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

DOWNLOADS
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SSRN RANKINGS

Top 5,830

in Total Papers Downloads

7,495

SSRN CITATIONS
Rank 4,872

SSRN RANKINGS

Top 4,872

in Total Papers Citations

50

CROSSREF CITATIONS

167

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 1,698 (9,755)
Citation 27

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 914 (25,283)
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 794 (30,808)
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 736 (34,146)
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 (41,254)
Citation 6

Abstract:

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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 534 (52,176)
Citation 11

Abstract:

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Inventory Investment, Return Predictability

7.

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 530 (52,698)
Citation 1

Abstract:

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Return Predictability, Options, Implied Volatility

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 (61,458)
Citation 13

Abstract:

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Term Structure of Interest rates, Affine Models

9.
Downloads 467 ( 61,800)
Citation 42

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 (67,573)
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 (456,061)
Citation 8

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 265 (117,629)
Citation 2

Abstract:

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Term Structure of Interest rates

11.

Out-of-Sample Performance of Mutual Fund Predictors

Number of pages: 60 Posted: 28 May 2017 Last Revised: 20 Aug 2018
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 215 (144,884)
Citation 3

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 154 (195,399)
Citation 6

Abstract:

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

13.

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 54 (383,300)

Abstract:

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14.

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 25 (521,191)

Abstract:

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Options, Liquidity, Microstructure bias

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

Abstract:

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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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