Amit Goyal

University of Lausanne

Lausanne, Vaud CH-1015

Switzerland

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 623

SSRN RANKINGS

Top 623

in Total Papers Downloads

27,699

CITATIONS
Rank 502

SSRN RANKINGS

Top 502

in Total Papers Citations

951

Scholarly Papers (27)

1.
Downloads 3,743 ( 1,765)
Citation 170

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 3,665 (1,807)
Citation 170

Abstract:

Predicting the Equity Premium with Dividend Ratios

NBER Working Paper No. w8788
Number of pages: 33 Posted: 14 Feb 2002
Amit Goyal and Ivo Welch
University of Lausanne and University of California, Los Angeles (UCLA)
Downloads 78 (256,238)
Citation 170

Abstract:

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 2,970 (2,636)
Citation 274

Abstract:

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
Amit Goyal and Ivo Welch
University of Lausanne and University of California, Los Angeles (UCLA)
Downloads 90 (234,182)
Citation 274

Abstract:

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

Abstract:

G12, G14

3.

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 2,866 (2,339)
Citation 26

Abstract:

option returns, implied volatility

4.

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 2,135 (4,458)
Citation 1

Abstract:

5.
Downloads 1,698 ( 7,144)
Citation 55

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
Emory University - Department of Finance, Boston College - Carroll School of Management, University of Lausanne, University of Texas at Dallas and London Business School
Downloads 1,370 (9,946)
Citation 55

Abstract:

G11, G12, C11

Liquidity and the Post-Earnings-Announcement Drift

Financial Analysts Journal, Forthcoming
Number of pages: 36 Posted: 18 May 2009
Emory University - Department of Finance, University of Lausanne, University of Texas at Dallas, Boston College - Carroll School of Management and London Business School
Downloads 328 (72,401)
Citation 55

Abstract:

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
Emory University - Department of Finance, University of Lausanne, University of Texas at Dallas, Boston College - Carroll School of Management and London Business School

Abstract:

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

Liquidity and Autocorrelations in Individual Stock Returns

Number of pages: 41 Posted: 13 Jun 2004
Doron Avramov, Tarun Chordia and Amit Goyal
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne
Downloads 1,612 (7,654)
Citation 62

Abstract:

Liquidity and Autocorrelations in Individual Stock Returns

Journal of Finance, Forthcoming
Posted: 04 Aug 2005
Doron Avramov, Tarun Chordia and Amit Goyal
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne

Abstract:

7.
Downloads 946 ( 18,093)
Citation 204

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 946 (17,746)
Citation 204

Abstract:

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

Abstract:

8.
Downloads 837 ( 21,676)
Citation 22

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne
Downloads 837 (21,313)
Citation 22

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne

Abstract:

9.

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 780 (21,599)
Citation 41

Abstract:

10.

High-Frequency Trading

Johnson School Research Paper Series No. #20-2013
Number of pages: 15 Posted: 13 Jun 2013
Emory University - Department of Finance, University of Lausanne, University of California, San Diego and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 769 (12,569)
Citation 2

Abstract:

11.

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 724 (19,170)

Abstract:

Momentum, Market Efficiency, Return Predictability

12.

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 677 (15,587)

Abstract:

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

13.

Dynamic Portfolio Choice: A Simulation Approach

Number of pages: 43 Posted: 05 Jun 2001
Duke University - Fuqua School of Business, University of Lausanne and New University of Lisbon - Nova School of Business and Economics
Downloads 669 (28,963)
Citation 5

Abstract:

14.
Downloads 650 ( 31,022)
Citation 1

Misvaluation and Return Anomalies in Distress Stocks

Swiss Finance Institute Research Paper No. 12-12
Number of pages: 50 Posted: 16 Mar 2012
University of Connecticut - Department of Finance, University of Lausanne and Pennsylvania State University
Downloads 335 (70,593)
Citation 1

Abstract:

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
University of Connecticut - Department of Finance, University of Lausanne and Pennsylvania State University
Downloads 315 (75,721)
Citation 1

Abstract:

financial distress, return anomalies, misvaluation

15.

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 Singapore Management University - Lee Kong Chian School of Business
Downloads 559 (22,529)
Citation 1

Abstract:

Asymmetric Correlations, Downside correlations, Retail Investors

16.

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
HEC Paris - Finance Department, University of Lausanne and Audencia Nantes School of Management
Downloads 436 (49,066)

Abstract:

Risk Factors

17.

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

Number of pages: 50 Posted: 15 Jan 2015
Tarun Chordia, Amit Goyal and Jay A. Shanken
Emory University - Department of Finance, University of Lausanne and Emory University - Goizueta Business School
Downloads 419 (15,903)
Citation 1

Abstract:

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

18.

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

Swiss Finance Institute Research Paper No. 15-13
Number of pages: 46 Posted: 25 May 2015
Amit Goyal and Narasimhan Jegadeesh
University of Lausanne and Emory University - Department of Finance
Downloads 393 (21,064)

Abstract:

Momentum, market timing, return predictability

19.

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
Emory University - Department of Finance, University of Lausanne and Emory University - Department of Finance
Downloads 392 (37,792)
Citation 2

Abstract:

Order imbalance, disposition effect, tax-loss selling

20.

No Size Anomalies in U.S. Bank Stock Returns

Number of pages: 23 Posted: 19 Mar 2014
Amit Goyal
University of Lausanne
Downloads 215 (62,169)

Abstract:

Government guarantees, banks, stock returns, size effect

21.

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

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 55 Posted: 11 Aug 2014 Last Revised: 07 Aug 2016
Emory University - Department of Finance, University of Lausanne, Federal Reserve Board of Governors, University of California, Los Angeles (UCLA) - Finance Area and Singapore Management University - Lee Kong Chian School of Business
Downloads 121 (45,494)

Abstract:

22.

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
University of Connecticut - Department of Finance, University of Lausanne and Pennsylvania State University
Downloads 110 (149,583)
Citation 1

Abstract:

Distress anomaly, International finance

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
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 79 (254,338)
Citation 59

Abstract:

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
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

Abstract:

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

24.

Default Option and the Cross-Section of Stock Returns

Number of pages: 50 Posted: 18 Sep 2015
University of Connecticut - Department of Finance, University of Lausanne and Pennsylvania State University
Downloads 45 (157,097)
Citation 23

Abstract:

Asset pricing, Default option

25.

Assessing Project Risk

Journal of Applied Corporate Finance, Vol. 24, Issue 3, pp. 94-100, 2012
Number of pages: 9 Posted: 13 Oct 2012
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and University of Lausanne
Downloads 2 (517,657)
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Abstract:

26.

Equity Misvaluation and Default Options

Number of pages: 52 Posted: 29 Oct 2016 Last Revised: 03 Nov 2016
University of Connecticut - Department of Finance, University of Lausanne and Pennsylvania State University
Downloads 0 (272,486)

Abstract:

Mispricing, Default Options, Stock Returns

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

Abstract:

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:

Pensions, Asset Management, Plan Sponsors