Philippe Jorion

University of California, Irvine - Paul Merage School of Business

Professor

Campus Drive

Irvine, CA 92697-3125

United States

  • University of California, Irvine - Paul Merage School of Business

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    • Tel: 949-824-5245
    • Fax: 949-824-8469
SCHOLARLY PAPERS

38

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36,231

SSRN CITATIONS
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in Total Papers Citations

125

CROSSREF CITATIONS

556

Scholarly Papers (38)

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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 18,620 (137)
Citation 18

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2.

A Century of Global Stock Markets

Downloads 3,778 ( 2,603)
Citation 41

A Century of Global Stock Markets

Yale School of Management Working Paper No. F-55
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 3,470 (2,933)
Citation 1

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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: 05 Oct 2010
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 308 (101,408)
Citation 9

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3.

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

London Business School Accounting Subject Area No. 021
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 2,212 (6,397)
Citation 7

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Internet valuation, web traffic, life-cycle

4.

Re-Emerging Markets

Downloads 1,927 ( 8,101)
Citation 10

Re-Emerging Markets

Yale School of Mangement Working Paper No. F-56
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 1,877 (8,291)
Citation 1

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Re-Emerging Markets

NBER Working Paper No. w5906
Number of pages: 44 Posted: 13 Jul 2000 Last Revised: 05 Oct 2010
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 50 (409,862)

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Re-Emerging Markets

Journal of Financial and Quantitative Analysis, March 1999
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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5.

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 1,437 (13,038)
Citation 23

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hedge funds, emerging managers, incentives, performance evaluation

6.

Credit Contagion from Counterparty Risk

Downloads 1,215 ( 16,907)
Citation 22

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 866 (27,371)

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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 349 (88,181)
Citation 24

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

7.

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 1,070 (20,426)
Citation 3

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

8.

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, University at Albany, SUNY and NUS Business School, National University of Singapore
Downloads 864 (27,904)
Citation 4

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

9.

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 710 (36,571)

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

10.

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 697 (37,505)
Citation 1

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

11.

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 697 (37,505)
Citation 3

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G11, G23, G32

12.

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 632 (42,827)
Citation 1

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13.

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 603 (45,558)
Citation 4

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

14.

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 349 (88,844)
Citation 11

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

15.

Tightening Credit Standards: The Role of Accounting Quality

Downloads 303 (103,821)

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 303 (103,270)
Citation 6

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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

16.

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 at Irvine
Downloads 221 (143,731)
Citation 3

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Hedge Funds, Performance Evaluation, Valuation, Risk

17.

Is There a Cost to Transparency?

Downloads 210 (150,810)
Citation 1

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 210 (150,534)
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

18.

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 at Irvine
Downloads 162 (190,314)
Citation 7

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

19.

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 at Irvine
Downloads 116 (248,309)

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

20.

Information Transfer Effects of Bond Rating Downgrades

Downloads 108 (261,036)
Citation 12

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 104 (269,705)

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

Information Transfer Effects of Bond Rating Downgrades

Financial Review, Vol. 45, Issue 3, pp. 683-706, August 2010
Number of pages: 24 Posted: 13 Jul 2010
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 4 (675,143)
Citation 2
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21.

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 99 (277,229)

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Systemic Risk, Counterparty, Housing Prices, Sovereign Debt

22.

Bank Trading Risk and Systemic Risk

NBER Working Paper No. w11037
Number of pages: 40 Posted: 04 Feb 2005 Last Revised: 30 Aug 2010
Philippe Jorion
University of California, Irvine - Paul Merage School of Business
Downloads 67 (350,011)

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23.

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

NBER Working Paper No. w3574
Number of pages: 42 Posted: 01 Feb 2001
Frederic S. Mishkin and Philippe Jorion
Columbia Business School - Finance and Economics and University of California, Irvine - Paul Merage School of Business
Downloads 65 (355,560)
Citation 22

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24.

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
Alberto Giovannini and Philippe Jorion
Columbia University - Columbia Business School and University of California, Irvine - Paul Merage School of Business
Downloads 25 (512,014)

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25.

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: 28 Sep 2010
Alberto Giovannini and Philippe Jorion
Columbia University - Columbia Business School and University of California, Irvine - Paul Merage School of Business
Downloads 25 (512,014)

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26.

The Long-Term Risks of Global Stock Markets

Financial Management, Vol. 32, No. 4, Winter 2003
Number of pages: 22 Posted: 06 Jan 2005
Philippe Jorion
University of California, Irvine - Paul Merage School of Business
Downloads 15 (572,395)
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27.

Risk Management Lessons from the Credit Crisis

European Financial Management, Vol. 15, Issue 5, pp. 923-933, November 2009
Number of pages: 11 Posted: 21 Oct 2009
Philippe Jorion
University of California, Irvine - Paul Merage School of Business
Downloads 4 (645,964)
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28.

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

https://doi.org/10.3905/jai.2011.13.3.035
Posted: 22 May 2019
Philippe Jorion and Mayer Cherem
University of California, Irvine - Paul Merage School of Business and PAAMCO
Downloads 0 (692,420)

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

29.

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 at Irvine

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hedge funds, survivorship bias, delisting bias, performance evaluation

30.

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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31.

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

32.

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

Journal of Finance, Forthcoming
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

33.

Portfolio Optimization with Tracking-Error Constraints

Financial Analysts Journal, Vol. 59, No. 5, pp. 70-82, September/October 2003
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

34.

How Informative are Value-at-Risk Disclosures?

Accounting Review, Vol. 77, October 2002
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

35.

Predicting Volatility in the Foreign Exchange Market

JOURNAL OF FINANCE, Vol 50 No 2, June 1995
Posted: 04 May 2000
Philippe Jorion
University of California, Irvine - Paul Merage School of Business

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36.

A Longer Look at Dividend Yields

Journal of Business, Vol. 68, Issue 4, October 1995
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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37.

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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38.

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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