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University of California, Davis Graduate School of Management Research Paper Series

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Viewing: 1 - 50 of 256 papers

1.

Scale Effects in Mutual Fund Performance: The Role of Trading Costs

Number of pages: 41 Posted: 13 Dec 2006 Last Revised: 08 Jul 2009
Working Paper Series
University of California, Davis - Graduate School of Management, University of Virginia - Darden School of Business and Virginia Polytechnic Institute & State University - Pamplin College of Business
Downloads 4,326
2.

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

Multiple version iconThere are 3 versions of this paper

Downloads 4,151
3.

All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors

EFA 2005 Moscow Meetings Paper
Number of pages: 51 Posted: 20 Jun 2005
Working Paper Series
University of California, Davis and University of California, Berkeley - Haas School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,093
4.

The Courage of Misguided Convictions: The Trading Behavior of Individual Investors

Number of pages: 37 Posted: 12 Apr 2000
Working Paper Series
University of California, Davis and University of California, Berkeley - Haas School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 3,514
5.

Do Noise Traders Move Markets?

EFA 2006 Zurich Meetings Paper
Number of pages: 47 Posted: 15 Dec 2005
Working Paper Series
University of California, Davis, University of California, Berkeley - Haas School of Business and China Academy of Financial Research (CAFR)
Downloads 3,184
6.

CAPM Over the Long-Run: 1926-2001

AFA 2004 San Diego Meetings
Number of pages: 41 Posted: 23 Nov 2003
Working Paper Series
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 3,045
7.

Downside Correlation and Expected Stock Returns

EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Number of pages: 47 Posted: 09 Nov 2001
Working Paper Series
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 2,954
8.

Up Close and Personal: An Individual Level Analysis of the Disposition Effect

Yale ICF Working Paper No. 02-20
Number of pages: 39 Posted: 11 Mar 2002
Working Paper Series
Yale School of Management - International Center for Finance and China Academy of Financial Research (CAFR)
Downloads 2,932
9.

Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors

Number of pages: 34 Posted: 12 Apr 2000
Working Paper Series
University of California, Davis and University of California, Berkeley - Haas School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,900
10.

Volume and Price Patterns Around a Stock's 52-Week Highs and Lows: Theory and Evidence

Number of pages: 32 Posted: 08 Jan 2003 Last Revised: 19 Sep 2012
Working Paper Series
Pennsylvania State University, University Park - Department of Accounting, University of North Carolina at Chapel Hill and University of California, Davis - Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,869
11.

The Cross-Section of Speculator Skill: Evidence from Day Trading

Number of pages: 44 Posted: 15 Apr 2004 Last Revised: 24 Feb 2013
Working Paper Series
University of California, Davis, Peking University - Guanghua School of Management, National Chengchi University (NCCU) - Department of Finance and Banking and University of California, Berkeley - Haas School of Business
Downloads 2,861
12.

Can Investors Profit from the Prophets? Consensus Analyst Recommendations and Stock Returns

Number of pages: 47 Posted: 04 Nov 1998
Working Paper Series
University of California, Davis, University of Michigan, Stephen M. Ross School of Business, Stanford University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 2,563
13.

Stock Price Response to News of Securities Fraud Litigation: Market Efficiency and the Slow Diffusion of Costly Information

Stanford Law and Economics Olin Working Paper No. 208
Number of pages: 59 Posted: 06 Dec 2000
Working Paper Series
University of California, Davis - Graduate School of Management, Stanford University Law School and St. John's University School of Law
Downloads 2,384
14.

The Local Bias of Individual Investors

Yale ICF Working Paper No. 02-30
Number of pages: 59 Posted: 13 Mar 2002
Working Paper Series
China Academy of Financial Research (CAFR)
Downloads 2,239
15.

Monitoring the Monitor: Evaluating CalPERS' Activism

Number of pages: 27 Posted: 24 Mar 2006
Working Paper Series
University of California, Davis
Downloads 2,192
16.

The Impact of Clientele Changes: Evidence from Stock Splits

Yale ICF Working Paper No. 03-14, EFA 2005 Moscow Meetings Paper, AFA 2005 Philadelphia Meetings
Number of pages: 60 Posted: 28 Dec 2004
Accepted Paper Series
Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance and China Academy of Financial Research (CAFR)
Downloads 2,147
17.

China and the World Financial Markets 1870-1930: Modern Lessons From Historical Globalization (English Version)

Yale ICF Working Paper No. 00-62
Number of pages: 60 Posted: 31 Oct 2001
Working Paper Series
Yale School of Management - International Center for Finance, Cornell University and China Academy of Financial Research (CAFR)
Downloads 2,136
18.

Boys will be Boys: Gender, Overconfidence, and Common Stock Investment

Number of pages: 39 Posted: 12 Nov 1998
Working Paper Series
University of California, Davis and University of California, Berkeley - Haas School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,004
19.

