Philippe Jorion

University of California, Irvine - Paul Merage School of Business

Professor

Campus Drive

Irvine, CA 92697-3125

United States

SCHOLARLY PAPERS

41

DOWNLOADS
Rank 719

SSRN RANKINGS

Top 719

in Total Papers Downloads

55,744

SSRN CITATIONS
Rank 1,571

SSRN RANKINGS

Top 1,571

in Total Papers Citations

542

CROSSREF CITATIONS

520

Scholarly Papers (41)

1.

Risk Management Lessons from Long-Term Capital Management

Number of pages: 27 Posted: 02 Aug 1999
Philippe Jorion
University of California, Irvine - Paul Merage School of Business
Downloads 19,676 (313)
Citation 28

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2.
Downloads 13,513 ( 631)
Citation 2

The 'Actual Retail Price' of Equity Trades

Number of pages: 62 Posted: 17 Aug 2022 Last Revised: 24 Jul 2023
University of California, Irvine - Finance Area, University of California, Davis, Washington University in St. Louis - Olin Business School, University of California, Irvine - Paul Merage School of Business and University of California, Berkeley - Haas School of Business
Downloads 13,391 (625)
Citation 1

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retail trading, execution quality, bid/ask spread, market microstructure, payment for order flow, commissions, broker-dealers

The 'Actual Retail Price' of Equity Trades

Posted: 17 Aug 2022
University of California, Irvine - Finance Area, University of California, Davis, Washington University in St. Louis - Olin Business School, University of California, Irvine - Paul Merage School of Business and University of California, Berkeley - Haas School of Business
Downloads 122 (433,777)
Citation 1

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retail trading, execution quality, bid/ask spread, market microstructure, payment for order flow, commissions, broker-dealers

3.
Downloads 4,248 ( 4,558)
Citation 67

A Century of Global Stock Markets

Number of pages: 44 Posted: 06 Feb 1997
Philippe Jorion and William N. Goetzmann
University of California, Irvine - Paul Merage School of Business and Yale School of Management - International Center for Finance
Downloads 3,690 (5,657)
Citation 3

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A Century of Global Stock Markets

NBER Working Paper No. w5901
Number of pages: 32 Posted: 15 May 2000 Last Revised: 18 Aug 2022
Philippe Jorion and William N. Goetzmann
University of California, Irvine - Paul Merage School of Business and Yale School of Management - International Center for Finance
Downloads 558 (91,944)
Citation 5

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4.

Value Relevance of Financial and Non Financial Information in Emerging Industries: The Changing Role of Web Traffic Data

Number of pages: 28 Posted: 13 Mar 2001
Philippe Jorion and Eli Talmor
University of California, Irvine - Paul Merage School of Business and London Business School
Downloads 2,393 (11,529)
Citation 10

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Internet valuation, web traffic, life-cycle

5.
Downloads 2,003 (15,273)
Citation 10

Re-Emerging Markets

Number of pages: 54 Posted: 14 Apr 1998
Philippe Jorion and William N. Goetzmann
University of California, Irvine - Paul Merage School of Business and Yale School of Management - International Center for Finance
Downloads 1,923 (15,997)
Citation 1

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Re-Emerging Markets

NBER Working Paper No. w5906
Number of pages: 44 Posted: 13 Jul 2000 Last Revised: 22 Aug 2022
Philippe Jorion and William N. Goetzmann
University of California, Irvine - Paul Merage School of Business and Yale School of Management - International Center for Finance
Downloads 80 (570,134)

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Re-Emerging Markets

Posted: 30 Dec 1998
William N. Goetzmann and Philippe Jorion
Yale School of Management - International Center for Finance and University of California, Irvine - Paul Merage School of Business

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6.

A (Sub)penny For Your Thoughts: Tracking Retail Investor Activity in TAQ

Journal of Finance forthcoming
Number of pages: 47 Posted: 01 Sep 2022 Last Revised: 24 Aug 2023
University of California, Davis, Washington University in St. Louis - Olin Business School, University of California, Irvine - Paul Merage School of Business, University of California, Berkeley - Haas School of Business and University of California, Irvine - Finance Area
Downloads 1,656 (20,587)

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retail trading, execution quality, bid/ask spread, market microstructure

7.

