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Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series

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Viewing: 1 - 50 of 436 papers

1.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) Forthcoming , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 05 Apr 2012 Last Revised: 20 Aug 2012
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 8,219
2.

The Corporate Governance of Banks

Economic Policy Review, Vol. 9, No. 1, April 2003
Number of pages: 17 Posted: 07 Sep 2005
Accepted Paper Series
Yale Law School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 8,086
3.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 27 Jan 2011 Last Revised: 27 Feb 2012
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,379
4.

Price Momentum and Trading Volume

Number of pages: 42 Posted: 06 Jul 1998
Working Paper Series
Stanford University - Graduate School of Business and LSV Asset Management
Downloads 6,289
5.

Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies

Number of pages: 48 Posted: 25 May 2003
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Credit Suisse First Boston, Singapore Management University - Lee Kong Chian School of Business and University of San Diego
Downloads 5,320
6.

Identifying Overvalued Equity

Johnson School Research Paper Series No. #09-09
Number of pages: 60 Posted: 21 May 2008 Last Revised: 12 May 2014
Working Paper Series
Indiana University - Kelley School of Business - Department of Accounting and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,976
7.

Traditional vs. Behavioral Finance

Johnson School Research Paper Series No. 22-2010
Number of pages: 19 Posted: 27 Apr 2010 Last Revised: 25 May 2010
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,579
8.

What is the Intrinsic Value of the Dow?

Number of pages: 55 Posted: 03 Mar 1997
Working Paper Series
Stanford University - Graduate School of Business, University of Tennessee, Knoxville - College of Business Administration and LSV Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,459
9.

Low-Latency Trading

Johnson School Research Paper Series No. 35-2010, AFA 2012 Chicago Meetings Paper
Number of pages: 56 Posted: 22 Oct 2010 Last Revised: 22 May 2013
Working Paper Series
New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,453
10.

Discerning Information from Trade Data

Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
Number of pages: 56 Posted: 23 Jan 2012 Last Revised: 16 May 2016
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,375
11.

Payout Policy

Number of pages: 148 Posted: 10 May 2002
Working Paper Series
Johnson@Cornell Tech, Cornell University and Imperial College London

Multiple version iconThere are 3 versions of this paper

Downloads 4,191
12.

How Much of Corporate-Treasury Yield Spread is Due to Credit Risk?

Forthcoming in the Review of Asset Pricing Studies, 14th Annual Conference on Financial Economics and Accounting (FEA); Texas Finance Festival; 2003 Western Finance Association Meetings
Number of pages: 57 Posted: 15 Jan 2004 Last Revised: 05 Oct 2012
Accepted Paper Series
Pennsylvania State University - University Park - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 4,072
13.

Dividends, Share Repurchases, and the Substitution Hypothesis

AFA 2002 Atlanta Meetings
Number of pages: 51 Posted: 26 Apr 2000
Working Paper Series
Rice University - Jesse H. Jones Graduate School of Business and Johnson@Cornell Tech, Cornell University

Multiple version iconThere are 2 versions of this paper

Downloads 4,066
14.

The Growth of Executive Pay

Oxford Review of Economic Policy, Vol. 21, pp. 283-303, 2005, Harvard Law and Economics Discussion Paper No. 510
Number of pages: 36 Posted: 14 Jan 2005 Last Revised: 29 Apr 2009
Accepted Paper Series
Harvard Law School and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 3,929
15.

Market Efficiency and Accounting Research: A Discussion of 'Capital Market Research in Accounting' by S.P. Kothari

JAE Rochester Conference April 2000
Number of pages: 31 Posted: 02 Feb 2001
Working Paper Series
Stanford University - Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 3,844
16.

Effect of Corporate Governance on Bond Ratings and Yields: The Role of Institutional Investors and Outside Directors

Number of pages: 35 Posted: 25 Nov 2001
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management and Government of the United States of America - Office of the Comptroller of the Currency (OCC)

Multiple version iconThere are 2 versions of this paper

Downloads 3,820
17.

Experimental Research in Financial Accounting

Number of pages: 72 Posted: 28 Feb 2001
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,638
18.

Where Do Companies Attempt Earnings Management, and When Do Auditors Prevent It?

AFA 2001 New Orleans Meetings
Number of pages: 57 Posted: 24 Nov 2000
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Connecticut - Department of Accounting and George Washington University - Department of Accountancy
Downloads 3,519
19.

