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SSRN eLibrary Search Results
Chicago Booth Fama-Miller: Capital Markets (Topic)
73,319 Total downloads
Showing Papers 1 - 45 of 45
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Long-Horizon ReturnsChicago Booth Research Paper No. 17-17 Eugene F. Fama and Kenneth R. French University of Chicago - Finance and Tuck School of Business at Dartmouth Date Posted: May 24, 2017 Working Paper Series 99 downloads
Flexible Prices and LeverageCESifo Working Paper Series No. 6317 Francesco D'Acunto, Ryan Liu, Carolin E. Pflueger and Michael Weber 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 Date Posted: February 28, 2017 Working Paper Series 42 downloads
Financial Market Frictions and DiversificationGregor Matvos, Amit Seru and Rui Silva University of Chicago - Booth School of Business, Stanford University and London Business School - Department of Finance Date Posted: October 24, 2016 Last Revised: May 09, 2017 Working Paper Series 179 downloads
Cash Flow Duration and the Term Structure of Equity ReturnsMichael Weber University of Chicago - Finance Date Posted: October 27, 2015 Last Revised: May 10, 2017 Working Paper Series 268 downloads
The Price of Political Uncertainty: Theory and Evidence from the Option MarketFama-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 2285 downloads
Resolution of Policy Uncertainty and Sudden Declines in VolatilityChicago Booth Research Paper No. 13-78, Fama-Miller Working Paper Dante Amengual and Dacheng Xiu Centre for Monetary and Financial Studies (CEMFI) and University of Chicago - Booth School of Business Date Posted: November 02, 2013 Last Revised: February 13, 2017 Working Paper Series 228 downloads
Scale and Skill in Active ManagementLubos 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 2990 downloads
Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and ContagionChicago 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 154 downloads
Performance Evaluation of Chinese Actively Managed Stock Mutual FundsChicago Booth Research Paper No. 13-55, Fama-Miller Working Paper Yeguang Chi Shanghai Jiaotong University (SJTU) - Shanghai Advanced Institute of Finance Date Posted: May 23, 2013 Last Revised: August 08, 2013 Working Paper Series 402 downloads
Finance: Function Matters, Not SizeJohn H. Cochrane Hoover Institution Date Posted: April 03, 2013 Working Paper Series 222 downloads
The Role of the Media in Disseminating Insider-Trading NewsReview of Accounting Studies, Forthcoming, Chicago Booth Research Paper No. 13-34, Fama-Miller Working Paper 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 Date Posted: March 19, 2013 Last Revised: March 01, 2016 Working Paper Series 902 downloads
Are Sticky Prices Costly? Evidence from the Stock MarketAmerican Economic Review, Vol. 106, No. 1, 2016 Yuriy Gorodnichenko and Michael Weber University of California, Berkeley - Department of Economics and University of Chicago - Finance Date Posted: March 06, 2013 Last Revised: May 10, 2017 Accepted Paper Series 102 downloads
Firm Volatility in Granular NetworksFama-Miller Working Paper, Chicago Booth Research Paper No. 12-56 Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance Date Posted: December 07, 2012 Last Revised: October 15, 2013 Working Paper Series 1360 downloads
Hard TimesChicago Booth Research Paper No. 12-46, Fama-Miller Working Paper John Y. Campbell, Stefano Giglio and Christopher Polk Harvard University - Department of Economics, University of Chicago - Booth School of Business and London School of Economics Date Posted: September 13, 2012 Working Paper Series 172 downloads
Endogenous Liquidity and Defaultable BondsChicago Booth Research Paper No. 12-32, Fama-Miller Working Paper Zhiguo He and Konstantin Milbradt University of Chicago - Booth School of Business, and NBER and Northwestern University - Kellogg School of Management - Department of Finance Date Posted: August 21, 2012 Last Revised: April 10, 2013 Working Paper Series 160 downloads
Does the Fed Control Interest Rates?The Review of Asset Pricing Studies, Forthcoming, Chicago Booth Research Paper No. 12-23, Fama-Miller Working Paper Eugene F. Fama University of Chicago - Finance Date Posted: August 05, 2012 Last Revised: July 02, 2013 Accepted Paper Series 4042 downloads
The Cost of Financial Frictions for Life InsurersAmerican Economic Review, Vol. 105, No. 1, 2015, Chicago Booth Research Paper No. 12-30, Fama-Miller Working Paper Ralph S. J. Koijen and Motohiro Yogo New York University (NYU) - Department of Finance and Princeton University - Department of Economics Date Posted: March 31, 2012 Last Revised: November 13, 2014 Accepted Paper Series 1125 downloads
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 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 Date Posted: September 23, 2011 Last Revised: July 30, 2013 Accepted Paper Series 8211 downloads
The Three-Pass Regression Filter: A New Approach to Forecasting Using Many PredictorsFama-Miller Working Paper, Chicago Booth Research Paper No. 11-19 Bryan T. Kelly and Seth Pruitt University of Chicago - Booth School of Business and Arizona State University (ASU) - Finance Department Date Posted: June 22, 2011 Last Revised: July 22, 2014 Working Paper Series 2030 downloads
Market Expectations in the Cross Section of Present ValuesJournal 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 1676 downloads
The Predictability of Returns with Regime Shifts in Consumption and Dividend GrowthCRSP 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 239 downloads
Uncertainty about Government Policy and Stock PricesChicago 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 2059 downloads
Understanding Policy in the Great Recession: Some Unpleasant Fiscal ArithmeticChicago 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 548 downloads