Rain or Shine: Where is the Weather Effect?

Yale ICF Working Paper No. 02-27; EFA 2003 Annual Conference Paper No. 304
Number of pages: 32 Posted: 27 Aug 2002
Working Paper Series
China Academy of Financial Research (CAFR) and Yale School of Management - International Center for Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,903
20.

Out of Sight, Out of Mind: The Effects of Expenses on Mutual Fund Flows

Number of pages: 36 Posted: 03 May 2004
Working Paper Series
University of California, Davis, University of California, Berkeley - Haas School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 1,889
21.

Intertemporal CAPM and the Cross-Section of Stock Returns

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 56 Posted: 03 Mar 2002
Working Paper Series
University of California, Davis - Graduate School of Management
Downloads 1,817
22.

Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Number of pages: 47 Posted: 03 Jan 2000
Working Paper Series
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,767
23.

Systematic Noise

AFA 2004 San Diego Meetings, EFA 2005 Moscow Meetings Paper
Number of pages: 33 Posted: 14 Aug 2005
Working Paper Series
University of California, Davis, University of California, Berkeley - Haas School of Business and China Academy of Financial Research (CAFR)
Downloads 1,724
24.

Prophets and Losses: Reassessing the Returns to Analysts' Stock Recommendations

Number of pages: 19 Posted: 18 May 2001
Working Paper Series
University of California, Davis, University of Michigan, Stephen M. Ross School of Business, Stanford University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 1,697
25.

Asymmetric Correlations of Equity Portfolios

EFA 2001 Barcelona Meetings
Number of pages: 56 Posted: 19 May 2000
Working Paper Series
University of California, Davis - Graduate School of Management and BlackRock, Inc
Downloads 1,680
26.

Loopholes for Circumventing the Constitution: Unrestrained Bulk Surveillance on Americans by Collecting Network Traffic Abroad

21 MICH. TELECOMM. & TECH. L. REV. 317 (2015), Also presented at Privacy Enhancing Technologies Symposium (HOTPETS'14), Amsterdam, NL, July 2014., Also presented at Telecommunications Policy Research Conference (TPRC’42), Washington, DC, September 2014.,
Number of pages: 47 Posted: 30 Jun 2014 Last Revised: 16 Jun 2015
Accepted Paper Series
University of Amsterdam - Institute for Information Law (IViR) and Boston University - Department of Computer Science
Downloads 1,610
27.

Short-Sales in Global Perspective

Yale ICF Working Paper No. 04-01
Number of pages: 30 Posted: 27 Jan 2004
Working Paper Series
IMD International, Yale School of Management - International Center for Finance and China Academy of Financial Research (CAFR)
Downloads 1,495
28.

The Relevance to Investors of Greenhouse Gas Emission Disclosures

UC Davis Graduate School of Management Research Paper No. 01-11
Number of pages: 60 Posted: 06 Jan 2011 Last Revised: 14 Apr 2015
Working Paper Series
University of California, Davis - Graduate School of Management, University of Otago - Department of Accountancy and Finance and Boston University - Questrom School of Business
Downloads 1,469
29.

Comparing the Stock Recommendation Performance of Investment Banks and Independent Research Firms

Number of pages: 43 Posted: 04 Aug 2004
Working Paper Series
University of California, Davis, University of Michigan, Stephen M. Ross School of Business and University of California, Los Angeles (UCLA) - Anderson School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,428
30.

Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization

American Economic Review, Vol. 94, No. 5, 2004
Number of pages: 51 Posted: 27 Feb 2003 Last Revised: 12 Feb 2010
Accepted Paper Series
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Syracuse University - Department of Economics
Downloads 1,427
31.

Corporate Governance and Audit Fees: Evidence of Countervailing Relations

Number of pages: 55 Posted: 14 Dec 2007 Last Revised: 04 Sep 2008
Working Paper Series
University of California, Davis - Graduate School of Management, University of Otago - Department of Accountancy and Finance and Boston University - Questrom School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,422
32.

Just How Much Do Individual Investors Lose By Trading?

AFA 2006 Boston Meetings Paper, EFA 2005 Moscow Meetings Paper
Number of pages: 30 Posted: 02 Sep 2005
Working Paper Series
University of California, Davis, Peking University - Guanghua School of Management, National Chengchi University (NCCU) - Department of Finance and Banking and University of California, Berkeley - Haas School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,394
33.

The Chinese Bond Market: Historical Lessons, Present Challenges and Future Perspectives

Yale ICF Working Paper No. 07-04
Number of pages: 35 Posted: 11 Jun 2007
Working Paper Series
International Monetary Fund (IMF) and China Academy of Financial Research (CAFR)
Downloads 1,325
34.

