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Chicago Booth Fama-Miller: Capital Markets (Topic)

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Viewing: 1 - 46 of 46 papers

1.

Luck Versus Skill in the Cross Section of Mutual Fund Returns

Tuck School of Business Working Paper No. 2009-56 , Chicago Booth School of Business Research Paper, Journal of Finance, Forthcoming
Number of pages: 43 Posted: 10 Mar 2009 Last Revised: 08 Feb 2010
Accepted Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 21,422
2.

Private Equity Performance: What Do We Know?

Journal of Finance, Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-44, Darden Business School Working Paper No. 1932316
Number of pages: 43 Posted: 23 Sep 2011 Last Revised: 30 Jul 2013
Accepted Paper Series
University of Virginia - Darden School of Business, University of Oxford - Said Business School and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 8,542
3.

Does the Fed Control Interest Rates?

The Review of Asset Pricing Studies, Forthcoming, Chicago Booth Research Paper No. 12-23, Fama-Miller Working Paper
Number of pages: 31 Posted: 05 Aug 2012 Last Revised: 02 Jul 2013
Accepted Paper Series
University of Chicago - Finance
Downloads 4,130
4.

Learning in Financial Markets

Learning in Financial Markets, Forthcoming, Chicago Booth School of Business Research Paper No. 08-28
Number of pages: 30 Posted: 08 Jan 2009
Accepted Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 3,853
5.

The Cross-Section and Time-Series of Stock and Bond Returns

Journal of Monetary Economics, Forthcoming, EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper
Number of pages: 65 Posted: 11 Feb 2009 Last Revised: 04 May 2017
Working Paper Series
New York University (NYU) - Department of Finance, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Multiple version iconThere are 4 versions of this paper

Downloads 3,378
6.

Scale and Skill in Active Management

Number of pages: 51 Posted: 01 Sep 2013 Last Revised: 01 Aug 2014
Working 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 5 versions of this paper

Downloads 3,116
7.

IQ and Stock Market Participation

AEA 2010 Atlanta Meetings Paper, CRSP Working Paper, Western Finance Association 2010 Meetings Paper, Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 09-27
Number of pages: 56 Posted: 02 Aug 2009 Last Revised: 23 Jan 2011
Accepted Paper Series
University of California, Los Angeles (UCLA) - Finance Area, Aalto University - School of Business and USC Marshall School of Business
Downloads 2,980
8.

The Price of Political Uncertainty: Theory and Evidence from the Option Market

Fama-Miller Working Paper
Number of pages: 69 Posted: 19 Nov 2013 Last Revised: 26 Jun 2016
Working Paper Series
University of Chicago - Finance, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 2,424
9.

The Cross-section of Managerial Ability, Incentives, and Risk Preferences

EFA 2008 Athens Meetings Paper, AFA 2009 San Francisco Meetings Paper
Number of pages: 88 Posted: 23 Mar 2009 Last Revised: 17 Oct 2012
Working Paper Series
New York University (NYU) - Department of Finance
Downloads 2,241
10.

Uncertainty about Government Policy and Stock Prices

Chicago Booth Research Paper No. 10-25, Fama-Miller Working Paper Series
Number of pages: 54 Posted: 16 Jun 2010 Last Revised: 06 Sep 2012
Accepted Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 2,125
11.

The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-19
Number of pages: 61 Posted: 22 Jun 2011 Last Revised: 22 Jul 2014
Working Paper Series
University of Chicago - Finance and Arizona State University (ASU) - Finance Department
Downloads 2,090
12.

Market Expectations in the Cross Section of Present Values

Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 11-08, Fama-Miller Working Paper , AFA 2013 San Diego Meetings Paper
Number of pages: 52 Posted: 02 Feb 2011 Last Revised: 11 Sep 2012
Working Paper Series
University of Chicago - Finance and Arizona State University (ASU) - Finance Department
Downloads 1,700
13.

Firm Volatility in Granular Networks

Chicago Booth Research Paper No. 12-56, Fama-Miller Working Paper
Number of pages: 47 Posted: 07 Dec 2012 Last Revised: 31 Aug 2017
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Chicago - Finance, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,443
14.

An Evaluation of the Reliability of Accounting Based Measures of Expected Returns: A Measurement Error Perspective

University of Notre Dame and INSEAD Working Paper
Number of pages: 62 Posted: 15 Sep 2003
Working Paper Series
University of Notre Dame - Department of Accountancy and INSEAD
Downloads 1,332
15.

The Cost of Financial Frictions for Life Insurers

American Economic Review, Vol. 105, No. 1, 2015, Chicago Booth Research Paper No. 12-30, Fama-Miller Working Paper
Number of pages: 42 Posted: 31 Mar 2012 Last Revised: 13 Nov 2014
Accepted Paper Series
New York University (NYU) - Department of Finance and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,162
16.

