Jonathan E. Ingersoll

Yale School of Management - International Center for Finance

135 Prospect Street

P.O. Box 208200

New Haven, CT 06520-8200

United States

SCHOLARLY PAPERS

14

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17,646

CITATIONS
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Top 966

in Total Papers Citations

557

Scholarly Papers (14)

Portfolio Performance Manipulation and Manipulation-Proof Performance Measures

Yale ICF Working Paper No. 02-08, AFA 2003 Washington, DC Meetings
Number of pages: 48 Posted: 22 Mar 2002
William N. Goetzmann, Jonathan E. Ingersoll Jr., Matthew I. Spiegel and Ivo Welch
Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance, Yale University - Yale School of Management, International Center for Finance and University of California, Los Angeles (UCLA)
Downloads 7,278 (552)
Citation 99

Abstract:

Portfolio Performance Manipulation and Manipulation-Proof Performance Measures

The Review of Financial Studies, Vol. 20, Issue 5, pp. 1503-1546, 2007
Posted: 26 Jun 2008
Jonathan E. Ingersoll Jr., Matthew I. Spiegel, William N. Goetzmann and Ivo Welch
Yale School of Management - International Center for Finance, Yale University - Yale School of Management, International Center for Finance, Yale School of Management - International Center for Finance and University of California, Los Angeles (UCLA)

Abstract:

G11, G23, G24

2.
Downloads 6,020 ( 779)
Citation 117

High-Water Marks and Hedge Fund Management Contracts

Yale ICF Working Paper No. 00-34
Number of pages: 41 Posted: 08 Feb 1998
William N. Goetzmann, Jonathan E. Ingersoll Jr. and Stephen A. Ross
Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 6,020 (768)
Citation 117

Abstract:

High-Water Marks and Hedge Fund Management Contracts

Journal of Finance, Vol. 58, pp. 1685-1718, August 2003
Posted: 30 Nov 2003
William N. Goetzmann, Jonathan E. Ingersoll Jr. and Stephen A. Ross
Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

3.

The Subjective and Objective Evaluation of Incentive Stock Options

Yale ICF Working Paper No. 02-07
Number of pages: 46 Posted: 15 Apr 2002
Jonathan E. Ingersoll Jr.
Yale School of Management - International Center for Finance
Downloads 1,503 (8,203)
Citation 57

Abstract:

4.

Monthly Measurement of Daily Timers

Number of pages: 50 Posted: 23 Apr 1998
Jonathan E. Ingersoll Jr., William N. Goetzmann and Zoran Ivkovich
Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance and Michigan State University, Department of Finance
Downloads 1,326 (10,364)
Citation 58

Abstract:

5.

Realization Utility with Reference-Dependent Preferences

The Review of Financial Studies (2013) 26 (3): 723-767.
Number of pages: 48 Posted: 01 Jan 2012 Last Revised: 20 Feb 2013
Jonathan E. Ingersoll Jr. and Lawrence J. Jin
Yale School of Management - International Center for Finance and California Institute of Technology
Downloads 300 (75,524)
Citation 4

Abstract:

Realization Utility, Prospect Theory, Disposition Effect

6.

Sharpening Sharpe Ratios

NBER Working Paper No. w9116
Number of pages: 51 Posted: 23 Aug 2002
William N. Goetzmann, Jonathan E. Ingersoll Jr., Matthew I. Spiegel and Ivo Welch
Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance, Yale University - Yale School of Management, International Center for Finance and University of California, Los Angeles (UCLA)
Downloads 256 (78,282)
Citation 45

Abstract:

7.

Cumulative Prospect Theory and the Representative Investor

Number of pages: 39 Posted: 29 Oct 2011
Jonathan E. Ingersoll Jr.
Yale School of Management - International Center for Finance
Downloads 246 (90,260)
Citation 1

Abstract:

Prospect Theory, Rpresentative Investor, Portfolios, CAPM

Non-Monotonicity of the Tversky-Kahneman Probability-Weighting Function: A Cautionary Note

Yale ICF Working Paper No. 07-15
Number of pages: 8 Posted: 18 Oct 2007
Jonathan E. Ingersoll Jr.
Yale School of Management - International Center for Finance
Downloads 152 (157,462)
Citation 14

Abstract:

Tversky-Kahneman, Probability Weighting, Cumulative Prospect Theory, economic models, Expected Utility Theory

Non-Monotonicity of the Tversky-Kahneman Probability-Weighting Function: A Cautionary Note

European Financial Management, Vol. 14, No. 3, pp. 385-390, June 2008
Number of pages: 6 Posted: 13 May 2008
Jonathan E. Ingersoll Jr.
Yale School of Management - International Center for Finance
Downloads 3 (543,392)
Citation 14
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Abstract:

9.

Time-Additive Consumption-Wealth Utility

Number of pages: 30 Posted: 19 Aug 2011 Last Revised: 26 Jan 2012
Jonathan E. Ingersoll Jr.
Yale School of Management - International Center for Finance
Downloads 143 (160,898)
Citation 1

Abstract:

intertemporal models, non-standard utility, portfolio models, consumption models

10.

High Water Marks

NBER Working Paper No. w6413
Number of pages: 37 Posted: 05 Sep 2000
William N. Goetzmann, Jonathan E. Ingersoll Jr. and Stephen A. Ross
Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 111 (200,063)
Citation 123

Abstract:

11.

Why Do Investors Trade? A Realization Utility Explanation

Finance and Accounting MeMOS (2014) 1 (1): 10-13.
Number of pages: 6 Posted: 27 Feb 2013 Last Revised: 16 Jan 2014
Jonathan E. Ingersoll Jr. and Lawrence J. Jin
Yale School of Management - International Center for Finance and California Institute of Technology
Downloads 64 (232,565)

Abstract:

realization utility, diminishing sensitivity, disposition effect

12.

Optimal Bond Trading with Personal Taxes: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves

NBER Working Paper No. w1184
Number of pages: 58 Posted: 19 Jun 2004
George M. Constantinides and Jonathan E. Ingersoll Jr.
University of Chicago - Booth School of Business and Yale School of Management - International Center for Finance
Downloads 27 (383,063)
Citation 30

Abstract:

13.

Digital Contracts: Simple Tools for Pricing Complex Derivatives

Journal of Business, Vol. 73, Issue 1, January 2000
Posted: 23 Nov 1999
Jonathan E. Ingersoll Jr.
Yale School of Management - International Center for Finance

Abstract:

14.

Long Forward and Zero-Coupon Rates Can Never Fall

Journal of Business, Vol. 59, Issue 1, January 1996
Posted: 22 Aug 1998
Philip H. Dybvig, Jonathan E. Ingersoll Jr. and Stephen A. Ross
Washington University in St. Louis - John M. Olin Business School, Yale School of Management - International Center for Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract: