Eric G. Falkenstein

Pine River Capital Management

Portfolio Manager

601 Calson Parkway, Suite 330

Minnetonka, MN 55347

United States

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 1,609

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16,202

CITATIONS
Rank 20,201

SSRN RANKINGS

Top 20,201

in Total Papers Citations

15

Scholarly Papers (9)

1.

Risk and Return in General: Theory and Evidence

Number of pages: 150 Posted: 18 Jun 2009 Last Revised: 22 Nov 2011
Eric G. Falkenstein
Pine River Capital Management
Downloads 6,572 (559)
Citation 5

Abstract:

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Risk and Return, CAPM, APT, Asset Pricing Theory, Utility Theory

Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions

Number of pages: 26 Posted: 28 May 2013 Last Revised: 11 Jun 2013
David Blitz, Eric G. Falkenstein and Pim van Vliet
Robeco Asset Management - Quantitative Strategies, Pine River Capital Management and Robeco Asset Management - Quantitative Strategies
Downloads 2,388 (4,176)

Abstract:

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volatility effect, anomaly, CAPM, arbitrage, asset pricing, agency effects, behavioral finance, low-beta anomaly

Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions

Journal of Portfolio Management, Forthcoming
Posted: 21 Nov 2013
David Blitz, Eric G. Falkenstein and Pim van Vliet
Robeco Asset Management - Quantitative Strategies, Pine River Capital Management and Robeco Asset Management - Quantitative Strategies

Abstract:

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volatility effect, anomaly, CAPM, arbitrage, asset pricing, agency effects, behavioral finance, low-beta anomaly

3.

RiskCalc for Private Companies: Moody's Default Model

As published in Global Credit Research, May 2000
Number of pages: 88 Posted: 01 Nov 2000
Eric G. Falkenstein, Andrew Boral and Lea V. Carty
Pine River Capital Management, Moody's Investors Service and Moody's Investors Service
Downloads 2,162 (4,154)
Citation 9

Abstract:

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Default, private firm, default model, default prediction

4.

DefProb: A Corporate Probability of Default Model

Number of pages: 36 Posted: 10 Mar 2008 Last Revised: 27 Jun 2009
Eric G. Falkenstein
Pine River Capital Management
Downloads 1,180 (10,531)

Abstract:

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DefProb, default probability

5.

Why Risk is Not Related to Return

Number of pages: 34 Posted: 02 Apr 2007 Last Revised: 12 Dec 2014
Eric G. Falkenstein
Pine River Capital Management
Downloads 844 (21,120)

Abstract:

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risk premium, CAPM, relative status

6.

Why the Low Volatility Anomaly Will Persist

Number of pages: 31 Posted: 13 Dec 2014 Last Revised: 24 Dec 2016
Eric G. Falkenstein
Pine River Capital Management
Downloads 625 (17,564)

Abstract:

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volatility effect, anomaly, CAPM, arbitrage, asset pricing, agency effects, behavioral finance, low volatility anomaly

7.

Why Risk and Return are Uncorrelated: A Relative Status Approach

Number of pages: 38 Posted: 12 Oct 2006 Last Revised: 12 Dec 2014
Eric G. Falkenstein
Pine River Capital Management
Downloads 483 (45,835)
Citation 1

Abstract:

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status, relative risk, CAPM, equity risk premium, cross-sectional asset pricing

8.

RiskCalc for Private Companies II: More Results and the Australian Model

Global Credit Research
Posted: 25 Mar 2001
Andrew Boral and Eric G. Falkenstein
Moody's Investors Service and Pine River Capital Management

Abstract:

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Default prediction, Australia

9.

Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings

J. OF FINANCE, Vol. 51 No. 1, March 1996
Posted: 19 Jun 1998
Eric G. Falkenstein
Pine River Capital Management

Abstract:

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