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International Center for Finance at Yale School of Management

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Viewing: 1 - 50 of 364 papers

1.

Pairs Trading: Performance of a Relative Value Arbitrage Rule

Yale ICF Working Paper No. 08-03
Number of pages: 47 Posted: 28 Dec 1998 Last Revised: 24 Jan 2008
Working Paper Series
Simon Fraser University, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 29,689
2.

Facts and Fantasies about Commodity Futures

Yale ICF Working Paper No. 04-20
Number of pages: 41 Posted: 29 Jun 2004
Working Paper Series
Yale School of Management and Yale School of Management - International Center for Finance

Multiple version iconThere are 3 versions of this paper

Downloads 26,592
3.

How Active is Your Fund Manager? A New Measure That Predicts Performance

AFA 2007 Chicago Meetings Paper, Yale ICF Working Paper No. 06-14, EFA 2007 Ljubljana Meetings Paper
Number of pages: 47 Posted: 21 Mar 2006 Last Revised: 07 May 2009
Working Paper Series
University of Notre Dame and New York University (NYU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 23,077
4.

A Review of IPO Activity, Pricing and Allocations

Yale ICF Working Paper No. 02-01
Number of pages: 45 Posted: 09 Jan 2002
Working Paper Series
University of California, Los Angeles (UCLA) and University of Florida - Department of Finance, Insurance and Real Estate

Multiple version iconThere are 3 versions of this paper

Downloads 14,316
5.

Offshore Hedge Funds: Survival & Performance 1989-1995

Yale School of Management Working Paper No. F-52B
Number of pages: 38 Posted: 27 Feb 1997
Working Paper Series
Yale School of Management - International Center for Finance, Yale School of Management and New York University - Stern School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 13,722
6.

The Fundamentals of Commodity Futures Returns

Yale ICF Working Paper No. 07-08
Number of pages: 62 Posted: 28 Jun 2007 Last Revised: 07 Feb 2012
Working Paper Series
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 13,226
7.

The Sarbanes-Oxley Act and the Making of Quack Corporate Governance

NYU, Law and Econ Research Paper 04-032; Yale Law & Econ Research Paper 297; Yale ICF Working Paper 04-37; ECGI - Finance Working Paper 52/2004
Number of pages: 234 Posted: 27 Sep 2004
Working Paper Series
Yale Law School

Multiple version iconThere are 2 versions of this paper

Downloads 12,225
8.

Hedge Funds and the Asian Currency Crisis of 1997

Yale School of Management Working Paper No. F-58
Number of pages: 30 Posted: 11 Feb 1998
Working Paper Series
Yale School of Management - International Center for Finance, New York University - Stern School of Business and PARADIGM Capital Management

Multiple version iconThere are 3 versions of this paper

Downloads 12,075
9.

The Dow Theory: William Peter Hamilton's Track Record Re-Considered

Number of pages: 46 Posted: 11 Feb 1998
Working Paper Series
New York University - Stern School of Business, University of Miami - School of Business Administration and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 11,542
10.

Securitized Banking and the Run on Repo

Yale ICF Working Paper No. 09-14
Number of pages: 65 Posted: 30 Jul 2009 Last Revised: 12 Nov 2013
Working Paper Series
Yale School of Management and Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 10,804
11.

The End Of History For Corporate Law

Yale Law School Working Paper No. 235; NYU Working Paper No. 013; Harvard Law School Discussion Paper No. 280; Yale SOM Working Paper No. ICF - 00-09
Number of pages: 36 Posted: 10 Mar 2000
Working Paper Series
Yale Law School and Harvard Law School
Downloads 10,600
12.

Stock Valuation and Investment Strategies

Yale ICF Working Paper No. 00-46
Number of pages: 55 Posted: 26 Jul 2001
Working Paper Series
York University - Schulich School of Business and Yale University - International Center for Finance
Downloads 9,377
13.

Hedge Funds With Style

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-29
Number of pages: 35 Posted: 21 Feb 2001
Working Paper Series
New York University - Stern School of Business and Yale School of Management - International Center for Finance

Multiple version iconThere are 3 versions of this paper

Downloads 9,150
14.

Securitization: The Tool of Financial Transformation

Yale ICF Working Paper No. 07-07
Number of pages: 14 Posted: 28 Jun 2007
Working Paper Series
EDHEC Business School and Indian Institute of Management (IIM), Kolkata
Downloads 8,198
15.

Collateralized Debt Obligations and Credit Risk Transfer

Yale ICF Working Paper No. 07-06
Number of pages: 14 Posted: 02 Jul 2007
Working Paper Series
UBS - CDO Research, The Urban Institute - Housing Finance Policy Center and EDHEC Business School
Downloads 8,079
16.

