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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, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 8,439
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 8,432
3.

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 6,423
4.

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, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,401
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 5,358
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 5,093
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 4,700
8.

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, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,604
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 4,536
10.

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 4,485
11.

Payout Policy

Number of pages: 148 Posted: 10 May 2002
Working Paper Series
Cornell University - Cornell Tech NYC and Imperial College London

Multiple version iconThere are 3 versions of this paper

Downloads 4,233
12.

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 Cornell University - Cornell Tech NYC

Multiple version iconThere are 2 versions of this paper

Downloads 4,118
13.

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 4,114
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 3,950
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 3,879
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 3,850
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 3,672
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 3,544
19.

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 3,476
20.

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 3,442
21.

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
Lawrence Berkeley National Laboratory and University of California, Irvine
Downloads 3,336
22.

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 3,313
23.

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 3,284
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 3,153
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 3,127
26.

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 3,108
27.

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 3,083
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 3,023
29.

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 3,008
30.

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 2,962
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 2,856
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 2,791
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 2,749
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, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,568
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 2,520
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 2,497
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, Cornell University - Cornell Tech NYC, University of California at Los Angeles and University of Chicago - Booth School of Business
Downloads 2,473
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 2,437
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 2,351
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 2,347
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 2,300
42.

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 2,201
43.

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 2,189
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 - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Syracuse University
Downloads 2,163
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 2,145
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 2,122
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 2,021
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 1,911
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 1,881
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 1,846