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Geoffrey Peter Smith

Arizona State University (ASU) - W.P. Carey School of Business

Clinical Associate Professor

PO Box 873906

Tempe, AZ 85287-3706

United States

  • Arizona State University (ASU) - W.P. Carey School of Business

SCHOLARLY PAPERS

8

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Scholarly Papers (8)

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1.

The Big League Effect

Critical Finance Review
Posted: 21 May 2024
Geoffrey Peter Smith
Arizona State University (ASU) - W.P. Carey School of Business

Abstract:

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Stock Return Anomaly, Major League Baseball, Endogenous Treatment Assignment, Monte Carlo Simulation, Randomization

2.

Predicting the Debt-equity Decision

Finance Research Letters, 48 (2022)
Posted: 03 Apr 2022 Last Revised: 14 Feb 2023
Geoffrey Peter Smith
Arizona State University (ASU) - W.P. Carey School of Business

Abstract:

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Debt-equity decision, Machine learning for classification, Capital structure

3.

A New Look at Expected Stock Returns and Volatility

Critical Finance Review, Forthcoming
Posted: 26 Nov 2020 Last Revised: 06 Jan 2021
Russell P. Robins and Geoffrey Peter Smith
Tulane University - A.B. Freeman School of Business and Arizona State University (ASU) - W.P. Carey School of Business

Abstract:

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Volatility, Expected returns

4.

Selection Bias and Pseudo Discoveries on the Constancy of Stock Return Anomalies

Review of Quantitative Finance and Accounting 55(4) (2020), Pages 1407-1426
Posted: 14 Apr 2020 Last Revised: 19 Oct 2020
Russell P. Robins and Geoffrey Peter Smith
Tulane University - A.B. Freeman School of Business and Arizona State University (ASU) - W.P. Carey School of Business

Abstract:

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Selection Bias, Stock Return Anomaly, Constancy Test

5.

On Structural Changes in the Holiday Effect

Journal of Wealth Management Vol. 21, Iss. 4, (Spring 2019): 98-105
Posted: 27 Dec 2018 Last Revised: 22 Apr 2020
Russell P. Robins and Geoffrey Peter Smith
Tulane University - A.B. Freeman School of Business and Arizona State University (ASU) - W.P. Carey School of Business

Abstract:

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holiday effect, structural changes

6.

Weekday Variation in the Leverage Effect: A Puzzle

Finance Research Letters, Volume 17, May 2016, Pages 193-196
Posted: 23 Apr 2016 Last Revised: 01 Jun 2016
Geoffrey Peter Smith
Arizona State University (ASU) - W.P. Carey School of Business

Abstract:

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Leverage effect, Volatility feedback, EGARCH

7.

No More Weekend Effect

Critical Finance Review 5: 417-424, 2016
Posted: 26 May 2015 Last Revised: 17 Mar 2017
Russell P. Robins and Geoffrey Peter Smith
Tulane University - A.B. Freeman School of Business and Arizona State University (ASU) - W.P. Carey School of Business

Abstract:

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Weekend effect, structural break

8.

Google Internet Search Activity and Volatility Prediction in the Market for Foreign Currency

Finance Research Letters, Volume 9, Issue 2, June 2012, Pages 103–110
Posted: 18 Mar 2012 Last Revised: 29 Dec 2020
Geoffrey Peter Smith
Arizona State University (ASU) - W.P. Carey School of Business

Abstract:

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Google Insights for Search, ARCH (GARCH), mixture of distributions hypothesis (MDH), foreign currency, foreign exchange