SSRN Chicago Booth Fama-Miller: Capital Markets (Topic)

1.

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 2,376

2.

Flexible Prices and Leverage

CESifo Working Paper Series No. 6317

Number of pages: 77 Posted: 28 Feb 2017

Working Paper Series

Francesco D'Acunto, Ryan Liu, Carolin E. Pflueger and Michael Weber

Boston College, University of California, Berkeley, University of Chicago - Harris School of Public Policy and University of Chicago - Finance

There are 4 versions of this paper

Downloads 85

3.

Policy Uncertainty and Innovation: Evidence from IPO Interventions in China

Chicago Booth Research Paper No. 146

Number of pages: 57 Posted: 06 Feb 2017 Last Revised: 05 Oct 2020

Working Paper Series

Lin William Cong and Sabrina T Howell

Cornell University - Samuel Curtis Johnson Graduate School of Management and New York University (NYU) - Leonard N. Stern School of Business

There are 2 versions of this paper

Downloads 858

4.

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 NOVA School of Business and Economics

Downloads 599

5.

Who Bears the Cost of Recessions? The Role of House Prices and Household Debt

NBER Working Paper No. w22256

Number of pages: 60 Posted: 24 May 2016 Last Revised: 02 Mar 2018

Working Paper Series

Atif R. Mian and Amir Sufi

Princeton University - Department of Economics and University of Chicago - Booth School of Business

Downloads 36

6.

Cash Flow Duration and the Term Structure of Equity Returns

Number of pages: 79 Posted: 27 Oct 2015 Last Revised: 12 Mar 2018

Working Paper Series

Michael Weber

University of Chicago - Finance

There are 4 versions of this paper

Downloads 530

7.

Not So Disconnected: Exchange Rates and the Capital Stock

Sloan Foundation Economics Research Paper Forthcoming, Fama-Miller Working Paper

Number of pages: 55 Posted: 30 May 2015 Last Revised: 02 Mar 2018

Accepted Paper Series

Tarek A. Hassan, Thomas M. Mertens and Tony Zhang

Boston University, Federal Reserve Bank of San Francisco and Board of Governors of the Federal Reserve System

There are 2 versions of this paper

Downloads 188

8.

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

Bryan T. Kelly, Lubos Pastor and Pietro Veronesi

Yale SOM, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

There are 4 versions of this paper

Downloads 2,956

9.

Resolution of Policy Uncertainty and Sudden Declines in Volatility

Chicago Booth Research Paper No. 13-78, Fama-Miller Working Paper

Number of pages: 56 Posted: 02 Nov 2013 Last Revised: 22 Aug 2017

Working Paper Series

Dante Amengual and Dacheng Xiu

Centre for Monetary and Financial Studies (CEMFI) and University of Chicago - Booth School of Business

Downloads 316

10.

Regulating Consumer Financial Products: Evidence from Credit Cards

NBER Working Paper No. w19484

Number of pages: 70 Posted: 28 Sep 2013 Last Revised: 02 Mar 2018

Working Paper Series

Sumit Agarwal, Souphala Chomsisengphet, Neale Mahoney and Johannes Stroebel

National University of Singapore, Office of the Comptroller of the Currency (OCC), University of Chicago Booth School of Business and New York University (NYU) - Leonard N. Stern School of Business

There are 2 versions of this paper

Downloads 53

11.

Scale and Skill in Active Management

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 51 Posted: 01 Sep 2013 Last Revised: 11 Aug 2020

Working Paper Series

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

There are 5 versions of this paper

Downloads 3,684

12.

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

Nicolae Garleanu, Stavros Panageas and Jianfeng Yu

University of California, Berkeley - Haas School of Business, University of California, Los Angeles (UCLA) - Finance Area and Tsinghua University - PBC School of Finance

There are 2 versions of this paper

Downloads 199

13.

Performance Evaluation of Chinese Actively Managed Stock Mutual Funds

Chicago Booth Research Paper No. 13-55, Fama-Miller Working Paper

Number of pages: 46 Posted: 23 May 2013 Last Revised: 08 Aug 2013

Working Paper Series

Yeguang Chi

Shanghai Jiaotong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Downloads 562

14.

Finance: Function Matters, Not Size

Number of pages: 26 Posted: 03 Apr 2013

Working Paper Series

John H. Cochrane

Hoover Institution

There are 2 versions of this paper

Downloads 259

15.

The Role of the Media in Disseminating Insider-Trading News

Review of Accounting Studies, Forthcoming, Chicago Booth Research Paper No. 13-34, Fama-Miller Working Paper

Number of pages: 43 Posted: 19 Mar 2013 Last Revised: 01 Mar 2016

Working Paper Series

Jonathan L. Rogers, Douglas J. Skinner and Sarah L. C. Zechman

University of Colorado at Boulder - Leeds School of Business, The University of Chicago - Booth School of Business and University of Colorado at Boulder - Leeds School of Business

Downloads 1,087

16.

