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

15

DOWNLOADS
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Top 5,526

in Total Papers Downloads

6,490

CITATIONS
Rank 3,705

SSRN RANKINGS

Top 3,705

in Total Papers Citations

147

Scholarly Papers (15)

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 1,462 (8,343)
Citation 11

Abstract:

volatility, options

2.

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 749 (25,593)
Citation 43

Abstract:

3.

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 685 (24,971)

Abstract:

Nontrading, weekend effect, equity options

4.

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 601 (34,290)
Citation 1

Abstract:

5.
Downloads 453 ( 52,092)
Citation 34

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 419 (56,700)
Citation 34

Abstract:

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 34 (396,155)
Citation 34

Abstract:

6.

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 444 (47,056)
Citation 8

Abstract:

Inventory Investment, Return Predictability

7.

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 - 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 441 (50,755)
Citation 9

Abstract:

Term Structure of Interest rates, Affine Models

8.

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 389 (35,398)

Abstract:

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

9.

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 - 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 248 (98,350)
Citation 21

Abstract:

Term Structure of Interest rates

10.

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 111 (194,726)
Citation 3

Abstract:

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

11.

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 - 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 45 (330,636)
Citation 17

Abstract:

12.

Does Private Information from Options Markets Forecast Aggregate Stock Returns?

Number of pages: 44 Posted: 27 Jul 2017
Christopher S. Jones, Haitao Mo and Tong Wang
University of Southern California - Marshall School of Business - Finance and Business Economics Department, E. J. Ourso College of Business, Louisiana State University and Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 0 (169,853)

Abstract:

Return Predictability, Options, Implied Volatility

13.

Out-of-Sample Performance of Mutual Fund Predictors

Number of pages: 52 Posted: 28 May 2017 Last Revised: 17 Sep 2017
Christopher S. Jones and Haitao Mo
University of Southern California - Marshall School of Business - Finance and Business Economics Department and E. J. Ourso College of Business, Louisiana State University
Downloads 0 (226,358)

Abstract:

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

14.

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

Abstract:

15.

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: