago Booth Research Paper No. 13-67
Number of pages: 55 Posted: 05 Sep 2013 Last Revised: 11 Jan 2014
Working Paper Series
University of Chicago - Booth School of Business and Erasmus University Rotterdam (EUR)

Multiple version iconThere are 2 versions of this paper

Downloads 1,433
14.

Cross-Section Versus Time-Series Tests of Asset Pricing Models

Fama-Miller Working Paper
Number of pages: 11 Posted: 03 Nov 2015
Working Paper Series
University of Chicago - Finance
Downloads 1,367
15.

Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns

Marshall School of Business Working Paper No. FBE 01.16
Number of pages: 66 Posted: 29 Jun 2014 Last Revised: 20 Jan 2017
Working Paper Series
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
Downloads 1,351
16.

Country Size, Currency Unions, and International Asset Returns

Journal of Finance, Forthcoming, AFA 2011 Denver Meetings Paper
Number of pages: 73 Posted: 26 Nov 2008 Last Revised: 11 Jan 2013
Accepted Paper Series
University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 1,343
17.

Using Economic Theory to Build Optimal Portfolios

Number of pages: 39 Posted: 30 Apr 2008
Working Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1,159
18.

Rise of Factor Investing: Asset Prices, Informational Efficiency, and Security Design

29th Australasian Finance and Banking Conference 2016
Number of pages: 57 Posted: 29 Jun 2016 Last Revised: 10 May 2017
Working Paper Series
University of Chicago Booth School of Business and University of Chicago
Downloads 1,037
19.

The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences

PIER Working Paper No. 10-011
Number of pages: 50 Posted: 15 Mar 2010 Last Revised: 15 Sep 2013
Working Paper Series
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

Multiple version iconThere are 3 versions of this paper

Downloads 914
20.

Portfolio Selection and Asset Pricing Models

Journal of Finance, forthcoming.
Number of pages: 49 Posted: 13 Feb 2009
Working Paper Series
University of Chicago - Booth School of Business
Downloads 899
21.

Where Does the Information in Mark-to-Market Come From?

Chicago Booth Research Paper #10-06
Number of pages: 42 Posted: 18 Nov 2009 Last Revised: 10 Dec 2016
Working Paper Series
University of British Columbia - Sauder School of Business and University of Chicago - Booth School of Business
Downloads 849
22.

Wealth Creation: Powerpoint Presentation of the Firms' Competitive Life-Cycle Framework

Number of pages: 42 Posted: 23 Feb 2010 Last Revised: 14 Mar 2010
Working Paper Series
DePaul University - Center for Strategy, Execution and Valuation
Downloads 790
23.

Taming the Factor Zoo

Number of pages: 56 Posted: 20 Mar 2017 Last Revised: 05 Apr 2017
Working Paper Series
City University of Hong Kong - College of Business, Yale School of Management and University of Chicago - Booth School of Business
Downloads 778
24.

Market Sentiment: A Tragedy of the Commons

Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-07
Number of pages: 6 Posted: 19 Dec 2010 Last Revised: 29 Jul 2011
Working Paper Series
University of Chicago - Booth School of Business and Federal Reserve Bank of San Francisco
Downloads 742
25.

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

Chicago Booth Research Paper No. 17-03
Number of pages: 44 Posted: 01 Mar 2017 Last Revised: 08 Mar 2017
Working Paper Series
University of Chicago - Accounting, Tuck School of Business at Dartmouth College, USC Marshall School of Business and University of Chicago Booth School of Business
Downloads 707
26.

Climate Change and Long-Run Discount Rates: Evidence from Real Estate

Chicago Booth Research Paper No. 17-22
Number of pages: 81 Posted: 05 Aug 2015 Last Revised: 22 Jul 2017
Working Paper Series
Yale School of Management, Harvard University, New York University (NYU) and New York University (NYU) - Leonard N. Stern School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 695
27.

A Fundamentally Different Interpretation of the Relation Between Implied and Realized Volatility

Number of pages: 47 Posted: 02 Mar 2002
Working Paper Series
Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics
Downloads 625
28.

Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic

Chicago Booth Research Paper No. 10-28, CRSP Working Paper Forthcoming
Number of pages: 43 Posted: 02 Jun 2010 Last Revised: 06 Sep 2012
Working Paper Series
Hoover Institution

Multiple version iconThere are 2 versions of this paper

Downloads 553
29.

The Social Cost of Near-Rational Investment

AFA 2012 Chicago Meetings Paper
Number of pages: 83 Posted: 18 Mar 2008 Last Revised: 31 Jul 2016
Working Paper Series
University of Chicago - Booth School of Business and Federal Reserve Bank of San Francisco

Multiple version iconThere are 3 versions of this paper

Downloads 488
30.

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
Number of pages: 59 Posted: 28 Jan 2010 Last Revised: 17 Oct 2011
Working Paper Series
USC Marshall School of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 410
31.

Conditional Risk Premia in Currency Markets and Other Asset Classes

Journal of Financial Economics (JFE), Vol. 114, No. 2, 2014
Number of pages: 66 Posted: 06 Mar 2013 Last Revised: 10 May 2017
Accepted Paper Series
University of California - Haas School of Business, Harvard University and University of Chicago - Finance

Multiple version iconThere are 3 versions of this paper

Downloads 408
32.