Portfolio Performance Manipulation and Manipulation-Proof Performance Measures

Yale ICF Working Paper No. 02-08, AFA 2003 Washington, DC Meetings
Number of pages: 48 Posted: 22 Mar 2002
Working Paper Series
Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance, Yale University - Yale School of Management, International Center for Finance and University of California, Los Angeles (UCLA)

Multiple version iconThere are 2 versions of this paper

Downloads 7,295
17.

Stock Market Returns in the Long Run: Participating in the Real Economy

Yale ICF Working Paper No. 00-44
Number of pages: 30 Posted: 18 Jul 2001
Working Paper Series
Yale School of Management and Ibbotson Associates
Downloads 7,290
18.

History and the Equity Risk Premium

Yale ICF Working Paper No. 05-04
Number of pages: 19 Posted: 12 Apr 2005
Working Paper Series
Yale School of Management and Yale School of Management - International Center for Finance
Downloads 7,218
19.

Capital Structure and Stock Returns

Yale ICF Working Paper No. 02-03; EFMA 2002 London Meetings
Number of pages: 35 Posted: 25 Jan 2002
Working Paper Series
University of California, Los Angeles (UCLA)

Multiple version iconThere are 2 versions of this paper

Downloads 6,656
20.

Behavioral Factors in Mutual Fund Flows

Yale ICF Working Paper No. 00-14
Number of pages: 42 Posted: 02 Mar 2000
Working Paper Series
INSEAD - Finance, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance
Downloads 6,562
21.

The Development Of Corporate Performance Measures: Benchmarks Before EVA

Yale ICF Working Paper No. 99-06
Number of pages: 12 Posted: 17 Sep 1999
Working Paper Series
Yale School of Management and Yale School of Management - International Center for Finance
Downloads 6,498
22.

Macroeconomic Factors and the Correlation of Stock and Bond Returns

Yale ICF Working Paper No. 02-46; AFA 2004 San Diego Meetings
Number of pages: 53 Posted: 23 Nov 2003
Working Paper Series
Capula Investment Services
Downloads 6,308
23.

Governance Mechanisms and Equity Prices

Yale ICF Working Paper No. 03-15; NYU, Ctr for Law and Business Research Paper No. 03-09; AFA 2004 San Diego Meetings
Number of pages: 62 Posted: 18 Sep 2003
Working Paper Series
University of Notre Dame and University of Pennsylvania - Finance Department

Multiple version iconThere are 2 versions of this paper

Downloads 6,210
24.

Long-Term Global Market Correlations

Yale ICF Working Paper No. 08-04
Number of pages: 46 Posted: 25 Oct 2001 Last Revised: 24 Jan 2008
Working Paper Series
Yale School of Management - International Center for Finance, Capula Investment Services and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 6,040
25.

High-Water Marks and Hedge Fund Management Contracts

Yale ICF Working Paper No. 00-34
Number of pages: 41 Posted: 08 Feb 1998
Working Paper Series
Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 6,034
26.

The Top Achievements, Challenges, and Failures of Finance

Yale ICF Working Paper No. 00-67
Number of pages: 19 Posted: 28 Nov 2001
Working Paper Series
University of California, Los Angeles (UCLA)
Downloads 5,987
27.

Global Real Estate Markets: Cycles And Fundamentals

Yale ICF Working Paper No. 99-03
Number of pages: 23 Posted: 05 Apr 1999
Working Paper Series
National Association of Real Estate Investment TrustsĀ®, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 5,937
28.

The A,B,Cs of Hedge Funds: Alphas, Betas, and Costs

Yale ICF Working Paper No. 06-10
Number of pages: 22 Posted: 01 Jun 2005
Working Paper Series
Yale School of Management and Ibbotson Associates
Downloads 5,905
29.

The Subprime Panic

Yale ICF Working Paper No. 08-25
Number of pages: 40 Posted: 01 Oct 2008
Working Paper Series
Yale School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 5,659
30.

Financial Markets And The Allocation Of Capital

Yale ICF Working Paper No. 99-08
Number of pages: 40 Posted: 19 Aug 1999
Working Paper Series
NYU Stern School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 5,340
31.

Prospect Theory, Mental Accounting, and Momentum

Yale ICF Working Paper No. 00-71; UCLA Anderson School Finance Working Paper No. 01-18; AFA 2003 Washington, DC Meetings
Number of pages: 38 Posted: 09 Nov 2001
Working Paper Series
University of Toronto, Rotman School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 5,299
32.

Estimating the Dynamics of Mutual Fund Alphas and Betas

Yale ICF Working Paper No. 03-03; EFA 2003 Annual Conference Paper No. 803; AFA 2004 San Diego Meetings
Number of pages: 40 Posted: 10 Mar 2005
Working Paper Series
Yale University - Yale School of Management, International Center for Finance, Columbia University - Columbia Business School and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 5,140
33.

The Origins of Mutual Funds

Yale ICF Working Paper No. 04-48
Number of pages: 33 Posted: 16 Dec 2004
Working Paper Series
Yale School of Management - International Center for Finance
Downloads 4,724
34.

