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Yale School of Management Research Paper Series

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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 29,707
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 26,597
3.

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
4.

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 13,723
5.

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 12,233
6.

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
7.

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 11,549
8.

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 10,611
9.

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 9,380
10.

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
11.

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
12.

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 7,292
13.

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
14.

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
15.

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 6,563
16.

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 6,499
17.

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
18.

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 6,041
19.

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
20.

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 5,988
21.

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 Trusts®, 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
22.

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 5,906
23.

Market Timing and Capital Structure

Number of pages: 48 Posted: 30 Apr 2001 Last Revised: 13 Jan 2009
Working Paper Series
Harvard Business School and NYU Stern School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 5,389
24.

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 5,341
25.

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 5,300
26.

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
27.

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 4,729
28.

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 4,482
29.

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 4,460
30.

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 4,260
31.

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 4,185
32.

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
33.

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 4,149
34.

The Effect of Word of Mouth on Sales: Online Book Reviews

Yale SOM Working Paper No's. ES-28 & MK-15
Number of pages: 35 Posted: 12 Aug 2003
Working Paper Series
Yale School of Management and USC Marshall School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,130
35.

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
36.

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
37.

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
38.

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
39.

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
40.

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
41.

Bundling and the GE-Honeywell Merger

Yale SOM Working Paper No. ES-22
Number of pages: 35 Posted: 05 Sep 2002
Working Paper Series
Yale University - Yale School of Management
Downloads 3,421
42.

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
43.

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 3,262
44.

Corporate Governance, Expected Operating Performance, and Pricing

“Corporate Governance, Expected Operating Performance, and Pricing.” Corporate Ownership and Control, Vol. 1, Issue 2 (2004): 13-30.,
Number of pages: 40 Posted: 04 Dec 1998 Last Revised: 14 May 2014
Accepted Paper Series
Strategic Models LLC and George Washington University - School of Business
Downloads 3,255
45.

Do Insider Trading Laws Work?

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-19; Yale SOM Working Paper No. ICF - 00-19
Number of pages: 47 Posted: 15 Nov 2000
Working Paper Series
IMD International

Multiple version iconThere are 2 versions of this paper

Downloads 3,246
46.

A Century of Global Stock Markets

Yale School of Management Working Paper No. F-55
Number of pages: 44 Posted: 06 Feb 1997
Working Paper Series
University of California, Irvine - Paul Merage School of Business and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,239
47.

Institutional Perspectives on Real Estate Investing: The Role of Risk and Uncertainty

Yale ICF Working Paper No. 05-20
Number of pages: 35 Posted: 08 Jun 2005
Working Paper Series
Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance
Downloads 3,095
48.

Game Theory: Some Observations

Yale SOM Working Paper No. ES-01
Number of pages: 7 Posted: 29 Jan 2001
Working Paper Series
Yale University - School of Management
Downloads 3,064
49.

Human Capital, Asset Allocation, and Life Insurance

Yale ICF Working Paper No. 05-11
Number of pages: 21 Posted: 13 May 2005
Working Paper Series
Yale School of Management, Ibbotson Associates, York University - Schulich School of Business and Ibbotson Associates

Multiple version iconThere are 2 versions of this paper

Downloads 3,051
50.

Accounting and Economic Theory

Yale SOM Working Paper No. AC-16
Number of pages: 16 Posted: 21 Jan 2003
Working Paper Series
Yale University - School of Management
Downloads 3,016