Amit Goyal

University of Lausanne

Quartier Chambronne

Lausanne, Vaud CH-1015

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

  • University of Lausanne

  • Swiss Finance Institute

SCHOLARLY PAPERS

31

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SSRN CITATIONS
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586

CROSSREF CITATIONS

1,845

Scholarly Papers (31)

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1.

Predicting the Equity Premium with Dividend Ratios

Downloads 3,841 ( 2,491)
Citation 207

Predicting the Equity Premium with Dividend Ratios

Yale ICF Working Paper No. 02-04
Number of pages: 36 Posted: 28 Apr 1999
Amit Goyal and Ivo Welch
University of Lausanne and University of California, Los Angeles (UCLA)
Downloads 3,744 (2,566)
Citation 6

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Predicting the Equity Premium with Dividend Ratios

NBER Working Paper No. w8788
Number of pages: 33 Posted: 14 Feb 2002 Last Revised: 26 Oct 2010
Amit Goyal and Ivo Welch
University of Lausanne and University of California, Los Angeles (UCLA)
Downloads 97 (280,694)
Citation 15

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2.

Option Returns and Volatility Mispricing

Number of pages: 38 Posted: 14 Mar 2006
Amit Goyal and Alessio Saretto
University of Lausanne and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 3,692 (2,678)
Citation 3

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option returns, implied volatility

3.

A Comprehensive Look at the Empirical Performance of Equity Premium Prediction

Downloads 3,191 ( 3,430)
Citation 670

A Comprehensive Look at the Empirical Performance of Equity Premium Prediction

Yale ICF Working Paper No. 04-11
Number of pages: 59 Posted: 30 Apr 2004
Amit Goyal and Ivo Welch
University of Lausanne and University of California, Los Angeles (UCLA)
Downloads 3,078 (3,557)
Citation 4

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Equity Premium, Prediction, Stock Market

A Comprehensive Look at the Empirical Performance of Equity Premium Prediction

NBER Working Paper No. w10483
Number of pages: 53 Posted: 26 May 2004 Last Revised: 25 Aug 2010
Amit Goyal and Ivo Welch
University of Lausanne and University of California, Los Angeles (UCLA)
Downloads 113 (252,178)
Citation 69

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A Comprehensive Look at the Empirical Performance of Equity Premium Prediction

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1455-1508, 2008
Posted: 08 Aug 2008
Ivo Welch and Amit Goyal
University of California, Los Angeles (UCLA) and University of Lausanne

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G12, G14

4.

Anomalies and False Rejections

Swiss Finance Institute Research Paper No. 17-37
Number of pages: 66 Posted: 14 Aug 2017 Last Revised: 30 Oct 2019
Tarun Chordia, Amit Goyal and Alessio Saretto
Emory University - Department of Finance, University of Lausanne and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 2,571 (4,936)
Citation 26

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Hypothesis testing, False discoveries, Trading strategies

5.

A Note on 'Predicting Returns with Financial Ratios'

Yale ICF Working Paper No. 04-02
Number of pages: 12 Posted: 27 Jan 2004
Ivo Welch and Amit Goyal
University of California, Los Angeles (UCLA) and University of Lausanne
Downloads 2,339 (5,800)

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6.

Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics

Number of pages: 61 Posted: 15 Jan 2015 Last Revised: 14 Jan 2019
Tarun Chordia, Amit Goyal and Jay A. Shanken
Emory University - Department of Finance, University of Lausanne and Emory University - Goizueta Business School
Downloads 1,849 (8,600)
Citation 35

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Asset Pricing, Individual Stocks, Factor Loadings, Characteristics, Errors-in-Variables

7.

High-Frequency Trading

Johnson School Research Paper Series No. #20-2013
Number of pages: 15 Posted: 13 Jun 2013
Tarun Chordia, Amit Goyal, Bruce N. Lehmann and Gideon Saar
Emory University - Department of Finance, University of Lausanne, University of California, San Diego and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,832 (8,724)
Citation 5

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8.