The Performance of Emerging Hedge Fund Managers

AFA 2009 San Francisco Meetings Paper
Number of pages: 45 Posted: 09 Mar 2008 Last Revised: 21 Dec 2008
Rajesh K. Aggarwal and Philippe Jorion
Northeastern University and University of California, Irvine - Paul Merage School of Business
Downloads 1,567 (22,447)
Citation 54

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hedge funds, emerging managers, incentives, performance evaluation

8.
Downloads 1,344 (28,144)
Citation 70

Credit Contagion from Counterparty Risk

Journal of Finance, Forthcoming
Number of pages: 48 Posted: 30 Dec 2008
Philippe Jorion and Gaiyan Zhang
University of California, Irvine - Paul Merage School of Business and University of California, Irvine
Downloads 961 (44,952)
Citation 4

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credit risk, counterparty risk, contagion

Credit Contagion from Counterparty Risk

Number of pages: 46 Posted: 29 Apr 2009
Philippe Jorion and Gaiyan Zhang
University of California, Irvine - Paul Merage School of Business and University of Missouri at Saint Louis - College of Business Administration
Downloads 383 (144,241)
Citation 50

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credit contagion, counterparty risk, portfolio credit risk models, default correlation, trade credit

9.

Risk Management for Event-Driven Funds

Number of pages: 32 Posted: 03 Oct 2007
Philippe Jorion
University of California, Irvine - Paul Merage School of Business
Downloads 1,259 (31,024)
Citation 3

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merger arbitrage, risk management, hedge funds, value at risk

10.

Informational Effects of Regulation Fd: Evidence from Rating Agencies

Journal of Financial Economics 2005
Number of pages: 36 Posted: 20 Jun 2004 Last Revised: 29 Mar 2015
Philippe Jorion, Alfred Z. Liu and Charles Shi
University of California, Irvine - Paul Merage School of Business, McMaster University and NUS Business School, National University of Singapore
Downloads 913 (48,979)
Citation 16

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Regulation Fair Disclosure, Regulation FD, credit rating agencies, market reaction, event study

11.

Purchasing Power Parity in the Long Run

Journal of Finance, Vol. 45, No. 1, p. 157, March 1990, Pace University Finance Research Paper No. 2012/02
Number of pages: 19 Posted: 07 Jan 2012
Niso Abuaf and Philippe Jorion
Pace University - Lubin School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 798 (58,823)
Citation 3

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12.

Information Effects of Bond Rating Changes: The Role of the Rating Prior to the Announcement

Journal of Fixed Income, Spring 2007
Number of pages: 28 Posted: 01 Nov 2009
Philippe Jorion and Gaiyan Zhang
University of California, Irvine - Paul Merage School of Business and University of Missouri at St. Louis - College of Business Administration
Downloads 782 (60,494)
Citation 6

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credit rating agencies, market reaction, event study, default probability

13.

Risk Management for Hedge Funds with Position Information

Number of pages: 20 Posted: 13 Mar 2007
Philippe Jorion
University of California, Irvine - Paul Merage School of Business
Downloads 779 (60,837)
Citation 5

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G11, G23, G32

14.

The Determinants of Operational Risk in U.S. Financial Institutions

Journal of Financial and Quantitative Analysis (JFQA), 46(6), pp. 1683-1725, 2011
Number of pages: 43 Posted: 17 Mar 2009 Last Revised: 24 Sep 2012
Anna Chernobai, Philippe Jorion and Fan Yu
Syracuse University - M. J. Whitman School of Management, University of California, Irvine - Paul Merage School of Business and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 772 (61,566)
Citation 19

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operational risk, financial institution, credit risk, corporate governance, executive compensation

15.

Intra-Industry Credit Contagion: Evidence from the Credit Default Swap and Stock Markets

AFA 2007 Chicago Meetings Paper
Number of pages: 39 Posted: 16 Jan 2006
Gaiyan Zhang and Philippe Jorion
University of California, Irvine and University of California, Irvine - Paul Merage School of Business
Downloads 758 (63,078)

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credit default swaps, bankruptcy, contagion, market reaction, event study

16.

Who Is Minding the Store? Order Routing and Competition in Retail Trade Execution

Number of pages: 75 Posted: 07 Nov 2023 Last Revised: 27 Nov 2023
Washington University in St. Louis - Olin Business School, University of California, Irvine - Paul Merage School of Business, Board of Governors of the Federal Reserve System and University of California, Irvine - Finance Area
Downloads 566 (91,382)

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Retail trading, execution quality, order routing, competition, bid/ask spread, market microstructure, broker-dealers, wholesalers

17.

