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Chicago Booth Fama-Miller: Capital Markets (Topic)

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1.

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
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 22,181
2.

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

Multiple version iconThere are 2 versions of this paper

Downloads 9,217
3.

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: 31 Posted: 05 Aug 2012 Last Revised: 02 Jul 2013
Accepted Paper Series
University of Chicago - Finance
Downloads 4,352
4.

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
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 3,939
5.

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 3,577
6.

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 3,288
7.

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
University of California, Los Angeles (UCLA) - Finance Area, Aalto University - School of Business and USC Marshall School of Business
Downloads 3,053
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
Yale SOM, 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 2,617
9.

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 2,291
10.

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 2,230
11.

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: 22 Jul 2014
Working Paper Series
Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 2,216
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
Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 1,750
13.

Firm Volatility in Granular Networks

Chicago Booth Research Paper No. 12-56, Fama-Miller Working Paper
Number of pages: 47 Posted: 07 Dec 2012 Last Revised: 31 Aug 2017
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,675
14.

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
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 1,394
15.

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
University of Notre Dame - Department of Accountancy and INSEAD
Downloads 1,350
16.

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
New York University (NYU) - Department of Finance and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,237
17.

An Analysis of Risk and Pricing Anomalies

CRSP Working Paper No. 500
Number of pages: 40 Posted: 15 Mar 2000
Working Paper Series
Yale University, Yale SOM
Downloads 1,105
18.

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
New York University - Leonard N. Stern School of Business - Department of Economics and Yale SOM
Downloads 1,079
19.

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
Boston University School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Chicago - Booth School of Business
Downloads 992
20.

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
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 987
21.

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 955
22.

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 951
23.

Diversification and Persistence in Hedge Funds

Number of pages: 17 Posted: 21 Nov 2005
Working Paper Series
Portfolio Engineering Laboratory, Corbin Capital Partners, L.P. and University of Chicago - Booth School of Business
Downloads 870
24.

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
University of Calgary - Haskayne School of Business and University of Chicago - Booth School of Business
Downloads 778
25.

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 635
26.

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

Number of pages: 17 Posted: 29 Dec 2004
Working Paper Series
Northwestern University - Department of Industrial Engineering and Management Sciences and University of Chicago - Booth School of Business
Downloads 601
27.

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 570
28.

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

Multiple version iconThere are 2 versions of this paper

Downloads 537
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
USC Marshall School of Business
Downloads 488
30.

Listing Delays and Innovation: Evidence from Chinese IPOs

Chicago Booth Research Paper No. 146
Number of pages: 68 Posted: 06 Feb 2017 Last Revised: 30 Apr 2018
Working Paper Series
University of Chicago - Booth School of Business and New York University (NYU) - Leonard N. Stern School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 484
31.

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
Shanghai Jiaotong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 478
32.

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
University of Texas at Austin - Department of Finance, Stanford University and London Business School - Department of Finance
Downloads 440
33.

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 421
34.

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

Multiple version iconThere are 3 versions of this paper

Downloads 403
35.

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
University of Chicago - Finance

Multiple version iconThere are 4 versions of this paper

Downloads 337
36.

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

CRSP Working Paper No. 495
Number of pages: 38 Posted: 26 Apr 2000
Working Paper Series
University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business
Downloads 320
37.

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
Centre for Monetary and Financial Studies (CEMFI) and University of Chicago - Booth School of Business
Downloads 274
38.

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 247
39.

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 247
40.

Hard Times

Chicago Booth Research Paper No. 12-46, Fama-Miller Working Paper
Number of pages: 50 Posted: 13 Sep 2012
Working Paper Series
Harvard University - Department of Economics, Yale School of Management and London School of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 179
41.

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 174
42.

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
University of Chicago - Booth School of Business, Federal Reserve Bank of San Francisco and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 169
43.

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

Multiple version iconThere are 2 versions of this paper

Downloads 167
44.

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 167
45.

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

Multiple version iconThere are 2 versions of this paper

Downloads 123
46.

Flexible Prices and Leverage

CESifo Working Paper Series No. 6317
Number of pages: 77 Posted: 28 Feb 2017
Working Paper Series
University of Maryland - Robert H. Smith School of Business, University of California, Berkeley, University of British Columbia (UBC) - Division of Finance and University of Chicago - Finance

Multiple version iconThere are 4 versions of this paper

Downloads 68
47.

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

Multiple version iconThere are 2 versions of this paper

Downloads 28
48.

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
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 21
49.

Asset Pricing with Heterogeneous Consumers

J. OF POLITICAL ECONOMY, Vol. 104 No. 2, April 1996
Posted: 28 Jun 1998
Accepted Paper Series
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
50.

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

Finance and Stochastics, Vol. 3 Iss. 3, May 1999
Posted: 17 Aug 1999
Accepted Paper Series
University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business