Less Is More: Making Shareholder Activism A Valued Mechanism Of Corporate Governance

Yale Law & Economics Research Paper No. 241; and Yale ICF Working Paper No. 00-10; Yale SOM Working Paper No. ICF - 00-10
Number of pages: 142 Posted: 22 Jun 2000
Working Paper Series
Yale Law School
Downloads 4,480
35.

Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk

Yale ICF Working Paper No. 05-13, EFA 2005 Moscow Meetings Paper
Number of pages: 51 Posted: 23 Apr 2005
Working Paper Series
Yale University - Yale School of Management, International Center for Finance and Yale University - International Center for Finance
Downloads 4,459
36.

The Panic of 2007

Yale ICF Working Paper No. 08-24
Number of pages: 92 Posted: 26 Aug 2008
Working Paper Series
Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,457
37.

Haircuts

Yale ICF Working Paper No. 09-15
Number of pages: 18 Posted: 11 Aug 2009 Last Revised: 17 May 2010
Working Paper Series
Yale School of Management and Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,350
38.

The Essential Role of Organizational Law

NYU Law and Economics Working Paper No. 00-006; Harvard Law and Economics Discussion Paper 284; Yale ICF Working Paper No. 00-11
Number of pages: 47 Posted: 07 Jun 2000
Working Paper Series
Yale Law School and Harvard Law School

Multiple version iconThere are 2 versions of this paper

Downloads 4,258
39.

A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability

Yale ICF Working Paper No. 00-13; Yale SOM Working Paper No. ICF - 00-13
Number of pages: 45 Posted: 14 Aug 2000
Working Paper Series
Yale School of Management - International Center for Finance, Yale School of Management and Smeal College of Business, The Pennsylvania State University
Downloads 4,184
40.

Fees on Fees in Funds of Funds

Yale ICF Working Paper No. 02-33
Number of pages: 40 Posted: 01 Oct 2002
Working Paper Series
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance

Multiple version iconThere are 6 versions of this paper

Downloads 4,182
41.

Efficiency and the Bear: Short Sales and Markets around the World

Yale ICF Working Paper No. 02-45; EFA 2003 Annual Conference; AFA 2004 San Diego Meetings; 14th Annual Conference on Financial Economics & Accounting
Number of pages: 69 Posted: 06 Oct 2004
Working Paper Series
IMD International, Yale School of Management - International Center for Finance and China Academy of Financial Research (CAFR)

Multiple version iconThere are 3 versions of this paper

Downloads 4,148
42.

Bundling

Yale ICF Working Paper Series No. 99-14
Number of pages: 40 Posted: 22 Nov 1999
Working Paper Series
Yale University - Yale School of Management
Downloads 3,906
43.

Day Trading International Mutual Funds: Evidence And Policy Solutions

AFA 2001 New Orleans; Yale SOM Working Paper No. ICF - 00-03
Number of pages: 38 Posted: 05 Apr 2000
Working Paper Series
Yale School of Management - International Center for Finance, Michigan State University, Department of Finance and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,737
44.

Improved Forecasting of Mutual Fund Alphas and Betas

Yale ICF Working Paper No. 04-23, EFA 2005 Moscow Meetings
Number of pages: 42 Posted: 27 Jul 2005
Working Paper Series
Yale University - Yale School of Management, International Center for Finance, Columbia University - Columbia Business School and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,722
45.

Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs

Yale School of Management Working Paper No. F-59
Number of pages: 28 Posted: 10 Feb 1998
Working Paper Series
Yale School of Management - International Center for Finance, New York University - Stern School of Business and PARADIGM Capital Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,714
46.

Predicting the Equity Premium with Dividend Ratios

Yale ICF Working Paper No. 02-04
Number of pages: 36 Posted: 28 Apr 1999
Working Paper Series
University of Lausanne and University of California, Los Angeles (UCLA)

Multiple version iconThere are 2 versions of this paper

Downloads 3,671
47.

A Model for Pricing Stocks and Bonds with Default Risk

Yale ICF Working Paper No. 02-13
Number of pages: 54 Posted: 13 May 2002
Working Paper Series
Columbia University - Columbia Business School
Downloads 3,639
48.

Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors

Yale ICF Working Paper No. 08-21
Number of pages: 42 Posted: 08 Oct 2008 Last Revised: 17 Aug 2013
Working Paper Series
SummerHaven Investment Management, Yale School of Management and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,626
49.

Positive Portfolio Factors

Yale School of Management Working Paper No. F-57
Number of pages: 22 Posted: 23 Apr 1998
Working Paper Series
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of California, Los Angeles (UCLA) - Finance Area

Multiple version iconThere are 2 versions of this paper

Downloads 3,270
50.

Fibonacci and the Financial Revolution

Yale ICF Working Paper No. 03-28
Number of pages: 44 Posted: 27 Oct 2003
Working Paper Series
Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,261