Pankaj Agrrawal

University of Maine

Professor of Finance

Orono, ME 04469

United States

SCHOLARLY PAPERS

17

DOWNLOADS
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1,117

SSRN CITATIONS

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Scholarly Papers (17)

1.

Using the Price-to-Earnings Harmonic Mean to Improve Firm Valuation Estimates

Journal of Financial Education, Volume 36, Fall/Winter 2010
Number of pages: 13 Posted: 22 Jun 2015
University of Maine, University of Maine, University of Southern Mississippi - College of Business Administration - Economics, Finance, & International Business and University of Maine - Department of Public Policy and Health
Downloads 679 (37,270)

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P/E ratio, P/E multiple, portfolio PE, portfolio P/E, harmonic mean versus arithmetic mean versus geometric mean

2.

The Product Life Cycle: A Paradigm for Understanding Financial Management

Financial Practice and Education, Fall/Winter 1996
Number of pages: 9 Posted: 22 Jun 2015
Benton E. Gup and Pankaj Agrrawal
University of Alabama - Culverhouse College of Commerce & Business Administration and University of Maine
Downloads 241 (127,015)

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product life cycle, corporate growth and performance, corporate risk and return

3.

An Automation Algorithm for Harvesting Capital Market Information from the Web

Managerial Finance, Vol. 35 No. 5, 2009
Number of pages: 12 Posted: 22 Jun 2015 Last Revised: 09 Aug 2015
Pankaj Agrrawal
University of Maine
Downloads 70 (329,657)

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web retrieval, harvesting algorithm program, download stock market data from the web, total return charts, total return dividend charts, capital market information

4.

The Stock-REIT Relationship and Optimal Asset Allocations

Journal of Real Estate Portfolio Management, Vol. 12, No. 3, 2006
Number of pages: 14 Posted: 22 Jun 2015
Doug Waggle and Pankaj Agrrawal
University of West Florida and University of Maine
Downloads 63 (348,459)

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optimal REIT portfolio asset allocation, REIT diversification, REIT-stock correlation, REIT portfolio weights

5.

Excess Capacity in Banking: Fact or Fiction?

Bankers Magazine, Vol 177, No. 4, pp 38-40, July/August 1994
Number of pages: 3 Posted: 09 Jul 2015
Benton E. Gup and Pankaj Agrrawal
University of Alabama - Culverhouse College of Commerce & Business Administration and University of Maine
Downloads 46 (402,595)

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excess capacity in Banking, consolidation, ATMs banking outlets ,number of banks and branches, commercial banking growth

6.

The Effects of Blending Primary and Diluted EPS Data

Financial Analysts Journal, Vol. 55, No. 2, 1999
Number of pages: 10 Posted: 12 Jul 2015
Ralph Goldsticker and Pankaj Agrrawal
affiliation not provided to SSRN and University of Maine
Downloads 18 (534,443)

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earnings, dilution, stock options, EPS, FASB, 1997, IBES

7.

Using Index ETFs for Multi-Asset-Class Investing: Shifting the Efficient Frontier Up

“Using Index ETFs for Multi-Asset Class Investing: Shifting the Efficient Frontier Up”, Pankaj Agrrawal, Journal of Index Investing, Vol. 4(2): pp. 83-94, Fall 2013., https://doi.org/10.3905/jii.2013.4.2.083
Posted: 22 May 2019
Pankaj Agrrawal
University of Maine

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asset allocation, portfolio optimization, markowitz optimization, alternate investments, currency, commodity, REITs, real estate, bonds, MAC investing

8.

An Intertemporal Study of ETF Liquidity and Underlying Factor Transition, 2009-2014

“An Inter-temporal Study of ETF Liquidity and Underlying Factor Transition (2009-2014)”, Agrrawal P., Clark J., Agarwal R. and Kale J., Journal of Trading, Vol. 9, No. 3, pp. 69-78, 2014., https://doi.org/10.3905/jot.2014.9.3.069
Posted: 21 May 2019
University of Maine, University of Southern Mississippi - College of Business Administration - Economics, Finance, & International Business, University of St. Gallen and Independent

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ETFs, bid-ask, trading volume, liquidity

9.

Seasonality in Stock and Bond ETFs (2001-2014): The Months Are Getting Mixed Up But Santa Delivers on Time

Journal of Investing, Vol. 24, No. 3, 2015, https://doi.org/10.3905/joi.2015.24.3.129
Posted: 21 May 2019
Pankaj Agrrawal and Matthew Skaves
University of Maine and University of Maine

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seasonality returns, calendar, January, 'sell in May and go away', Halloween, santa rally effects October returns, ETFs

10.

