SSRN Yale School of Management Research Paper Series

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

Evan Gatev, William N. Goetzmann and K. Geert Rouwenhorst

Simon Fraser University, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

There are 2 versions of this paper

Downloads 29,699

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

Gary B. Gorton and K. Geert Rouwenhorst

Yale School of Management and Yale School of Management - International Center for Finance

There are 3 versions of this paper

Downloads 26,596

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

Ivo Welch and Jay R. Ritter

University of California, Los Angeles (UCLA) and University of Florida - Department of Finance, Insurance and Real Estate

There 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

William N. Goetzmann, Roger G. Ibbotson and Stephen J. Brown

Yale School of Management - International Center for Finance, Yale School of Management and New York University - Stern School of Business

There are 2 versions of this paper

Downloads 13,722

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

Roberta Romano

Yale Law School

There are 2 versions of this paper

Downloads 12,231

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

William N. Goetzmann, Stephen J. Brown and James M. Park

Yale School of Management - International Center for Finance, New York University - Stern School of Business and PARADIGM Capital Management

There 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

Stephen J. Brown, Alok Kumar and William N. Goetzmann

New York University - Stern School of Business, University of Miami - School of Business Administration and Yale School of Management - International Center for Finance

There are 2 versions of this paper

Downloads 11,547

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

Henry Hansmann and Reinier Kraakman

Yale Law School and Harvard Law School

Downloads 10,606

9.

Stock Valuation and Investment Strategies

Yale ICF Working Paper No. 00-46

Number of pages: 55 Posted: 26 Jul 2001

Working Paper Series

Ming Dong and Zhiwu Chen

York University - Schulich School of Business and Yale University - International Center for Finance

Downloads 9,378

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

Stephen J. Brown and William N. Goetzmann

New York University - Stern School of Business and Yale School of Management - International Center for Finance

There 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

William N. Goetzmann, Jonathan E. Ingersoll Jr., Matthew I. Spiegel and Ivo Welch

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)

There 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

Roger G. Ibbotson and Peng Chen

Yale School of Management and Ibbotson Associates

Downloads 7,290

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

Roger G. Ibbotson and William N. Goetzmann

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

Ivo Welch

University of California, Los Angeles (UCLA)

There 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

Massimo Massa, William N. Goetzmann and K. Geert Rouwenhorst

INSEAD - Finance, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

Downloads 6,562

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

Stanley J. Garstka and William N. Goetzmann

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

Martijn Cremers and Vinay B. Nair

University of Notre Dame and University of Pennsylvania - Finance Department

There 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

William N. Goetzmann, Lingfeng Li and K. Geert Rouwenhorst

Yale School of Management - International Center for Finance, Capula Investment Services and Yale School of Management - International Center for Finance

There are 2 versions of this paper

Downloads 6,040

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

William N. Goetzmann, Jonathan E. Ingersoll Jr. and Stephen A. Ross

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

There 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

Ivo Welch

University of California, Los Angeles (UCLA)

Downloads 5,987

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

Bradford Case, William N. Goetzmann and K. Geert Rouwenhorst

National Association of Real Estate Investment Trusts®, Yale School of Management - International Center for Finance and Yale School of Management - International Center for Finance

There 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

Roger G. Ibbotson and Peng Chen

Yale School of Management and Ibbotson Associates

Downloads 5,905

23.

Market Timing and Capital Structure

Number of pages: 48 Posted: 30 Apr 2001 Last Revised: 13 Jan 2009

Working Paper Series

Malcolm P. Baker and Jeffrey Wurgler

Harvard Business School and NYU Stern School of Business

There are 3 versions of this paper

Downloads 5,388

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

Jeffrey Wurgler

NYU Stern School of Business

There are 3 versions of this paper

Downloads 5,340

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

Bing Han and Mark Grinblatt

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

Matthew I. Spiegel, Harry Mamaysky and Hong Zhang

Yale University - Yale School of Management, International Center for Finance, Columbia University - Columbia Business School and Tsinghua University - PBC School of Finance

There 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

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Downloads 4,727

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

Roberta Romano

Yale Law School

Downloads 4,480

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

Matthew I. Spiegel and Xiaotong Wang

Yale University - Yale School of Management, International Center for Finance and Yale University - International Center for Finance

Downloads 4,459

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

Henry Hansmann and Reinier Kraakman

Yale Law School and Harvard Law School

There are 2 versions of this paper

Downloads 4,259

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

William N. Goetzmann, Roger G. Ibbotson and Liang Peng

Yale School of Management - International Center for Finance, Yale School of Management and Smeal College of Business, The Pennsylvania State University

Downloads 4,184

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

Stephen J. Brown, William N. Goetzmann and Bing Liang

New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance

There 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

Arturo Bris, William N. Goetzmann and Ning Zhu

IMD International, Yale School of Management - International Center for Finance and China Academy of Financial Research (CAFR)

There 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

Judith A. Chevalier and Dina Mayzlin

Yale School of Management and USC Marshall School of Business

There are 2 versions of this paper

Downloads 4,129

35.

Bundling

Yale ICF Working Paper Series No. 99-14

Number of pages: 40 Posted: 22 Nov 1999

Working Paper Series

Barry J. Nalebuff

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

William N. Goetzmann, Zoran Ivkovich and K. Geert Rouwenhorst

Yale School of Management - International Center for Finance, Michigan State University, Department of Finance and Yale School of Management - International Center for Finance

There 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

Matthew I. Spiegel, Harry Mamaysky and Hong Zhang

Yale University - Yale School of Management, International Center for Finance, Columbia University - Columbia Business School and Tsinghua University - PBC School of Finance

There 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

William N. Goetzmann, Stephen J. Brown and James M. Park

Yale School of Management - International Center for Finance, New York University - Stern School of Business and PARADIGM Capital Management

There 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

Amit Goyal and Ivo Welch

University of Lausanne and University of California, Los Angeles (UCLA)

There 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

Harry Mamaysky

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

Barry J. Nalebuff

Yale University - Yale School of Management

Downloads 3,419

42.

Positive Portfolio Factors

Yale School of Management Working Paper No. F-57

Number of pages: 22 Posted: 23 Apr 1998

Working Paper Series

Stephen J. Brown, William N. Goetzmann and Mark Grinblatt

New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of California, Los Angeles (UCLA) - Finance Area

There are 2 versions of this paper