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International Center for Finance at Yale School of Management

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Viewing: 1 - 50 of 365 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 30,624
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 26,751
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 23,777
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 14,507
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 13,752
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 13,430
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 12,552
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 12,097
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 11,775
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 10,988
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 10,883
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 University of Hong Kong
Downloads 9,506
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 9,180
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 8,313
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 8,180
16.

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 7,362
17.

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 7,341
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 7,261
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 6,702
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 6,623
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 6,524
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 6,444
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 6,245
24.

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 6,082
25.

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 6,071
26.

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 6,011
27.

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 5,994
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 5,928
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 5,704
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 5,359
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 5,357
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 5,175
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 4,836
34.

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 4,529
35.

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 4,512
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 4,502
37.

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 4,387
38.

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 4,381
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 4,228
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 4,199
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 4,167
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 3,917
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 3,740
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 3,739
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 3,726
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 3,684
47.

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 3,669
48.

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 3,652
49.

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 3,285
50.

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 3,280