Analyzing the Analysts: When Do Recommendations Add Value?

AFA 2002 Atlanta Meetings
Number of pages: 55 Posted: 22 Nov 2001
Working Paper Series
Emory University - Department of Finance, Case Western Reserve University - Department of Banking & Finance, American University - Kogod School of Business and Stanford University - Graduate School of Business
Downloads 3,399
20.

How Are Earnings Managed? Examples from Auditors

Number of pages: 31 Posted: 07 Mar 2002
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Connecticut - Department of Accounting and George Washington University - Department of Accountancy
Downloads 3,364
21.

A Dysfunctional Role of High Frequency Trading in Electronic Markets

Johnson School Research Paper Series No. 08-2011
Number of pages: 16 Posted: 09 Mar 2011 Last Revised: 30 Jun 2011
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 3,275
22.

Toward an Implied Cost of Capital

Parker Center for Investment Research Working Paper
Number of pages: 78 Posted: 27 Dec 2000
Working Paper Series
affiliation not provided to SSRN, Stanford University - Graduate School of Business and LSV Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,251
23.

A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm

Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Number of pages: 34 Posted: 22 Sep 2011 Last Revised: 27 Oct 2013
Accepted Paper Series
Guggenheim Partners, LLC and University of California, Irvine
Downloads 3,216
24.

Behavioral Finance

Johnson School Research Paper No. 38-06
Number of pages: 16 Posted: 01 Nov 2006
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,117
25.

Prospect Theory and Asset Prices

Center for Research in Security Prices (CRSP) Working Paper No. 494
Number of pages: 50 Posted: 22 Jul 1999
Working Paper Series
Yale School of Management, Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia Business School

Multiple version iconThere are 2 versions of this paper

Downloads 3,105
26.

Information and the Cost of Capital

EFA 2002 Berlin Meetings Presented Paper; Cornell University Johnson Graduate School of Management Working Paper
Number of pages: 44 Posted: 17 Feb 2002
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Department of Economics
Downloads 3,056
27.

Earnings Quality and Future Returns: The Relation between Accruals and the Probability of Earnings Manipulation

Number of pages: 60 Posted: 19 May 2005
Working Paper Series
Indiana University - Kelley School of Business - Department of Accounting and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,052
28.

The Pricing of Earnings and Cash Flows and an Affirmation of Accrual Accounting

Number of pages: 50 Posted: 14 Oct 2004
Working Paper Series
Columbia Business School - Department of Accounting and University of Texas at Dallas - Department of Accounting & Information Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,019
29.

Corporate Governance and Firm Value: the Impact of the 2002 Governance Rules

Johnson School Research Paper Series No. 23-06, AFA 2006 Boston Meetings Paper
Number of pages: 59 Posted: 24 Oct 2005
Working Paper Series
University of Miami and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,948
30.

How to Detect an Asset Bubble

Johnson School Research Paper Series No. 28-2010
Number of pages: 32 Posted: 07 Jun 2010 Last Revised: 16 Mar 2011
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, affiliation not provided to SSRN and Cornell University
Downloads 2,937
31.

Behavioral Studies of the Effects of Regulation on Earnings Management and Accounting Choice

ACCOUNTING, ORGANIZATIONS, AND INSTITUTIONS: ESSAYS FOR ANTHONY HOPWOOD, Oxford University Press, 2009, Johnson School Research Paper Series No. #16-09
Number of pages: 40 Posted: 23 Mar 2009 Last Revised: 14 Apr 2009
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Maryland - Department of Accounting & Information Assurance
Downloads 2,828
32.

Errors in Estimating Accruals: Implications for Empirical Research

Number of pages: 39 Posted: 29 Sep 1999
Working Paper Series
University of Iowa - Department of Accounting and University of Iowa - Henry B. Tippie College of Business
Downloads 2,770
33.

The Cross-Section of Volatility and Expected Returns

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 05 Apr 2005
Accepted Paper Series
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,663
34.

VPIN and the Flash Crash: A Comment

Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
Number of pages: 8 Posted: 18 May 2012 Last Revised: 29 Sep 2013
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,512
35.

Earnings-Based and Accrual-Based Market Anomalies: One Effect or Two?

