Paul Geertsema

University of Auckland Business School

12 Grafton Rd

Private Bag 92019

Auckland, 1010

New Zealand

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 16,280

SSRN RANKINGS

Top 16,280

in Total Papers Downloads

3,845

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Ideas:
“  Problems at the intersection of asset pricing and machine learning.  ”

Scholarly Papers (13)

1.

The Correlation Structure of Anomaly Strategies

Number of pages: 97 Posted: 19 Jul 2017 Last Revised: 04 Aug 2020
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 755 (41,555)
Citation 1

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anomalies; correlation; cluster analysis; machine learning; asset pricing

2.

Stata, Fast and Slow: Why Running Many Small Regressions in a Large Dataset Takes So Long; and What to Do About It

Number of pages: 19 Posted: 12 Apr 2014
Paul Geertsema
University of Auckland Business School
Downloads 729 (43,576)

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Stata, statistical computing, large datasets, rolling window regressions, factor beta estimation

3.

Machine Valuation

Number of pages: 56 Posted: 07 Sep 2019
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 484 (73,579)

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valuation; asset pricing; return predictability; machine learning; gradient boosted trees

4.
Downloads 325 (116,472)
Citation 1

Real Earnings Management Around CEO Turnovers

Number of pages: 52 Posted: 07 Dec 2015 Last Revised: 03 Jun 2020
Paul Geertsema, David H. Lont and Helen Lu
University of Auckland Business School, University of Otago - Department of Accountancy and Finance and University of Auckland Business School
Downloads 325 (115,779)
Citation 2

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CEO Turnover, Real Earnings Management, Abnormal Operating Performance, Discretionary Accruals

Real Earnings Management Around CEO Turnovers

Accounting & Finance, Vol. 60, Issue 3, pp. 2397-2426, 2020
Number of pages: 30 Posted: 06 Oct 2020
Paul Geertsema, David H. Lont and Helen Lu
University of Auckland Business School, University of Otago - Department of Accountancy and Finance and University of Auckland Business School
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CEO turnover, Real earnings management, Abnormal operating performance, Discretionary accruals

5.

Relative Valuation with Machine Learning

Number of pages: 99 Posted: 17 Dec 2020 Last Revised: 24 Apr 2021
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 303 (125,510)

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Relative Valuation, Fundamental Analysis, Comparable Companies, IPOs, Machine Learning, Gradient Boosting Machines

6.

Where Is the Risk in Risk Factors? Evidence from the Vietnam War to the COVID-19 Pandemic.

Number of pages: 34 Posted: 08 Jun 2020
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 268 (142,689)
Citation 1

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Risk factors; COVID-19; Bear markets; Short-sales constraints; Biased expectations

7.

Long-Run Expected Stock Returns

Number of pages: 73 Posted: 11 May 2021
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 235 (162,411)

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Long-run discount rates, return predictability, cross-section of returns, machine learning, gradient boosting; variable importance, SHAP values

Fire Sales and Contagion in Financial Assets

Number of pages: 54 Posted: 13 Dec 2014
Paul Geertsema
University of Auckland Business School
Downloads 103 (322,032)

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Fire sales, equilibrium, asset pricing, return predictability, contagion, game theory

Fire Sales and Contagion in Financial Assets

Number of pages: 70 Posted: 05 Dec 2011
Paul Geertsema
University of Auckland Business School
Downloads 61 (439,649)

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Fire Sales, Contagion, Leverage, Game Theory

9.
Downloads 157 (233,363)
Citation 2

Stock Price Response to New CEO Earnings News

28th Australasian Finance and Banking Conference
Number of pages: 45 Posted: 20 Aug 2015 Last Revised: 23 Aug 2016
Paul Geertsema, David H. Lont and Helen Lu
University of Auckland Business School, University of Otago - Department of Accountancy and Finance and University of Auckland Business School
Downloads 156 (235,087)

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CEO Turnover, Unexpected Earnings, Earnings Response Coefficient, Meet and Beat Premium, Information Environment

Stock Price Response to New‐CEO Earnings News

Accounting & Finance, Vol. 58, Issue 3, pp. 849-883, 2018
Number of pages: 35 Posted: 17 Sep 2018
Paul Geertsema, David H. Lont and Helen Lu
University of Auckland Business School, University of Otago - Department of Accountancy and Finance and University of Auckland Business School
Downloads 1 (823,662)
Citation 2
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CEO turnover, Unexpected earnings, Earnings response coefficient, Meet and beat premium, Information environment

10.

The Cross-section of Long-run Expected Stock Returns

Number of pages: 80 Posted: 26 Feb 2021
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 129 (274,258)

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Long-Run Discount Rates; Return Predictability; Cross-Section of Returns; Machine Learning; Gradient Boosting; Variable Importance; SHAP Values

11.

The Impact of SOX on Earnings Management Activities around CEO Turnovers

Number of pages: 56 Posted: 17 Dec 2018
Paul Geertsema, David H. Lont and Helen Lu
University of Auckland Business School, University of Otago - Department of Accountancy and Finance and University of Auckland Business School
Downloads 106 (313,759)

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CEO Turnover, SOX, Real Earnings Management, Discretionary Accruals

12.

A Game-Theoretic Model of Underpricing and Over-Subscription in Chinese IPO's

Number of pages: 9 Posted: 28 Nov 2015
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 99 (328,306)

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IPO Underpricing, Risk aversion, Game theory

13.

Regulated Price and Demand in China’s IPO Market

Number of pages: 35 Posted: 16 Jul 2018 Last Revised: 31 May 2019
Paul Geertsema and Helen Lu
University of Auckland Business School and University of Auckland Business School
Downloads 91 (346,400)

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Initial Public Offering; IPO Underpricing, IPO Oversubscription, Endogeneity, Simultaneous Equations, A-share Markets