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

32

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36,780

SSRN CITATIONS
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Top 297

in Total Papers Citations

721

CROSSREF CITATIONS

1,851

Scholarly Papers (32)

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1.

Predicting the Equity Premium with Dividend Ratios

Downloads 3,854 ( 2,662)
Citation 211

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 3,753 (2,731)
Citation 9

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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 101 (286,904)
Citation 16

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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 3,831 (2,683)
Citation 3

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option returns, implied volatility

3.

A Comprehensive Look at the Empirical Performance of Equity Premium Prediction

Downloads 3,232 ( 3,591)
Citation 709

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 3,115 (3,759)
Citation 6

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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 117 (258,329)
Citation 105

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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: 23 Jan 2020
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 2,751 (4,738)
Citation 31

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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 2,366 (6,091)

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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 1,969 (8,317)
Citation 33

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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 1,904 (8,819)
Citation 9

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8.

Liquidity and the Post-Earnings-Announcement Drift

Downloads 1,795 ( 9,654)
Citation 37

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 1,432 (13,588)
Citation 40

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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 363 (88,301)

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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.

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 1,770 (9,903)
Citation 17

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Momentum, market timing, return predictability

10.

Liquidity and Autocorrelations in Individual Stock Returns

Downloads 1,671 ( 10,858)

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 1,671 (10,669)
Citation 45

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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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11.

Asset Allocation and Bad Habits

Rotman International Journal of Pension Management, Vol. 7, No. 2, 2014
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 1,405 (14,288)
Citation 3

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

12.

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 1,020 (23,143)
Citation 8

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Asymmetric Correlations, Downside correlations, Retail Investors

13.

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 1,002 (23,767)
Citation 13

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Momentum, Market Efficiency, Return Predictability

14.

Idiosyncratic Risk Matters!

Downloads 1,000 ( 23,832)
Citation 149

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 1,000 (23,437)
Citation 149

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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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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 926 (26,608)
Citation 69

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16.

The Impact of Trades on Daily Volatility

Downloads 880 ( 28,624)

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 880 (28,188)
Citation 19

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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
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 788 (33,385)
Citation 24

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18.

Misvaluation and Return Anomalies in Distress Stocks

Downloads 705 ( 38,866)
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 378 (84,179)
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 327 (99,431)
Citation 2

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financial distress, return anomalies, misvaluation

19.

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 699 (39,310)
Citation 8

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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 609 (47,237)
Citation 2

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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 593 (48,919)
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 480 (63,840)
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 381 (84,145)
Citation 2

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Mispricing, Default Options, Stock Returns

24.

Options Trading and Stock Price Informativeness

Swiss Finance Institute Research Paper No. 19-74
Number of pages: 65 Posted: 18 Jun 2019 Last Revised: 30 Apr 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 245 (135,838)
Citation 1

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

25.

Implied Volatility Changes and Corporate Bond Returns

Swiss Finance Institute Research Paper No. 19-75
Number of pages: 61 Posted: 18 Jun 2019 Last Revised: 26 Feb 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 214 (155,486)
Citation 1

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

26.

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 213 (155,486)
Citation 3

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Distress anomaly, International finance

27.

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 183 (178,816)
Citation 75

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Asset pricing, Default option

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 156 (205,126)
Citation 2

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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 95 (296,617)

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 95 (300,804)
Citation 20

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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.

Cheap Options Are Expensive

Number of pages: 50 Posted: 16 Jun 2020
Assaf Eisdorfer, Amit Goyal and Alexei Zhdanov
University of Connecticut - Department of Finance, University of Lausanne and Pennsylvania State University
Downloads 40 (458,264)

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Option Returns, Investor Inattention

31.

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, UCLA Anderson and University of Lausanne
Downloads 3 (680,162)
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32.

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

Abstract:

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Pensions, Asset Management, Plan Sponsors