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

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

Eugene F. Fama and Kenneth R. French

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

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 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

Eugene F. Fama

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

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 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

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

There 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

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 3,288

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

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

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

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 2,617

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

Ralph S. J. Koijen

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

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 2,230

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

Bryan T. Kelly and Seth Pruitt

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

Bryan T. Kelly and Seth Pruitt

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

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 New York University Stern School of Business, Department of Finance

There 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

Eugene F. Fama and Kenneth R. French

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

Peter D. Easton and Steven J. Monahan

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

Ralph S. J. Koijen and Motohiro Yogo

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

There 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

Tobias J. Moskowitz

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

Robert F. Engle and Bryan T. Kelly

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

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 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

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 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

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

There 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

Lubos Pastor

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

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 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

Alexander David and Pietro Veronesi

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

Federico M. Bandi and Benoit Perron

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

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 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

John H. Cochrane

Hoover Institution

There 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

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 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

Juhani T. Linnainmaa

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

Lin William Cong and Sabrina Howell

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 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

Yeguang Chi

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

Gregor Matvos, Amit Seru and Rui Silva

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

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

There 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

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 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

Michael Weber

University of Chicago - Finance

There 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

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 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

Dante Amengual and Dacheng Xiu

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

John H. Cochrane

Hoover Institution

There 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

Anisha Ghosh and George M. Constantinides

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

There 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

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 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

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

There 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

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

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

There 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

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 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

Nicolae Garleanu, Stavros Panageas and Jianfeng Yu

University of California, Berkeley - Haas School of Business, University of Chicago - Booth School of Business and Tsinghua University - PBC School of Finance

There 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

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 123

46.

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

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

There 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

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)

There are 2 versions of this paper