An Analysis of Risk and Pricing Anomalies

CRSP Working Paper No. 500
Number of pages: 40 Posted: 15 Mar 2000
Working Paper Series
Yale University, Yale SOM
Downloads 1,097
17.

Dynamic Equicorrelation

NYU Working Paper No. FIN-08-038, Chicago Booth Research Paper No. 12-07, Fama-Miller Working Paper
Number of pages: 40 Posted: 09 Mar 2009 Last Revised: 10 Nov 2015
Working Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics and University of Chicago - Finance
Downloads 1,060
18.

Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails

Boston College Finance Dept. Working Paper
Number of pages: 31 Posted: 16 Jul 2001
Working Paper Series
Boston University School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Chicago - Booth School of Business
Downloads 967
19.

The Role of the Media in Disseminating Insider-Trading News

Review of Accounting Studies, Forthcoming, Chicago Booth Research Paper No. 13-34, Fama-Miller Working Paper
Number of pages: 43 Posted: 19 Mar 2013 Last Revised: 01 Mar 2016
Working Paper Series
University of Colorado at Boulder - Leeds School of Business, The University of Chicago - Booth School of Business and University of Colorado at Boulder - Leeds School of Business
Downloads 930
20.

The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences

PIER Working Paper No. 10-011
Number of pages: 50 Posted: 15 Mar 2010 Last Revised: 15 Sep 2013
Working Paper Series
University of Pennsylvania - The Wharton School, University of Pennsylvania - Department of Economics, New York University (NYU) - Department of Finance and Federal Reserve Bank of Atlanta - Research Department

Multiple version iconThere are 3 versions of this paper

Downloads 919
21.

Portfolio Selection and Asset Pricing Models

Journal of Finance, forthcoming.
Number of pages: 49 Posted: 13 Feb 2009
Working Paper Series
University of Chicago - Booth School of Business
Downloads 903
22.

Diversification and Persistence in Hedge Funds

Number of pages: 17 Posted: 21 Nov 2005
Working Paper Series
Portfolio Engineering Laboratory, Corbin Capital Partners, L.P. and University of Chicago - Booth School of Business
Downloads 857
23.

Long-Horizon Returns

Chicago Booth Research Paper No. 17-17
Number of pages: 18 Posted: 24 May 2017
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 802
24.

Inflation and Earnings Uncertainty and Volatility Forecasts: A Structural Form Approach

Chicago GSB Research Paper, University of Calgary Haskyane School of Business Working Paper
Number of pages: 55 Posted: 27 Feb 2004 Last Revised: 20 Mar 2009
Working Paper Series
University of Calgary - Haskayne School of Business and University of Chicago - Booth School of Business
Downloads 770
25.

A Fundamentally Different Interpretation of the Relation Between Implied and Realized Volatility

Number of pages: 47 Posted: 02 Mar 2002
Working Paper Series
Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics
Downloads 627
26.

Comparisons of Alternative Quasi-Monte Carlo Sequences for American Option Pricing

Number of pages: 17 Posted: 29 Dec 2004
Working Paper Series
Northwestern University - Department of Industrial Engineering and Management Sciences and University of Chicago - Booth School of Business
Downloads 575
27.

Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic

Chicago Booth Research Paper No. 10-28, CRSP Working Paper Forthcoming
Number of pages: 43 Posted: 02 Jun 2010 Last Revised: 06 Sep 2012
Working Paper Series
Hoover Institution

Multiple version iconThere are 2 versions of this paper

Downloads 559
28.

A Tale of Two Option Markets: Pricing Kernels and Volatility Risk

Fama-Miller Working Paper, Forthcoming, Chicago Booth Research Paper No. 12-10
Number of pages: 48 Posted: 01 Mar 2012 Last Revised: 02 Oct 2017
Working Paper Series
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 525
29.

Reverse Survivorship Bias

Journal of Finance, Forthcoming, Western Finance Association 2010 Conference, CRSP Working Paper, Chicago Booth Research Paper No. 10-17
Number of pages: 49 Posted: 12 Apr 2010 Last Revised: 17 Nov 2011
Accepted Paper Series
USC Marshall School of Business
Downloads 474
30.

Performance Evaluation of Chinese Actively Managed Stock Mutual Funds

Chicago Booth Research Paper No. 13-55, Fama-Miller Working Paper
Number of pages: 46 Posted: 23 May 2013 Last Revised: 08 Aug 2013
Working Paper Series
Shanghai Jiaotong University (SJTU) - Shanghai Advanced Institute of Finance
Downloads 438
31.