Good and Bad Credit Contagion: Evidence from Credit Default Swaps

Journal of Financial Economics, Vol. 84, 2007
Number of pages: 39 Posted: 01 Nov 2009
Philippe Jorion and Gaiyan Zhang
University of California, Irvine - Paul Merage School of Business and University of Missouri at St. Louis - College of Business Administration
Downloads 414 (133,163)
Citation 21

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credit default swaps, bankruptcy, contagion, market reaction, event study

Tightening Credit Standards: The Role of Accounting Quality

Review of Accounting Studies, Vol. 14, No. 1, 2009
Number of pages: 53 Posted: 04 Oct 2005 Last Revised: 10 Jul 2013
Philippe Jorion, Charles Shi and Sanjian Bill Zhang
University of California, Irvine - Paul Merage School of Business, NUS Business School, National University of Singapore and California State University Long Beach
Downloads 365 (152,248)
Citation 12

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credit rating agencies, credit standards, accounting quality, earnings management, value-relevance

Tightening Credit Standards: The Role of Accounting Quality

Review of Accounting Studies, Forthcoming
Posted: 11 Oct 2007
Charles Shi, Philippe Jorion and Sanjian Bill Zhang
NUS Business School, National University of Singapore, University of California, Irvine - Paul Merage School of Business and California State University Long Beach

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credit rating agencies, credit standards, accounting quality, earnings management, value-relevance

19.

Hedge Funds vs. Alternative Risk Premia

Financial Analysts Journal, 77:4, 65-81, DOI: 10.1080/0015198X.2021.1960133 Available at: https://www.tandfonline.com/doi/full/10.1080/0015198X.2021.1960133
Number of pages: 30 Posted: 10 Nov 2021
Philippe Jorion
University of California, Irvine - Paul Merage School of Business
Downloads 306 (185,298)

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hedge funds, alternative risk premia, replication, performance evaluation, total return swaps

20.

Are Hedge Fund Managers Systematically Misreporting? Or Not?

Number of pages: 42 Posted: 08 Mar 2010 Last Revised: 11 Aug 2013
Philippe Jorion and Christopher Schwarz
University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Finance Area
Downloads 288 (197,500)
Citation 10

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Hedge Funds, Performance Evaluation, Valuation, Risk

21.
Downloads 247 (230,414)

Is There a Cost to Transparency?

Number of pages: 36 Posted: 25 Apr 2011
Philippe Jorion and Rajesh K. Aggarwal
University of California, Irvine - Paul Merage School of Business and Northeastern University
Downloads 247 (229,330)
Citation 1

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hedge funds, transparency, managed accounts, performance evaluation, fraud

Is There a Cost to Transparency?

Financial Analysts Journal, Vol. 68, No. 2, 2012
Posted: 26 Mar 2012
Rajesh K. Aggarwal and Philippe Jorion
Northeastern University and University of California, Irvine - Paul Merage School of Business

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Alternative Investments, Best Practices, Regulatory Issues, Strategy Categories, Portfolio Management, Alternative Investment Portfolio Management Strategies, Hedge Funds

22.

The Fix Is In: Properly Backing Out Backfill Bias

Number of pages: 62 Posted: 01 Aug 2017 Last Revised: 31 Dec 2017
Philippe Jorion and Christopher Schwarz
University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Finance Area
Downloads 231 (245,797)
Citation 9

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hedge funds, public database, performance evaluation, backfill bias, listing dates

23.

The Strategic Listing Decisions of Hedge Funds

Number of pages: 41 Posted: 11 Aug 2013
Philippe Jorion and Christopher Schwarz
University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Finance Area
Downloads 201 (279,888)
Citation 8

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hedge funds, advertising, public database, performance evaluation, backfill bias

24.

Sources of Systemic Risk (Presentation Slides)

Presentation at Conference on Systemic Risk and the Organization of the Financial System, Chapman University, May 12, 2017
Number of pages: 12 Posted: 05 Oct 2017
Philippe Jorion
University of California, Irvine - Paul Merage School of Business
Downloads 197 (285,033)

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Systemic Risk, Counterparty, Housing Prices, Sovereign Debt

25.

Information Transfer Effects of Bond Rating Downgrades

Financial Review, Forthcoming
Number of pages: 32 Posted: 31 Oct 2009
Philippe Jorion and Gaiyan Zhang
University of California, Irvine - Paul Merage School of Business and University of Missouri at St. Louis - College of Business Administration
Downloads 123 (421,295)
Citation 2

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bond rating downgrades, industry information transfer, contagion effects, competition effects

26.

