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Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series

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Viewing: 1 - 50 of 130 papers

1.

Mutual Fund Flows and Performance in (Imperfectly) Rational Markets?

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 49 Posted: 09 Dec 2020
Working Paper Series
University of Pennsylvania - The Wharton School, Guanghua School of Management, Peking University and University of Southern California - Marshall School of Business
Downloads 38
2.

Financing Ventures

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 73 Posted: 22 Sep 2020 Last Revised: 19 Oct 2020
Working Paper Series
University of Pennsylvania - Department of Economics, Peking University, Guanghua School of Management and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 33
3.

Is The United States A Lucky Survivor: A Hierarchical Bayesian Approach

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 66 Posted: 10 Sep 2020
Working Paper Series
University of Pennsylvania - The Wharton School, University of Pennsylvania - Finance Department and University of Pennsylvania - The Wharton School
Downloads 76
4.

Sovereign Default and the Decline in Interest Rates

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 82 Posted: 08 Sep 2020 Last Revised: 21 Sep 2020
Working Paper Series
University of Pennsylvania, The Wharton School, Finance Department, University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
Downloads 141
5.

Student Loans and Social Mobility

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 57 Posted: 27 Aug 2020 Last Revised: 11 Jan 2021
Working Paper Series
University of Pennsylvania - The Wharton School
Downloads 262
6.

Sensitivity and Computational Complexity in Financial Networks

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 35 Posted: 24 Aug 2020
Working Paper Series
University of Pennsylvania and University of Pennsylvania - Department of Computer and Information Science
Downloads 11
7.

CLO Performance

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 55 Posted: 15 Aug 2020 Last Revised: 07 Jan 2021
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER) and University of Pennsylvania - The Wharton School
Downloads 299
8.

Man vs. Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 71 Posted: 07 Jul 2020 Last Revised: 25 Sep 2020
Working Paper Series
University of Pennsylvania - The Wharton School, University of Edinburgh Business School and BI Norwegian Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,083
9.

Do Managers Learn from Institutional Investors Through Direct Interactions?

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 54 Posted: 01 Jul 2020 Last Revised: 10 Nov 2020
Working Paper Series
University of Pennsylvania, The Wharton School, Students
Downloads 152
10.

Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 29 Posted: 26 May 2020
Working Paper Series
University of Pennsylvania - Department of Economics, The Wharton School, University of Pennsylvania and University of California, Los Angeles (UCLA) - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 79
11.

Can the COVID Bailouts Save the Economy?

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 54 Posted: 05 May 2020 Last Revised: 10 Sep 2020
Working Paper Series
Johns Hopkins Carey Business School, University of Pennsylvania - The Wharton School and Columbia University Graduate School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 328
12.

Executive Stock Options and Systemic Risk

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 47 Posted: 01 May 2020 Last Revised: 21 Sep 2020
Working Paper Series
University of Pennsylvania - Accounting Department, University of Pennsylvania - Accounting Department and University of Pennsylvania - The Wharton School
Downloads 64
13.

Common Fund Flows: Flow Hedging and Factor Pricing

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 61 Posted: 24 Apr 2020 Last Revised: 12 Oct 2020
Working Paper Series
The Wharton School, University of Pennsylvania, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Texas A&M University
Downloads 503
14.

Social Security and Trends in Wealth Inequality

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 79 Posted: 14 Apr 2020 Last Revised: 21 Dec 2020
Working Paper Series
University of Pennsylvania - Finance Department, University of Pennsylvania, The Wharton School, Finance Department and University of Pennsylvania Carey Law School
Downloads 1,311
15.

Measuring Marginal q

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 46 Posted: 07 Apr 2020
Working Paper Series
Pacific Investment Management Company - PIMCO
Downloads 26
16.

Economics of Leveraged Buyouts: Theory and Evidence from the UK Private Equity Industry

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 82 Posted: 19 Mar 2020
Working Paper Series
University of Pennsylvania, The Wharton School
Downloads 125
17.

Insurance against Long-Run Volatility Risk: Demand, Supply, and Pricing

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 32 Posted: 18 Mar 2020
Working Paper Series
The Wharton School
Downloads 53
18.

Feedback and Contagion through Distressed Competition

The Rodney L. White Center Working Papers Series at the Wharton School, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 61 Posted: 05 Feb 2020 Last Revised: 10 Sep 2020
Working Paper Series
Massachusetts Institute of Technology, The Wharton School, University of Pennsylvania, University of Pennsylvania and Hong Kong University of Science & Technology (HKUST)
Downloads 310
19.