Understanding Trust

CRSP Working Paper No. 621
Number of pages: 32 Posted: 04 Sep 2007
Working Paper Series
Northwestern University - Kellogg School of Management - Department of Finance, Universidad Carlos III de Madrid and University of Chicago - Booth School of Business

Multiple version iconThere are 5 versions of this paper

Downloads 403
33.

Asset Pricing Tests with Long Run Risks in Consumption Growth

Fama-Miller Working Paper , Chicago Booth Working Paper 11-25
Number of pages: 76 Posted: 16 Mar 2008 Last Revised: 27 Jul 2011
Working Paper Series
University of Chicago - Booth School of Business and Carnegie Mellon University

Multiple version iconThere are 2 versions of this paper

Downloads 368
34.

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-23
Number of pages: 56 Posted: 18 Mar 2008 Last Revised: 27 Jul 2011
Working Paper Series
University of Chicago - Booth School of Business, Concordia University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 356
35.

American Option Valuation: Implied Calibration of GARCH Pricing-Models

Journal of Futures Markets, Vol. 31, No. 10, 2011
Number of pages: 36 Posted: 09 Sep 2009 Last Revised: 10 May 2017
Accepted Paper Series
University of Chicago - Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 344
36.

Equity Yields

Chicago Booth Research Paper No. 11-33, Fama-Miller Working Paper
Number of pages: 51 Posted: 08 Sep 2011 Last Revised: 15 Sep 2013
Working Paper Series
University of Pennsylvania - The Wharton School, APG Asset Management, New York University (NYU) - Department of Finance and VU University Amsterdam, PGO-IM

Multiple version iconThere are 3 versions of this paper

Downloads 340
37.

Analyzing the Time-Varying Stock Market Risk-Return Relation

Number of pages: 34 Posted: 02 Jan 2009 Last Revised: 21 Jun 2011
Working Paper Series
Case Western Reserve University - Department of Banking & Finance and Case Western Reserve University - Department of Banking & Finance
Downloads 335
38.

Income Inequality and Asset Prices Under Redistributive Taxation

Number of pages: 39 Posted: 17 Oct 2015 Last Revised: 09 May 2017
Working Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 5 versions of this paper

Downloads 320
39.

Inference on Risk Premia in the Presence of Omitted Factors

Chicago Booth Research Paper No. 16-21
Number of pages: 53 Posted: 08 Nov 2016 Last Revised: 20 May 2017
Working Paper Series
Yale School of Management and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 280
40.

Political Uncertainty and Risk Premia

Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-39
Number of pages: 58 Posted: 06 Oct 2011 Last Revised: 07 Mar 2014
Working Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 5 versions of this paper

Downloads 257
41.

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
University of Notre Dame - Department of Finance and University of Chicago - Finance

Multiple version iconThere are 3 versions of this paper

Downloads 251
42.

A Mean-Variance Benchmark for Intertemporal Portfolio Theory

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 24 Jan 2013
Accepted Paper Series
Hoover Institution

Multiple version iconThere are 2 versions of this paper

Downloads 244
43.

The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth

CRSP Working Paper Forthcoming, Chicago Booth Research Paper No. 10-26
Number of pages: 42 Posted: 06 Jul 2010 Last Revised: 06 Sep 2012
Accepted Paper Series
Carnegie Mellon University and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 240
44.

Finance: Function Matters, Not Size

Number of pages: 26 Posted: 03 Apr 2013
Working Paper Series
Hoover Institution

Multiple version iconThere are 2 versions of this paper

Downloads 225
45.

Money Doctors

Chicago Booth Research Paper No. 12-39, Fama-Miller Working Paper
Number of pages: 41 Posted: 21 Aug 2012
Working Paper Series
Bocconi University - Department of Finance, Harvard University - Department of Economics and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 192
46.

Are Options on Index Futures Profitable for Risk Averse Investors‘ Empirical Evidence

Number of pages: 73 Posted: 14 Oct 2008 Last Revised: 26 Jul 2010
Working Paper Series
University of Chicago - Booth School of Business, Concordia University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 168
47.

Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion

Chicago Booth Research Paper No. 15-29, Fama-Miller Working Paper
Number of pages: 69 Posted: 20 Aug 2013 Last Revised: 09 Oct 2015
Working Paper Series
University of California, Berkeley - Haas School of Business, University of Chicago - Booth School of Business and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 156
48.

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
Number of pages: 28 Posted: 26 Feb 2010 Last Revised: 26 Dec 2012
Accepted Paper Series
The University of Hong Kong - Ronald Coase Centre for Property Rights Research - Economics, 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
Downloads 137
49.

Nominal Rigidities and Asset Pricing

Number of pages: 95 Posted: 12 Aug 2014 Last Revised: 10 May 2017
Working Paper Series
University of Chicago - Finance

Multiple version iconThere are 2 versions of this paper

Downloads 118
50.

What Information Drives Asset Prices?

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

Multiple version iconThere are 2 versions of this paper

Downloads 26