Number of pages: 45 Posted: 21 Jul 1999
Working Paper Series
University of Iowa - Department of Accounting and University of Iowa - Henry B. Tippie College of Business
Downloads 2,508
36.

Toward An Ex Ante Cost-of-Capital

Number of pages: 47 Posted: 25 Jan 1999
Working Paper Series
affiliation not provided to SSRN, Stanford University - Graduate School of Business and LSV Asset Management
Downloads 2,489
37.

Dividend Changes Do Not Signal Changes in Future Profitability

Number of pages: 38 Posted: 08 Oct 2003
Working Paper Series
Rice University - Jesse H. Jones Graduate School of Business, Johnson@Cornell Tech, Cornell University, University of California at Los Angeles and University of Chicago - Booth School of Business
Downloads 2,446
38.

The Information Content of Analyst Stock Recommendations

Parker Center for Investment Research Working Papers
Number of pages: 40 Posted: 18 Feb 2001
Working Paper Series
American University - Kogod School of Business and Stanford University - Graduate School of Business
Downloads 2,421
39.

The HJM Model: Its Past, Present, and Future, Keynote Address IAFE 1997 Conference

Number of pages: 10 Posted: 03 Jun 1998
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,345
40.

What's My Line? A Comparison of Industry Classification Schemes for Capital Market Research

Number of pages: 38 Posted: 31 Dec 2002
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Stanford University - Graduate School of Business and Texas Tech University - Rawls College of Business
Downloads 2,330
41.

Is Information Risk a Determinant of Asset Returns?

EFA 0101
Number of pages: 51 Posted: 07 Dec 2000
Working Paper Series
Cornell University - Department of Economics, Copenhagen Business School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,280
42.

Behavioral Evidence on the Effects of Principles- and Rules-Based Standards

Number of pages: 27 Posted: 18 Feb 2003
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,163
43.

The Economics of Credit Default Swaps (CDS)

Johnson School Research Paper Series No. 31-2010
Number of pages: 29 Posted: 21 Jul 2010 Last Revised: 21 Nov 2010
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,155
44.

Individual Stock-Option Prices and Credit Spreads

Yale ICF Working Paper No. 04-14; EFA 2004 Maastricht Meetings Paper No. 5147
Number of pages: 56 Posted: 30 Jun 2004
Working Paper Series
University of Notre Dame, Tilburg University - Department of Finance, INSEAD - Finance and Syracuse University
Downloads 2,153
45.

Factoring Information Into Returns

EFA 2004 Maastricht Meetings Paper No. 4118
Number of pages: 27 Posted: 23 Jun 2004
Working Paper Series
Cornell University - Department of Economics, Copenhagen Business School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,130
46.

Lucky CEOs and Lucky Directors

Journal of Finance, Vol. 65, No. 6, pp. 2363-2401, 2010, Johnson School Research Paper Series No. 39-09, CELS 2009 4th Annual Conference on Empirical Legal Studies Paper
Number of pages: 49 Posted: 03 Dec 2010 Last Revised: 26 Oct 2011
Accepted Paper Series
Harvard Law School, Cornell University - Samuel Curtis Johnson Graduate School of Management and INSEAD - Finance
Downloads 2,091
47.

Individual Investor Trading and Stock Returns

AFA 2005 Philadelphia Meetings, Johnson School Research Paper Series No. 13-06
Number of pages: 55 Posted: 06 Oct 2004
Working Paper Series
University of Rochester - Simon Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 2,006
48.

A Model and Literature Review of Professional Skepticism in Auditing

Auditing: A Journal of Practice and Theory, Vol. 28, No. 2, pp. 1-34, November 2009 , Johnson School Research Paper Series No. 02-2011
Number of pages: 2 Posted: 09 Jan 2011 Last Revised: 11 Jan 2011
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,878
49.

Judgment and Decision Making Research in Auditing: A Task, Person, and Interpersonal Interaction Perspective

Number of pages: 66 Posted: 28 Jul 2005
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management and Nanyang Technological University (NTU) - Division of Accounting
Downloads 1,852
50.

Firm Expansion and CEO Pay

Harvard Law and Economics Discussion Paper No. 533, 2005, Johnson School Research Paper No. 27-06
Number of pages: 39 Posted: 07 Nov 2005 Last Revised: 10 May 2009
Working Paper Series
Harvard Law School and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,839