Reverse Survivorship BiasJournal of Finance, Forthcoming, Western Finance Association 2010 Conference, CRSP Working Paper, Chicago Booth Research Paper No. 10-17 Juhani T. Linnainmaa USC Marshall School of Business Date Posted: April 12, 2010 Last Revised: November 17, 2011 Accepted Paper Series 469 downloads
The Term Structure of Interest Rates in a DSGE Model with Recursive PreferencesPIER 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 898 downloads
A New Capital Regulation for Large Financial InstitutionsChicago Booth Research Paper No. 09-36 Oliver Hart and Luigi Zingales Harvard University - Department of Economics and University of Chicago - Booth School of Business Date Posted: October 02, 2009 Working Paper Series 396 downloads
IQ and Stock Market ParticipationAEA 2010 Atlanta Meetings Paper, CRSP Working Paper, Western Finance Association 2010 Meetings Paper, Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 09-27 Mark Grinblatt, Matti Keloharju and Juhani T. Linnainmaa University of California, Los Angeles (UCLA) - Finance Area, Aalto University - School of Business and USC Marshall School of Business Date Posted: August 02, 2009 Last Revised: January 23, 2011 Accepted Paper Series 2949 downloads
The Cross-section of Managerial Ability, Incentives, and Risk PreferencesEFA 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 2214 downloads
Luck Versus Skill in the Cross Section of Mutual Fund ReturnsTuck School of Business Working Paper No. 2009-56 , Chicago Booth School of Business Research Paper, Journal of Finance, Forthcoming Eugene F. Fama and Kenneth R. French University of Chicago - Finance and Tuck School of Business at Dartmouth Date Posted: March 10, 2009 Last Revised: February 08, 2010 Accepted Paper Series 20862 downloads
Dynamic EquicorrelationNYU Working Paper No. FIN-08-038, Chicago Booth Research Paper No. 12-07, Fama-Miller Working Paper Robert F. Engle and Bryan T. Kelly New York University - Leonard N. Stern School of Business - Department of Economics and University of Chicago - Booth School of Business Date Posted: March 09, 2009 Last Revised: November 10, 2015 Working Paper Series 1049 downloads
Portfolio Selection and Asset Pricing ModelsJournal of Finance, forthcoming. Lubos Pastor University of Chicago - Booth School of Business Date Posted: February 13, 2009 Working Paper Series 889 downloads
The Cross-Section and Time-Series of Stock and Bond ReturnsJournal of Monetary Economics, Forthcoming, 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: May 04, 2017 Working Paper Series 3239 downloads
Learning in Financial MarketsLearning in Financial Markets, Forthcoming, Chicago Booth School of Business Research Paper No. 08-28 Lubos Pastor and Pietro Veronesi University of Chicago - Booth School of Business and University of Chicago - Booth School of Business Date Posted: January 08, 2009 Accepted Paper Series 3806 downloads
Are Options on Index Futures Profitable for Risk Averse Investors‘ Empirical EvidenceGeorge 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 165 downloads
Understanding TrustCRSP 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 401 downloads
Diversification and Persistence in Hedge FundsCraig W. French, Damian B. Ko and David Abuaf Portfolio Engineering Laboratory, Corbin Capital Partners, L.P. and University of Chicago - Booth School of Business Date Posted: November 21, 2005 Working Paper Series 851 downloads
Comparisons of Alternative Quasi-Monte Carlo Sequences for American Option PricingJennifer X.F. Jiang and John R. Birge Northwestern University - Department of Industrial Engineering and Management Sciences and University of Chicago - Booth School of Business Date Posted: December 29, 2004 Working Paper Series 565 downloads
Inflation and Earnings Uncertainty and Volatility Forecasts: A Structural Form ApproachChicago GSB Research Paper, University of Calgary Haskyane School of Business Working Paper Alexander David and Pietro Veronesi University of Calgary - Haskayne School of Business and University of Chicago - Booth School of Business Date Posted: February 27, 2004 Last Revised: March 20, 2009 Working Paper Series 767 downloads
An Evaluation of the Reliability of Accounting Based Measures of Expected Returns: A Measurement Error PerspectiveUniversity of Notre Dame and INSEAD Working Paper Peter D. Easton and Steven J. Monahan University of Notre Dame - Department of Accountancy and INSEAD Date Posted: September 15, 2003 Working Paper Series 1318 downloads
A Fundamentally Different Interpretation of the Relation Between Implied and Realized VolatilityFederico M. Bandi and Benoit Perron Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics Date Posted: March 02, 2002 Working Paper Series 625 downloads
Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat TailsBoston College Finance Dept. Working Paper 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 Date Posted: July 16, 2001 Working Paper Series 959 downloads
Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple SecuritiesCRSP Working Paper No. 495 George M. Constantinides and Thaleia Zariphopoulou University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business Date Posted: April 26, 2000 Working Paper Series 319 downloads
An Analysis of Risk and Pricing AnomaliesCRSP Working Paper No. 500 Tobias J. Moskowitz Yale University, Yale SOM Date Posted: March 15, 2000 Working Paper Series 1083 downloads 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 George M. Constantinides and Thaleia Zariphopoulou University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business Date Posted: August 17, 1999 Accepted Paper Series 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 |