China and the World Financial Markets 1870-1930: Modern Lessons From Historical Globalization (Chinese Version)

Yale ICF Working Paper No. 00-63; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 55 Posted: 01 Nov 2001
Working Paper Series
Yale School of Management - International Center for Finance, Cornell University and China Academy of Financial Research (CAFR)
Downloads 1,323
35.

Downside Risk

AFA 2005 Philadelphia Meetings
Number of pages: 38 Posted: 30 Dec 2004
Working Paper Series
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University

Multiple version iconThere are 3 versions of this paper

Downloads 1,294
36.

Analyst Disagreement, Mispricing and Liquidity

Journal of Finance, Forthcoming, EFA 2005 Moscow Meetings Paper
Number of pages: 42 Posted: 07 Jul 2004
Accepted Paper Series
Boston College - Carroll School of Management and University of California, Davis - Graduate School of Management
Downloads 1,293
37.

Why Are Mutual Fund Flow and Market Returns Related? Evidence from High-frequency Data

Number of pages: 39 Posted: 03 Apr 1999
Working Paper Series
University of California, Davis - Graduate School of Management and University of Rochester – Simon Business School
Downloads 1,264
38.

Real Estate Prices During the Roaring Twenties and the Great Depression

UC Davis Graduate School of Management Research Paper No. 18-09
Number of pages: 44 Posted: 08 Sep 2009 Last Revised: 24 Mar 2011
Working Paper Series
Harvard University - Entrepreneurial Management Unit and University of California, Davis - Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,262
39.

Do Individual Investors Learn from Their Trading Experience?

Yale ICF Working Paper No. 03-32
Number of pages: 28 Posted: 15 Nov 2003
Working Paper Series
Northern Illinois University, Smeal College of Business, The Pennsylvania State University and China Academy of Financial Research (CAFR)
Downloads 1,244
40.

Holding Size While Improving Power in Tests of Long-Run Abnormal Stock Returns

Number of pages: 35 Posted: 02 Dec 1996
Working Paper Series
University of California, Davis, affiliation not provided to SSRN and University of California, Davis - Graduate School of Management
Downloads 1,180
41.

An Analysis Of Mutual Fund Trading Costs

Number of pages: 43 Posted: 27 Apr 2000
Working Paper Series
University of Oregon, University of California, Davis - Graduate School of Management and Virginia Polytechnic Institute & State University - Pamplin College of Business
Downloads 1,167
42.

How Representative are Cross-Listed Firms? An Analysis of Firm and Accounting Quality

Number of pages: 36 Posted: 13 Aug 2001
Working Paper Series
University of North Carolina at Chapel Hill, University of North Carolina at Chapel Hill and University of California, Davis - Graduate School of Management
Downloads 1,142
43.

Financial Disclosure Management by Nonprofit Organizations

Number of pages: 46 Posted: 30 Sep 2002
Working Paper Series
Michigan State University - Department of Accounting & Information Systems, University of California, Davis - Graduate School of Management and University of California, Davis - Graduate School of Management
Downloads 1,122
44.
Downloads 1,096
45.

The Effects of Auditor Dismissals and Resignations on Audit Fees: Evidence Based on SEC Disclosures Under Sarbanes-Oxley

Number of pages: 60 Posted: 21 Feb 2005
Working Paper Series
University of California, Davis - Graduate School of Management and University of Otago - Department of Accountancy and Finance
Downloads 1,055
46.

The Costs of Bankruptcy

Journal of Finance, Forthcoming, Yale ICF Working Paper No. 04-13, AFA 2005 Philadelphia Meetings Paper
Number of pages: 81 Posted: 07 Dec 2005
Accepted Paper Series
IMD International, University of California, Los Angeles (UCLA) and China Academy of Financial Research (CAFR)
Downloads 998
47.

The Dynamics of Large and Small Chapter 11 Cases: An Empirical Study

Yale ICF Working Paper No. 05-29, ECGI - Finance Working Paper No. 107/2005, AFA 2008 New Orleans Meetings Paper
Number of pages: 43 Posted: 19 Feb 2007
Working Paper Series
University of Chicago Law School, IMD International and China Academy of Financial Research (CAFR)
Downloads 984
48.

Online Investors: Do the Slow Die First?

EFA 0335
Number of pages: 47 Posted: 12 Apr 2000
Working Paper Series
University of California, Davis and University of California, Berkeley - Haas School of Business
Downloads 958
49.

Breadth of Ownership and Stock Returns

AFA 2002 Atlanta Meetings
Number of pages: 48 Posted: 03 Jan 2001
Working Paper Series
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 953
50.

The Importance of Business Risk in Setting Audit Fees: Evidence from Cases of Client Misconduct

Graduate School of Management, University of California at Davis Working Paper
Number of pages: 33 Posted: 10 Jul 2002
Working Paper Series
The University of Melbourne, Department of Accounting and Business Information Systems and University of California, Davis - Graduate School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 880