A Multi-Country Comparison of Term Structure Forecasts at Long Horizons

NBER Working Paper No. w3574
Number of pages: 42 Posted: 01 Feb 2001 Last Revised: 09 Oct 2022
Frederic S. Mishkin and Philippe Jorion
Columbia University - Columbia Business School, Finance and University of California, Irvine - Paul Merage School of Business
Downloads 93 (513,683)
Citation 1

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27.

Bank Trading Risk and Systemic Risk

NBER Working Paper No. w11037
Number of pages: 40 Posted: 04 Feb 2005 Last Revised: 29 Aug 2022
Philippe Jorion
University of California, Irvine - Paul Merage School of Business
Downloads 91 (520,706)
Citation 1

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28.

The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets

NBER Working Paper No. w2573
Number of pages: 39 Posted: 19 Jul 2010 Last Revised: 15 Jul 2022
Alberto Giovannini and Philippe Jorion
Columbia University - Columbia Business School and University of California, Irvine - Paul Merage School of Business
Downloads 66 (626,317)
Citation 1

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29.

Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing

NBER Working Paper No. w3195
Number of pages: 28 Posted: 27 Apr 2000 Last Revised: 27 Mar 2022
Alberto Giovannini and Philippe Jorion
Columbia University - Columbia Business School and University of California, Irvine - Paul Merage School of Business
Downloads 66 (626,317)

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30.

The Long-Term Risks of Global Stock Markets

Number of pages: 22 Posted: 06 Jan 2005
Philippe Jorion
University of California, Irvine - Paul Merage School of Business
Downloads 29 (870,416)
Citation 5

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31.

Limited Liability Leverage (L^3): A New Measure of Leverage

Posted: 22 May 2019
Philippe Jorion and Mayer Cherem
University of California, Irvine - Paul Merage School of Business and PAAMCO
Downloads 0 (1,140,097)

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Leverage, risk measurement, hedge funds, funds of funds, limited liability

32.

The Delisting Bias in Hedge Fund Databases

Journal of Alternative Investments, Vol. 16, 2014
Posted: 11 Aug 2013 Last Revised: 21 Jun 2014
Philippe Jorion and Christopher Schwarz
University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Finance Area

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hedge funds, survivorship bias, delisting bias, performance evaluation

33.

Risk Management

Annual Review of Financial Economics, Vol. 2, pp. 347-365, 2010
Posted: 12 Nov 2010
Philippe Jorion
University of California, Irvine - Paul Merage School of Business

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34.

Hidden Survivorship in Hedge Fund Returns

Financial Analysts Journal, Vol. 66, No. 2, 2010
Posted: 16 Apr 2010
Rajesh K. Aggarwal and Philippe Jorion
Northeastern University and University of California, Irvine - Paul Merage School of Business

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Alternative Investments, Hedge Funds, Portfolio Management, Alternative Investment Portfolio Management Strategies

35.

Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers

Posted: 28 Dec 2004
Yanbo Jin and Philippe Jorion
California State University, Northridge - Department of Finance, Financial Planning and Insurance and University of California, Irvine - Paul Merage School of Business

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Risk management, hedging, derivatives, oil and gas

36.

Portfolio Optimization with Tracking-Error Constraints

Posted: 30 Jan 2004
Philippe Jorion
University of California, Irvine - Paul Merage School of Business

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Risk measurement and management: portfolio risk

37.

How Informative are Value-at-Risk Disclosures?

Posted: 10 Jun 2002
Philippe Jorion
University of California, Irvine - Paul Merage School of Business

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Derivatives, risk management, value at risk, disclosure regulation, market risk disclosures, Basel Committee, SEC

38.

Predicting Volatility in the Foreign Exchange Market

Posted: 04 May 2000
Philippe Jorion
University of California, Irvine - Paul Merage School of Business

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39.

A Longer Look at Dividend Yields

Posted: 25 Aug 1998
Philippe Jorion and William N. Goetzmann
University of California, Irvine - Paul Merage School of Business and Yale School of Management - International Center for Finance

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40.

Lessons from the Orange County Bankruptcy

J. OF DERIVATIVES, Summer 1997
Posted: 09 Oct 1997
Philippe Jorion
University of California, Irvine - Paul Merage School of Business

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41.

Orange County Value-at-Risk Case

Posted: 26 Nov 1996
Philippe Jorion
University of California, Irvine - Paul Merage School of Business

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