Are Sticky Prices Costly? Evidence from the Stock Market

American Economic Review, Vol. 106, No. 1, 2016

Number of pages: 42 Posted: 06 Mar 2013 Last Revised: 10 May 2017

Accepted Paper Series

Yuriy Gorodnichenko and Michael Weber

University of California, Berkeley - Department of Economics and University of Chicago - Finance

There are 2 versions of this paper

Downloads 136

17.

Firm Volatility in Granular Networks

Chicago Booth Research Paper No. 12-56, Fama-Miller Working Paper

Number of pages: 69 Posted: 07 Dec 2012 Last Revised: 11 Jun 2020

Accepted Paper Series

Bernard Herskovic, Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh

University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business

There are 2 versions of this paper

Downloads 2,391

18.

Hard Times

Chicago Booth Research Paper No. 12-46, Fama-Miller Working Paper

Number of pages: 50 Posted: 13 Sep 2012

Working Paper Series

John Y. Campbell, Stefano Giglio and Christopher Polk

Harvard University - Department of Economics, Yale School of Management and London School of Economics

There are 3 versions of this paper

Downloads 187

19.

Endogenous Liquidity and Defaultable Bonds

Chicago Booth Research Paper No. 12-32, Fama-Miller Working Paper

Number of pages: 62 Posted: 21 Aug 2012 Last Revised: 22 Mar 2018

Working Paper Series

Zhiguo He and Konstantin Milbradt

University of Chicago - Finance and Northwestern University - Kellogg School of Management - Department of Finance

There are 2 versions of this paper

Downloads 182

20.

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: 6 Posted: 05 Aug 2012 Last Revised: 09 Nov 2020

Accepted Paper Series

Eugene F. Fama

University of Chicago - Finance

Downloads 4,739

21.

The Cost of Financial Frictions for Life Insurers

American Economic Review, Vol. 105, No. 1, 2015, Chicago Booth Research Paper No. 12-30, Fama-Miller Working Paper

Number of pages: 42 Posted: 31 Mar 2012 Last Revised: 13 Nov 2014

Accepted Paper Series

Ralph S. J. Koijen and Motohiro Yogo

University of Chicago - Booth School of Business and Princeton University - Department of Economics

There are 2 versions of this paper

Downloads 1,454

22.

A Tale of Two Option Markets: Pricing Kernels and Volatility Risk

Fama-Miller Working Paper, Forthcoming, Chicago Booth Research Paper No. 12-10

Number of pages: 48 Posted: 01 Mar 2012 Last Revised: 02 Oct 2017

Working Paper Series

Zhaogang Song and Dacheng Xiu

Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business

There are 2 versions of this paper

Downloads 567

23.

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

Robert S. Harris, Tim Jenkinson and Steven N. Kaplan

University of Virginia - Darden School of Business, University of Oxford - Said Business School and University of Chicago - Booth School of Business

There are 2 versions of this paper

Downloads 10,614

24.

The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-19

Number of pages: 61 Posted: 22 Jun 2011 Last Revised: 16 May 2019

Working Paper Series

Bryan T. Kelly and Seth Pruitt

Yale SOM and Arizona State University (ASU) - Finance Department

Downloads 2,733

25.

Market Expectations in the Cross Section of Present Values

Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 11-08, AFA 2013 San Diego Meetings Paper, Fama-Miller Working Paper

Number of pages: 52 Posted: 02 Feb 2011 Last Revised: 11 Sep 2012

Working Paper Series

Bryan T. Kelly and Seth Pruitt

Yale SOM and Arizona State University (ASU) - Finance Department

Downloads 1,951

26.

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

Anisha Ghosh and George M. Constantinides

McGill University and University of Chicago - Booth School of Business

There are 4 versions of this paper

Downloads 259

27.

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

Lubos Pastor and Pietro Veronesi

University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

There are 4 versions of this paper

Downloads 2,438

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

John H. Cochrane

Hoover Institution

There are 2 versions of this paper

Downloads 599

29.

Reverse Survivorship Bias

Journal of Finance, Forthcoming, Western Finance Association 2010 Conference, CRSP Working Paper, Chicago Booth Research Paper No. 10-17

Number of pages: 49 Posted: 12 Apr 2010 Last Revised: 17 Nov 2011

Accepted Paper Series

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business

Downloads 526

30.

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

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, University of Chicago - Booth School of Business and Federal Reserve Bank of Atlanta - Research Department

There are 3 versions of this paper

Downloads 1,036

31.

A New Capital Regulation for Large Financial Institutions

Chicago Booth Research Paper No. 09-36

Number of pages: 41 Posted: 02 Oct 2009

Working Paper Series

Oliver Hart and Luigi Zingales

Harvard University - Department of Economics and University of Chicago - Booth School of Business

There are 3 versions of this paper

Downloads 419

32.

IQ and Stock Market Participation

AEA 2010 Atlanta Meetings Paper, CRSP Working Paper, Western Finance Association 2010 Meetings Paper, Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 09-27

Number of pages: 56 Posted: 02 Aug 2009 Last Revised: 23 Jan 2011

Accepted Paper Series

Mark Grinblatt, Matti Keloharju and Juhani T. Linnainmaa

University of California, Los Angeles (UCLA) - Finance Area, Aalto University - School of Business and Dartmouth College - Tuck School of Business

Downloads 3,554

33.

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

Ralph S. J. Koijen

University of Chicago - Booth School of Business

Downloads 2,424

34.

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

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 23,963

35.

Dynamic Equicorrelation

NYU Working Paper No. FIN-08-038, Chicago Booth Research Paper No. 12-07, Fama-Miller Working Paper

Number of pages: 40 Posted: 09 Mar 2009 Last Revised: 10 Nov 2015

Working Paper Series

Robert F. Engle and Bryan T. Kelly

New York University (NYU) - Department of Finance and Yale SOM

Downloads 1,177

36.

Portfolio Selection and Asset Pricing Models

Journal of Finance, forthcoming.

Number of pages: 49 Posted: 13 Feb 2009

Working Paper Series

Lubos Pastor

University of Chicago - Booth School of Business

Downloads 1,053

37.

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

Journal of Monetary Economics, Forthcoming, AFA 2010 Atlanta Meetings Paper, EFA 2009 Bergen Meetings Paper

Number of pages: 65 Posted: 11 Feb 2009 Last Revised: 04 May 2017

Working Paper Series

Ralph S. J. Koijen, Hanno N. Lustig and Stijn Van Nieuwerburgh

University of Chicago - Booth School of Business, Stanford Graduate School of Business and Columbia University Graduate School of Business

There are 4 versions of this paper

Downloads 3,916

38.

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

Lubos Pastor and Pietro Veronesi

University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

There are 4 versions of this paper

Downloads 4,106

39.

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

George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis

University of Chicago - Booth School of Business, Nazarbayev University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business

There are 3 versions of this paper

Downloads 181

40.

Understanding Trust

CRSP Working Paper No. 621

Number of pages: 32 Posted: 04 Sep 2007

Working Paper Series

Paola Sapienza, Anna Toldrà-Simats 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

There are 5 versions of this paper

Downloads 430

41.

Diversification and Persistence in Hedge Funds

Number of pages: 17 Posted: 21 Nov 2005

Working Paper Series

Craig W. French, Damian B. Ko and David Abuaf

Portfolio Engineering Laboratory, Corbin Capital Partners, L.P. and University of Chicago - Booth School of Business

Downloads 886

42.

Comparisons of Alternative Quasi-Monte Carlo Sequences for American Option Pricing

Number of pages: 17 Posted: 29 Dec 2004

Working Paper Series

Jennifer X.F. Jiang and John R. Birge

Northwestern University - Department of Industrial Engineering and Management Sciences and University of Chicago - Booth School of Business

Downloads 677

43.

Inflation and Earnings Uncertainty and Volatility Forecasts: A Structural Form Approach

Chicago GSB Research Paper, University of Calgary Haskyane School of Business Working Paper

Number of pages: 55 Posted: 27 Feb 2004 Last Revised: 20 Mar 2009

Working Paper Series

Alexander David and Pietro Veronesi

Haskayne School of Business, University of Calgary and University of Chicago - Booth School of Business

Downloads 812

44.

An Evaluation of the Reliability of Accounting Based Measures of Expected Returns: A Measurement Error Perspective

University of Notre Dame and INSEAD Working Paper

Number of pages: 62 Posted: 15 Sep 2003

Working Paper Series

Peter D. Easton and Steven J. Monahan

University of Notre Dame - Department of Accountancy and University of Utah

Downloads 1,411

45.

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

Number of pages: 47 Posted: 02 Mar 2002

Working Paper Series

Federico M. Bandi and Benoit Perron

Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics

Downloads 654

46.

Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails

Boston College Finance Dept. Working Paper

Number of pages: 31 Posted: 16 Jul 2001

Working Paper Series

Eric Jacquier, Peter E. Rossi and Nick Polson

Boston University School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Chicago - Booth School of Business

Downloads 1,043

47.

Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities

Number of pages: 38 Posted: 26 Apr 2000

Working Paper Series

George M. Constantinides and Thaleia Zariphopoulou

University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business

Downloads 326

48.

An Analysis of Risk and Pricing Anomalies

Number of pages: 40 Posted: 15 Mar 2000

Working Paper Series

Tobias J. Moskowitz

Yale University, Yale SOM

Downloads 1,144

49.

Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences

Posted: 17 Aug 1999

Accepted Paper Series

George M. Constantinides and Thaleia Zariphopoulou

University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business

50.

Asset Pricing with Heterogeneous Consumers

J. OF POLITICAL ECONOMY, Vol. 104 No. 2, April 1996

Posted: 28 Jun 1998

Accepted Paper Series

George M. Constantinides and Darrell Duffie

University of Chicago - Booth School of Business and Stanford University - Graduate School of Business