Liquidity and the Post-Earnings-Announcement Drift

Downloads 1,785 ( 9,094)
Citation 34

Liquidity and the Post-Earnings-Announcement Drift

AFA 2008 New Orleans Meetings Paper
Number of pages: 35 Posted: 20 Mar 2007 Last Revised: 24 Aug 2011
Tarun Chordia, Ronnie Sadka, Amit Goyal, Gil Sadka and Lakshmanan Shivakumar
Emory University - Department of Finance, Boston College - Carroll School of Management, University of Lausanne, University of Texas at Dallas and London Business School
Downloads 1,427 (12,779)
Citation 37

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G11, G12, C11

Liquidity and the Post-Earnings-Announcement Drift

Financial Analysts Journal, Forthcoming
Number of pages: 36 Posted: 18 May 2009
Tarun Chordia, Amit Goyal, Gil Sadka, Ronnie Sadka and Lakshmanan Shivakumar
Emory University - Department of Finance, University of Lausanne, University of Texas at Dallas, Boston College - Carroll School of Management and London Business School
Downloads 358 (84,803)

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Research Sources, Equity Investments, Technical Analysis, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies

Liquidity and the Post-Earnings-Announcement Drift

Financial Analysts Journal, Vol. 65, No. 4, 2009
Posted: 09 Aug 2009
Tarun Chordia, Amit Goyal, Gil Sadka, Ronnie Sadka and Lakshmanan Shivakumar
Emory University - Department of Finance, University of Lausanne, University of Texas at Dallas, Boston College - Carroll School of Management and London Business School

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Equity Investments, Research Sources, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies

9.

Liquidity and Autocorrelations in Individual Stock Returns

Downloads 1,662 ( 10,240)

Liquidity and Autocorrelations in Individual Stock Returns

Number of pages: 41 Posted: 13 Jun 2004
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne
Downloads 1,662 (10,056)
Citation 42

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Liquidity and Autocorrelations in Individual Stock Returns

Journal of Finance, Forthcoming
Posted: 04 Aug 2005
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne

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10.

Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?

Swiss Finance Institute Research Paper No. 15-13
Number of pages: 72 Posted: 25 May 2015 Last Revised: 18 Oct 2017
Amit Goyal and Narasimhan Jegadeesh
University of Lausanne and Emory University - Department of Finance
Downloads 1,647 (10,396)
Citation 13

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Momentum, market timing, return predictability

11.

Asset Allocation and Bad Habits

Rotman International Journal of Pension Management, Vol. 7, No. 2, 2014, Columbia Business School Research Paper No. 14-42
Number of pages: 13 Posted: 17 Sep 2014
Andrew Ang, Amit Goyal and Antti Ilmanen
BlackRock, Inc, University of Lausanne and AQR Capital Management
Downloads 1,362 (14,047)
Citation 3

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Asset Allocation, Mean Reversion, Momentum Investing, Pension Fund, Return Attribution

12.

Is Momentum an Echo?

Number of pages: 51 Posted: 01 Oct 2011 Last Revised: 27 Apr 2013
Amit Goyal and Sunil Wahal
University of Lausanne and Arizona State University (ASU) - Finance Department
Downloads 991 (22,655)
Citation 12

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Momentum, Market Efficiency, Return Predictability

13.

Idiosyncratic Risk Matters!

Downloads 991 ( 22,655)
Citation 143

Idiosyncratic Risk Matters!

AFA 2003 Washington, DC Meetings
Number of pages: 43 Posted: 17 Oct 2002
Amit Goyal and Pedro Santa-Clara
University of Lausanne and New University of Lisbon - Nova School of Business and Economics
Downloads 991 (22,268)
Citation 143

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Idiosyncratic Risk Matters!

The Journal of Finance, Vol. 58, pp. 975-1008, June 2003
Posted: 04 Aug 2003
Amit Goyal and Pedro Santa-Clara
University of Lausanne and New University of Lisbon - Nova School of Business and Economics

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14.

Pairwise Correlations

Number of pages: 33 Posted: 15 Mar 2011 Last Revised: 14 Nov 2013
Tarun Chordia, Amit Goyal and Qing Tong
Emory University - Department of Finance, University of Lausanne and School of Business, Renmin University of China
Downloads 986 (22,825)
Citation 8

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Asymmetric Correlations, Downside correlations, Retail Investors

15.