Democratization, Inequality, and Risk Premia

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 65 Posted: 15 Jan 2020 Last Revised: 31 Dec 2020
Working Paper Series
University of Pennsylvania, The Wharton School, Finance Department
Downloads 122
20.

Undisclosed SEC Investigations

Management Science, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 42 Posted: 10 Jan 2020 Last Revised: 12 Aug 2020
Accepted Paper Series
Oregon State University , Stanford Graduate School of Business, University of Washington - Foster School of Business and The Wharton School, University of Pennsylvania
Downloads 701
21.

Sustainable Investing in Equilibrium

Chicago Booth Research Paper No. 20-12, Fama-Miller Working Paper, Journal of Financial Economics (JFE), Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 54 Posted: 19 Dec 2019 Last Revised: 12 Aug 2020
Accepted Paper Series
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School

Multiple version iconThere are 4 versions of this paper

Downloads 1,703
22.

The Term Structure of Equity Risk Premia

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 75 Posted: 01 Dec 2019
Working Paper Series
Duke University, University of Pennsylvania -- Wharton School of Business, University of Michigan - Ross School of Business and Johns Hopkins University - Carey Business School
Downloads 103
23.

Fearing the Fed: How Wall Street Reads Main Street

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 44 Posted: 30 Nov 2019
Working Paper Series
University of Pennsylvania -- Wharton School of Business, affiliation not provided to SSRN and Johns Hopkins University - Carey Business School
Downloads 46
24.

Do Venture Capitalists Stifle Competition?

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 56 Posted: 27 Nov 2019 Last Revised: 10 Sep 2020
Working Paper Series
University of South Carolina - Department of Finance, University of Pennsylvania - Finance Department and University of Pennsylvania - The Wharton School
Downloads 448
25.

Optimal, Truthful, and Private Securities Lending

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 19 Posted: 13 Nov 2019
Working Paper Series
The Wharton School of the University of Pennsylvania, affiliation not provided to SSRN, University of Pennsylvania - Statistics Department and University of Pennsylvania - Department of Computer and Information Science
Downloads 11
26.

Underreaction, Overreaction, and Dynamic Autocorrelation of Stock Returns

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 49 Posted: 13 Nov 2019 Last Revised: 12 Aug 2020
Working Paper Series
University of Pennsylvania
Downloads 187
27.

Implications of Money-Back Guarantees for Individual Retirement Accounts: Protection Then and Now

SAFE Working Paper No. 263 (2019), Wharton Pension Research Council Working Paper No. 2019-19, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 61 Posted: 23 Oct 2019 Last Revised: 11 Sep 2020
Working Paper Series
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School

Multiple version iconThere are 2 versions of this paper

Downloads 66
28.

Financial Markets with Trade on Risk and Return

The Review of Financial Studies, Volume 32, Issue 10, Stanford University Graduate School of Business Research Paper No. 3454563, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Posted: 25 Sep 2019
Accepted Paper Series
Stanford University Graduate School of Business
29.

Financial Frictions and the Wealth Distribution

PIER Working Paper No. 19-015, September 2019, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 64 Posted: 18 Sep 2019 Last Revised: 11 Sep 2020
Working Paper Series
University of Pennsylvania - Department of Economics, Banco de España and Banco de España

Multiple version iconThere are 4 versions of this paper

Downloads 33
30.

Synergizing Ventures

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 61 Posted: 24 Jun 2019 Last Revised: 18 Sep 2020
Working Paper Series
University of Chicago - Department of Economics, Center for Economic Studies - US Census Bureau, University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta

Multiple version iconThere are 6 versions of this paper

Downloads 46
31.

Skill and Profit in Active Management

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 46 Posted: 25 Mar 2019 Last Revised: 03 Dec 2020
Working Paper Series
University of Pennsylvania - The Wharton School

Multiple version iconThere are 2 versions of this paper

Downloads 711
32.

Risk Factors That Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 84 Posted: 20 Jan 2019 Last Revised: 24 Sep 2020
Working Paper Series
BI Norwegian Business School
Downloads 1,567
33.

Competition, Profitability, and Discount Rates

Journal of Financial Economics (JFE), Forthcoming, The Rodney L. White Center Working Papers Series at the Wharton School, The Jacobs Levy Equity Management Center for Quantitative Financial Research Working Papers Series, Mays Business School Research Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 14 Jan 2019 Last Revised: 10 Sep 2020
Accepted Paper Series
The Wharton School, University of Pennsylvania, Hong Kong University of Science & Technology (HKUST) and Texas A&M University
Downloads 547
34.

Evolution of Debtor Rights

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 50 Posted: 14 Dec 2018 Last Revised: 17 Sep 2020
Working Paper Series
BI Norwegian Business School
Downloads 51
35.