Is the 'Sell in May and Go Away' Adage the Result of an Election-Year Effect?

Managerial Finance, v 44, 2018; DOI (10.1108/MF-12-2017-0505)
Posted: 26 Aug 2018
Doug Waggle and Pankaj Agrrawal
University of West Florida and University of Maine

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Stock Market, Elections, Presidential, Midterm, Mid-Term Elections, Gubernatorial, Congressional Elections, Seasonality, Market Returns, Sell in May, Go Away

11.

Suicides as a Response to Adverse Market Sentiment (1980-2016)

Agrrawal P, Waggle D, Sandweiss DH (2017) Suicides as a response to adverse market sentiment (1980-2016). PLoS ONE12(11): e0186913.
Posted: 06 Nov 2017
Pankaj Agrrawal, Doug Waggle and Daniel Sandweiss
University of Maine, University of West Florida and University of Maine

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market sentiment market crash stock market crash and suicides homicide murder public health great depression recession mortgage subprime crisis public policy window

12.

ETF Betas: A Study of their Estimation Sensitivity to Varying Time Intervals

“ETF Betas: A Study of their Estimation Sensitivity to Varying Time Intervals”, Pankaj Agrrawal and John M. Clark, Institutional Investor Journals, ETF and Indexing, Vol. 41 (10), pp. 96-103, Fall 2007.
Posted: 04 Aug 2015 Last Revised: 12 Nov 2017
Pankaj Agrrawal and John M. Clark
University of Maine and University of Southern Mississippi - College of Business Administration - Economics, Finance, & International Business

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ETF beta estimates estimation intervalling effect intervaling window length capm beta estimation senstitivity

13.

Interaction between Value Line's Timeliness and Safety Ranks

“Interaction Between Value Line’s Timeliness and Safety Ranks,” Doug Waggle, Pankaj Agrrawal, and Don Johnson, Journal of Investing, Vol. 10 (1), Spring 2001.
Posted: 03 Aug 2015
Doug Waggle, Pankaj Agrrawal and Don T. Johnson
University of West Florida, University of Maine and Western Illinois University - Department of Marketing and Finance

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Value Line, VLIS, timeliness, safety rankings, portfolios, risk

14.

Determinants of ETF Liquidity in the Secondary Market: A Five Factor Ranking Algorithm

“Determinants of ETF Liquidity in the Secondary Market: A Five Factor Ranking Algorithm”, Pankaj Agrrawal and John M. Clark, Institutional Investor Journals, ETF and Indexing, Vol. 43 (7), pp. 59-66, Fall 2009.
Posted: 03 Aug 2015
Pankaj Agrrawal and John M. Clark
University of Maine and University of Southern Mississippi - College of Business Administration - Economics, Finance, & International Business

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ETFs liquidity trading volume bid-ask spread

15.

The Dispersion of ETF Betas on Financial Websites

“The Dispersion of ETF Betas on Financial Websites”, Pankaj Agrrawal and Doug Waggle, Journal of Investing, Vol. 19(1): pp. 13-24, Spring 2010.
Posted: 03 Aug 2015 Last Revised: 12 Nov 2017
Pankaj Agrrawal and Doug Waggle
University of Maine and University of West Florida

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etfs, betas, dispersion, web betas, finance websites, beta problems, capm beta tests

16.

What is Wrong with this Picture? A Problem with Comparative Return Plots on Finance Websites and a Bias Against Income-Generating Assets

“What is Wrong with this Picture? A Problem with Comparative Return Plots on Finance Websites and a Bias against Income Generating Assets”, Pankaj Agrrawal * and Richard Borgman, Journal of Behavioral Finance, Vol. 11(4), Winter 2010, pp. 195-210.
Posted: 03 Aug 2015 Last Revised: 12 Nov 2017
Pankaj Agrrawal and Richard H Borgman
University of Maine and University of Maine

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internet charts, dividend charts, total return with dividends, return finder, correct charts, finance websites problems

17.

Investor Sentiment and Short-Term Returns for Size-Adjusted Value and Growth Portfolios

The Journal of Behavioral Finance, 16: 81-93, 2015; DOI:10.1080/15427560.2015.1000329
Posted: 19 Apr 2015 Last Revised: 11 Nov 2017
Doug Waggle and Pankaj Agrrawal
University of West Florida and University of Maine

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Investor sentiment, Bullish returns behavioral, Value growth behavioral, behavioural finance, Lagged autocorrelation, Size capitalization