Performance Persistence in Institutional Investment Management

EFA 2006 Zurich Meetings Paper
Number of pages: 46 Posted: 14 Jun 2006
Jeffrey A. Busse, Amit Goyal and Sunil Wahal
Emory University - Department of Finance, University of Lausanne and Arizona State University (ASU) - Finance Department
Downloads 911 (25,625)
Citation 63

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16.

The Impact of Trades on Daily Volatility

Downloads 875 ( 27,125)

The Impact of Trades on Daily Volatility

AFA 2005 Philadelphia Meetings
Number of pages: 46 Posted: 21 Mar 2004
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne
Downloads 875 (26,693)
Citation 18

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asymmetric volatility, informed trades, liquidity based trades

The Impact of Trades on Daily Volatility

Review of Financial Studies, Forthcoming
Posted: 12 Aug 2005
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne

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The Impact of Trades on Daily Volatility

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1241-1277, 2006
Posted: 29 Feb 2008
Doron Avramov, Tarun Chordia and Amit Goyal
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne

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17.

Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, 27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 55 Posted: 11 Aug 2014 Last Revised: 09 Jun 2017
Tarun Chordia, Amit Goyal, Yoshio Nozawa, Avanidhar Subrahmanyam and Qing Tong
Emory University - Department of Finance, University of Lausanne, Hong Kong University of Science and Technology, University of California, Los Angeles (UCLA) - Finance Area and School of Business, Renmin University of China
Downloads 753 (33,428)
Citation 16

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18.

Dynamic Portfolio Choice: A Simulation Approach

Number of pages: 43 Posted: 05 Jun 2001
Michael W. Brandt, Amit Goyal and Pedro Santa-Clara
Duke University - Fuqua School of Business, University of Lausanne and New University of Lisbon - Nova School of Business and Economics
Downloads 697 (37,151)
Citation 7

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19.

Misvaluation and Return Anomalies in Distress Stocks

Downloads 695 ( 37,304)
Citation 2

Misvaluation and Return Anomalies in Distress Stocks

Swiss Finance Institute Research Paper No. 12-12
Number of pages: 50 Posted: 16 Mar 2012
Assaf Eisdorfer, Amit Goyal and Alexei Zhdanov
University of Connecticut - Department of Finance, University of Lausanne and Pennsylvania State University
Downloads 369 (81,837)
Citation 1

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Financial Distress, Return Anomalies, Misvaluation

Misvaluation and Return Anomalies in Distress Stocks

AFA 2013 San Diego Meetings Paper
Number of pages: 47 Posted: 17 Mar 2012
Assaf Eisdorfer, Amit Goyal and Alexei Zhdanov
University of Connecticut - Department of Finance, University of Lausanne and Pennsylvania State University
Downloads 326 (94,378)
Citation 2

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financial distress, return anomalies, misvaluation

20.

Buyers Versus Sellers: Who Initiates Trades and When?

Swiss Finance Institute Research Paper No. 11-43
Number of pages: 45 Posted: 23 Aug 2011 Last Revised: 10 Mar 2015
Tarun Chordia, Amit Goyal and Narasimhan Jegadeesh
Emory University - Department of Finance, University of Lausanne and Emory University - Department of Finance
Downloads 606 (44,807)
Citation 1

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Order imbalance, disposition effect, tax-loss selling

21.

No Size Anomalies in U.S. Bank Stock Returns

Number of pages: 25 Posted: 19 Mar 2014 Last Revised: 15 Aug 2017
Amit Goyal
University of Lausanne
Downloads 582 (47,244)
Citation 1

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Government guarantees, banks, stock returns, size effect

22.

How Common are Common Return Factors Across NYSE and NASDAQ?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 27 Sep 2007 Last Revised: 14 Mar 2013
Christophe Perignon, Amit Goyal and Christophe Villa
HEC Paris - Finance Department, University of Lausanne and Audencia Nantes School of Management
Downloads 478 (60,619)
Citation 4

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Risk Factors

23.

Equity Misvaluation and Default Options

Journal of Finance, Forthcoming
Number of pages: 62 Posted: 29 Oct 2016 Last Revised: 03 Feb 2018
Assaf Eisdorfer, Amit Goyal and Alexei Zhdanov
University of Connecticut - Department of Finance, University of Lausanne and Pennsylvania State University
Downloads 366 (83,341)
Citation 1

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Mispricing, Default Options, Stock Returns

24.

