Christopher S. Jones

University of Southern California - Marshall School of Business - Finance and Business Economics Department

Marshall School of Business

Los Angeles, CA 90089

United States

SCHOLARLY PAPERS

16

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7,683

SSRN CITATIONS
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Top 4,880

in Total Papers Citations

59

CROSSREF CITATIONS

168

Scholarly Papers (16)

1.

The Price of Market Volatility Risk

AFA 2009 San Francisco Meetings Paper
Number of pages: 59 Posted: 18 Mar 2008
Jefferson Duarte and Christopher S. Jones
Rice University and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 1,712 (10,017)
Citation 28

Abstract:

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volatility, options

2.

Option Mispricing Around Nontrading Periods

AFA 2010 Atlanta Meetings Paper, Marshall School of Business Working Paper No. FBE 03-10
Number of pages: 86 Posted: 22 Mar 2009 Last Revised: 17 Sep 2017
Christopher S. Jones and Joshua Shemesh
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Monash University - Department of Banking and Finance
Downloads 928 (25,490)
Citation 8

Abstract:

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Nontrading, weekend effect, equity options

3.

A Nonlinear Factor Analysis of S&P 500 Index Option Returns

AFA 2002 Atlanta Meetings
Number of pages: 38 Posted: 04 Jul 2001
Christopher S. Jones
University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 800 (31,444)
Citation 20

Abstract:

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4.

Investing in Disappearing Anomalies

Review of Finance, Forthcoming
Number of pages: 35 Posted: 15 May 2003 Last Revised: 16 Aug 2015
Christopher S. Jones and Lukasz Pomorski
University of Southern California - Marshall School of Business - Finance and Business Economics Department and AQR Capital Management, LLC
Downloads 739 (35,069)
Citation 1

Abstract:

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anomalies, Bayesian analysis, out-of-sample return predictability, asset allocation, structural breaks, January effect, return autocorrelation, value effect

5.

A Simple Bayesian Method for the Analysis of Diffusion Processes

Number of pages: 42 Posted: 04 Sep 1998
Christopher S. Jones
University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 640 (42,623)
Citation 6

Abstract:

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6.

Do Option Prices Forecast Aggregate Stock Returns?

Number of pages: 71 Posted: 27 Jul 2017 Last Revised: 22 Aug 2018
Christopher S. Jones, Haitao Mo and Tong Wang
University of Southern California - Marshall School of Business - Finance and Business Economics Department, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and UNIV OF OKLAHOMA
Downloads 550 (51,802)
Citation 1

Abstract:

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Return Predictability, Options, Implied Volatility

7.

Inventory Investment and the Cost of Capital

Number of pages: 50 Posted: 19 Dec 2008 Last Revised: 20 Sep 2012
Christopher S. Jones and Selale Tuzel
University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 534 (53,852)
Citation 15

Abstract:

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Inventory Investment, Return Predictability

8.

Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility

Number of pages: 62 Posted: 28 Jun 2003
Pierre Collin-Dufresne, Robert S. Goldstein and Christopher S. Jones
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 469 (63,342)
Citation 13

Abstract:

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Term Structure of Interest rates, Affine Models

9.
Downloads 467 ( 63,671)
Citation 43

Mutual Fund Performance with Learning Across Funds

Number of pages: 54 Posted: 06 Jun 2003
Christopher S. Jones and Jay A. Shanken
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Emory University - Goizueta Business School
Downloads 430 (69,674)
Citation 1

Abstract:

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mutual funds, asset allocation, Bayesian analysis, asset pricing

Mutual Fund Performance with Learning Across Funds

NBER Working Paper No. w9392
Number of pages: 46 Posted: 14 Dec 2002 Last Revised: 31 Oct 2010
Christopher S. Jones and Jay A. Shanken
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Emory University - Goizueta Business School
Downloads 37 (467,299)
Citation 9

Abstract:

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10.

Identification of Maximal Affine Term Structure Models

Journal of Finance, Forthcoming
Number of pages: 53 Posted: 12 Jan 2007
Pierre Collin-Dufresne, Christopher S. Jones and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 267 (120,011)
Citation 2

Abstract:

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Term Structure of Interest rates

11.

Out-of-Sample Performance of Mutual Fund Predictors

Review of Financial Studies, Forthcoming
Number of pages: 64 Posted: 28 May 2017 Last Revised: 08 Dec 2019
Christopher S. Jones and Haitao Mo
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 251 (128,041)
Citation 5

Abstract:

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mutual funds, out-of-sample performance, market efficiency

12.

New Orders and Asset Prices

Number of pages: 53 Posted: 30 Mar 2009 Last Revised: 05 Oct 2011
Christopher S. Jones and Selale Tuzel
University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 156 (198,538)
Citation 6

Abstract:

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New Orders, Return Predictability, Time-Varying Risk Premia, Business Cycles, Time to Plan

13.

Very Noisy Option Prices and Inferences Regarding Option Returns

Number of pages: 56 Posted: 03 Dec 2019
Jefferson Duarte, Christopher S. Jones and Junbo L. Wang
Rice University, University of Southern California - Marshall School of Business - Finance and Business Economics Department and Louisiana State University, Baton Rouge
Downloads 115 (252,090)

Abstract:

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Options, Liquidity, Microstructure bias

14.

Can Interest Rate Volatility Be Extracted from the Cross Section of Bond Yields? an Investigation of Unspanned Stochastic Volatility

NBER Working Paper No. w10756
Number of pages: 76 Posted: 01 Jun 2006
Pierre Collin-Dufresne, Robert S. Goldstein and Christopher S. Jones
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 55 (389,623)
Citation 2

Abstract:

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15.

The Predictive Failure of the Baba, Hendry and Starr Model of the Demand for M1 in the United States

Federal Reserve Working Paper No. 94-34
Posted: 16 Sep 1999
Gregory D. Hess, Christopher S. Jones and Richard D. Porter
CESifo (Center for Economic Studies and Ifo Institute for Economic Research), University of Southern California - Marshall School of Business - Finance and Business Economics Department and Federal Reserve Bank of Chicago

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16.

Free Cash Flow, Optimal Contracting, and Takeovers

Rodney L. White Center Working Paper No. 3-97
Posted: 21 Apr 1997
Eitan Goldman, Christopher S. Jones and Ron Kaniel
Indiana University - Kelley School of Business - Department of Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Rochester - Simon Business School

Abstract:

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