The Favorite-Longshot Midas

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 64 Posted: 14 Nov 2018 Last Revised: 12 Aug 2020
Working Paper Series
Wharton - Operations, Information and Decisions, Stanford Law School and Microsoft Research
Downloads 211
36.

Audit Process, Private Information, and Insider Trading

Kelley School of Business Research Paper No. 18-85, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 51 Posted: 02 Nov 2018 Last Revised: 12 Aug 2020
Working Paper Series
University of Minnesota - Twin Cities - Carlson School of Management, Stanford Graduate School of Business, Indiana University - Kelley School of Business - Department of Accounting and The Wharton School, University of Pennsylvania
Downloads 785
37.

Volatility Risk Pass-Through

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 50 Posted: 01 Oct 2018
Working Paper Series
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison

Multiple version iconThere are 4 versions of this paper

Downloads 10
38.

Comovement in Arbitrage Limits

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 51 Posted: 24 Sep 2018 Last Revised: 11 Sep 2020
Working Paper Series
University of Pennsylvania, The Wharton School, Students
Downloads 313
39.

Risk Free Interest Rates

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 22 Sep 2018 Last Revised: 04 Jan 2021
Working Paper Series
University of Pennsylvania - The Wharton School, University of Pennsylvania - Finance Department and London Business School

Multiple version iconThere are 3 versions of this paper

Downloads 1,195
40.

Stochastic Impatience and the Separation of Time and Risk Preferences

PIER Working Paper No. 18-020, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 36 Posted: 20 Sep 2018 Last Revised: 11 Sep 2020
Working Paper Series
University of Pennsylvania - Department of Economics, Washington University in St. Louis and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 42
41.

Inalienable Customer Capital, Corporate Liquidity, and Stock Returns

Journal of Finance, Forthcoming, The Rodney L. White Center Working Papers Series at the Wharton School, Mays Business School Research Paper No. 3187850, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 78 Posted: 15 Jun 2018 Last Revised: 12 Aug 2020
Working Paper Series
The Wharton School, University of Pennsylvania, Hong Kong University of Science & Technology (HKUST), University of Pennsylvania - Marketing Department and Texas A&M University
Downloads 435
42.

Volatility-of-Volatility Risk

SAFE Working Paper No. 210, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 62 Posted: 29 May 2018 Last Revised: 02 Sep 2020
Working Paper Series
Goethe University Frankfurt, University of Wisconsin - Madison, Karlsruhe Institute of Technology and Cornell University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 269
43.

Contracts with (Social) Benefits: The Implementation of Impact Investing

European Corporate Governance Institute – Finance Working Paper No. 674/2020, Journal of Financial Economics (JFE), Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 80 Posted: 26 Apr 2018 Last Revised: 10 Sep 2020
Working Paper Series
University of Pennsylvania - The Wharton School, Finance Department, University of Chicago - Booth School of Business, University of Pennsylvania - Finance Department and Georgia State University College of Law
Downloads 1,573
44.

Size and Value in China

Journal of Financial Economics (JFE), Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 56 Posted: 24 Jan 2018 Last Revised: 12 Aug 2020
Accepted Paper Series
University of Pennsylvania, The Wharton School, Students, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company

Multiple version iconThere are 2 versions of this paper

Downloads 2,487
45.

Capital Controls and Risk Misallocation: Evidence From a Natural Experiment

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 16 Jan 2018 Last Revised: 12 Aug 2020
Working Paper Series
Downloads 831
46.

Marketing Mutual Funds

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 81 Posted: 03 Jan 2018 Last Revised: 11 Sep 2020
Working Paper Series
University of Pennsylvania - The Wharton School, Guanghua School of Management, Peking University and University of Southern California - Marshall School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 640
47.

Why Trade Over-the-Counter? When Investors Want Price Discrimination

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 53 Posted: 13 Dec 2017 Last Revised: 11 Sep 2020
Working Paper Series
CEU and University of Pennsylvania - The Wharton School

Multiple version iconThere are 2 versions of this paper

Downloads 211
48.

Should Corporate Bond Trading Be Centralized?

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 59 Posted: 15 Nov 2017
Working Paper Series
University of Wisconsin - Madison
Downloads 6
49.

A Model of Two Days: Discrete News and Asset Prices

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 89 Posted: 30 Sep 2017 Last Revised: 14 Jan 2021
Working Paper Series
University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department

Multiple version iconThere are 2 versions of this paper

Downloads 903
50.

Good and Bad Variance Premia and Expected Returns

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 52 Posted: 25 Aug 2017
Working Paper Series
University of Southern California - Marshall School of Business and University of Wisconsin - Madison
Downloads 298