Distress Anomaly and Shareholder Risk: International Evidence

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 36 Posted: 21 May 2013 Last Revised: 02 Oct 2015
Assaf Eisdorfer, Amit Goyal and Alexei Zhdanov
University of Connecticut - Department of Finance, University of Lausanne and Pennsylvania State University
Downloads 205 (153,032)
Citation 2

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Distress anomaly, International finance

25.

Default Option and the Cross-Section of Stock Returns

Number of pages: 50 Posted: 18 Sep 2015
Assaf Eisdorfer, Amit Goyal and Alexei Zhdanov
University of Connecticut - Department of Finance, University of Lausanne and Pennsylvania State University
Downloads 178 (174,077)
Citation 73

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Asset pricing, Default option

26.

Option Trading and Stock Price Informativeness

Swiss Finance Institute Research Paper No. 19-74
Number of pages: 60 Posted: 18 Jun 2019 Last Revised: 02 Jan 2020
Jie Cao, Amit Goyal, Sai Ke and Xintong Zhan
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Lausanne, University of Houston - C.T. Bauer College of Business and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 145 (207,219)

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option trading, price informativeness, stock synchronicity, information acquisition and production

27.

Implied Volatility Changes and Corporate Bond Returns

Swiss Finance Institute Research Paper No. 19-75
Number of pages: 53 Posted: 18 Jun 2019 Last Revised: 03 Jan 2020
Jie Cao, Amit Goyal, Xiao Xiao and Xintong Zhan
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Lausanne, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 130 (226,139)

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Corporate bonds, implied volatility changes, default risk, information diffusion

28.

Distance-Based Metrics: A Bayesian Solution to the Power and Extreme-Error Problems in Asset-Pricing Tests

Swiss Finance Institute Research Paper No. 18-78
Number of pages: 56 Posted: 11 Dec 2018 Last Revised: 09 Jan 2019
Amit Goyal, Zhongzhi Lawrence He and Sahn-Wook Huh
University of Lausanne, Brock University, Goodman School of Business and State University of New York (SUNY) - Department of Finance
Downloads 116 (246,344)

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Asset-Pricing Tests, Power Problem, Extreme-Error Problem, Distance-Based Metrics, Optimal Transport Theory, Bayesian Interpretations, Model Comparisons and Rankings

29.

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

Downloads 92 (288,437)

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

NBER Working Paper No. w10934
Number of pages: 50 Posted: 15 Dec 2004 Last Revised: 14 Aug 2009
Michael W. Brandt, Amit Goyal, Pedro Santa-Clara and Jonathan R Stroud
Duke University - Fuqua School of Business, University of Lausanne, New University of Lisbon - Nova School of Business and Economics and McDonough School of Business, Georgetown University
Downloads 92 (290,632)
Citation 15

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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

The Review of Financial Studies, Vol. 18, Issue 3, pp. 831-873, 2005
Posted: 29 Feb 2008
Michael W. Brandt, Amit Goyal, Pedro Santa-Clara and Jonathan R Stroud
Duke University - Fuqua School of Business, University of Lausanne, New University of Lisbon - Nova School of Business and Economics and McDonough School of Business, Georgetown University

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time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem

30.

Assessing Project Risk

Journal of Applied Corporate Finance, Vol. 24, Issue 3, pp. 94-100, 2012
Number of pages: 9 Posted: 13 Oct 2012
Antonio E. Bernardo, Bhagwan Chowdhry and Amit Goyal
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and University of Lausanne
Downloads 3 (648,643)
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31.

The Selection and Termination of Investment Managers By Plan Sponsors

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The Selection and Termination of Investment Managers By Plan Sponsors

Journal of Finance, Forthcoming
Posted: 18 Jun 2007
Amit Goyal and Sunil Wahal
University of Lausanne and Arizona State University (ASU) - Finance Department

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Pensions, Asset Management, Plan Sponsors

The Selection and Termination of Investment Managers by Plan Sponsors

EFA 2005 Moscow Meetings Paper
Posted: 02 Mar 2005
Amit Goyal and Sunil Wahal
University of Lausanne and Arizona State University (ASU) - Finance Department

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Pensions, Asset Management, Plan Sponsors