Eric G. Falkenstein

Pine River Capital Management

Portfolio Manager

601 Calson Parkway, Suite 330

Minnetonka, MN 55347

United States

  • Pine River Capital Management

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    • Tel: 6123091588
    • Fax: 6123091588
SCHOLARLY PAPERS

9

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21,746

SSRN CITATIONS
Rank 22,680

SSRN RANKINGS

Top 22,680

in Total Papers Citations

23

CROSSREF CITATIONS

28

Scholarly Papers (9)

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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 9,457 (1,059)
Citation 17

Abstract:

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

2.

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

Downloads 4,002 ( 4,630)
Citation 15

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 Quantitative Investments, Pine River Capital Management and Robeco Quantitative Investments
Downloads 4,002 (4,540)
Citation 15

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 Quantitative Investments, Pine River Capital Management and Robeco Quantitative Investments

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

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 3,432 (6,010)
Citation 47

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 1,858 (15,908)

Abstract:

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DefProb, default probability

5.

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 1,444 (23,411)

Abstract:

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

6.

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 988 (40,607)

Abstract:

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risk premium, CAPM, relative status

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 565 (84,905)
Citation 3

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

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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