Understanding Trust

CRSP Working Paper No. 621
Number of pages: 32 Posted: 04 Sep 2007
Working Paper Series
Northwestern University - Kellogg School of Management - Department of Finance, Universidad Carlos III de Madrid and University of Chicago - Booth School of Business

Multiple version iconThere are 5 versions of this paper

Downloads 405
32.

A New Capital Regulation for Large Financial Institutions

Chicago Booth Research Paper No. 09-36
Number of pages: 41 Posted: 02 Oct 2009
Working Paper Series
Harvard University - Department of Economics and University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 399
33.

Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities

CRSP Working Paper No. 495
Number of pages: 38 Posted: 26 Apr 2000
Working Paper Series
University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business
Downloads 319
34.

Financial Market Frictions and Diversification

Chicago Booth Research Paper No. 17-13
Number of pages: 87 Posted: 24 Oct 2016 Last Revised: 31 May 2017
Working Paper Series
University of Chicago - Booth School of Business, Stanford University and London Business School - Department of Finance
Downloads 302
35.

Cash Flow Duration and the Term Structure of Equity Returns

Number of pages: 79 Posted: 27 Oct 2015 Last Revised: 10 May 2017
Working Paper Series
University of Chicago - Finance

Multiple version iconThere are 4 versions of this paper

Downloads 294
36.

Resolution of Policy Uncertainty and Sudden Declines in Volatility

Chicago Booth Research Paper No. 13-78, Fama-Miller Working Paper
Number of pages: 56 Posted: 02 Nov 2013 Last Revised: 22 Aug 2017
Working Paper Series
Centre for Monetary and Financial Studies (CEMFI) and University of Chicago - Booth School of Business
Downloads 248
37.

The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth

CRSP Working Paper Forthcoming, Chicago Booth Research Paper No. 10-26
Number of pages: 42 Posted: 06 Jul 2010 Last Revised: 06 Sep 2012
Accepted Paper Series
Carnegie Mellon University and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 242
38.

Finance: Function Matters, Not Size

Number of pages: 26 Posted: 03 Apr 2013
Working Paper Series
Hoover Institution

Multiple version iconThere are 2 versions of this paper

Downloads 234
39.

Hard Times

Chicago Booth Research Paper No. 12-46, Fama-Miller Working Paper
Number of pages: 50 Posted: 13 Sep 2012
Working Paper Series
Harvard University - Department of Economics, Yale School of Management and London School of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 174
40.

Are Options on Index Futures Profitable for Risk Averse Investors‘ Empirical Evidence

Number of pages: 73 Posted: 14 Oct 2008 Last Revised: 26 Jul 2010
Working Paper Series
University of Chicago - Booth School of Business, Concordia University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 170
41.

Endogenous Liquidity and Defaultable Bonds

Chicago Booth Research Paper No. 12-32, Fama-Miller Working Paper
Number of pages: 62 Posted: 21 Aug 2012 Last Revised: 10 Apr 2013
Working Paper Series
University of Chicago - Booth School of Business, and NBER and Northwestern University - Kellogg School of Management - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 164
42.

Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion

Chicago Booth Research Paper No. 15-29, Fama-Miller Working Paper
Number of pages: 69 Posted: 20 Aug 2013 Last Revised: 09 Oct 2015
Working Paper Series
University of California, Berkeley - Haas School of Business, University of Chicago - Booth School of Business and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 156
43.

Are Sticky Prices Costly? Evidence from the Stock Market

American Economic Review, Vol. 106, No. 1, 2016
Number of pages: 42 Posted: 06 Mar 2013 Last Revised: 10 May 2017
Accepted Paper Series
University of California, Berkeley - Department of Economics and University of Chicago - Finance

Multiple version iconThere are 2 versions of this paper

Downloads 108
44.

Flexible Prices and Leverage

CESifo Working Paper Series No. 6317
Number of pages: 77 Posted: 28 Feb 2017
Working Paper Series
University of Maryland - Robert H. Smith School of Business, University of California, Berkeley, University of British Columbia (UBC) - Division of Finance and University of Chicago - Finance

Multiple version iconThere are 4 versions of this paper

Downloads 50
45.

Asset Pricing with Heterogeneous Consumers

J. OF POLITICAL ECONOMY, Vol. 104 No. 2, April 1996
Posted: 28 Jun 1998
Accepted Paper Series
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
46.

Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences

Finance and Stochastics, Vol. 3 Iss. 3, May 1999
Posted: 17 Aug 1999
Accepted Paper Series
University of Chicago - Booth School of Business and University of Texas at Austin - Red McCombs School of Business