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Ron Kaniel

University of Rochester - Simon Business School

Jay S. and Jeanne P. Benet Professor of Finance

Rochester, NY 14627

United States

http://rkaniel.simon.rochester.edu

CEPR

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

  • University of Rochester - Simon Business School

  • CEPR

SCHOLARLY PAPERS

37

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CITATIONS
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649

Scholarly Papers (37)

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1.

Individual Investor Trading and Stock Returns

AFA 2005 Philadelphia Meetings, Johnson School Research Paper Series No. 13-06
Number of pages: 55 Posted: 06 Oct 2004
Ron Kaniel, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 1,897 (5,938)
Citation 132

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Individual investor sentiment, return predictability, behavioral finance, liquidity provision, NYSE, contrarian, market efficiency

2.

Individual Investor Trading and Return Patterns Around Earnings Announcements

Downloads 1,110 ( 16,105)
Citation 28

Individual Investor Trading and Return Patterns Around Earnings Announcements

AFA 2010 Atlanta Meetings Paper
Number of pages: 53 Posted: 16 Feb 2009 Last Revised: 02 Jan 2011
Ron Kaniel, Shuming Liu, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, San Francisco State University, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 756 (27,760)
Citation 28

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individual investors, earnings, liquidity, private information

Individual Investor Trading and Return Patterns Around Earnings Announcements

EFA 2009 Bergen Meetings Paper, Johnson School Research Paper No. 07-09
Number of pages: 53 Posted: 23 Jan 2009 Last Revised: 02 Jan 2011
Ron Kaniel, Shuming Liu, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, San Francisco State University, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 351 (74,324)
Citation 28

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Individual Investor Trading and Return Patterns Around Earnings Announcements

CEPR Discussion Paper No. DP8259
Number of pages: 55 Posted: 14 Mar 2011
Ron Kaniel, Shuming Liu, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, San Francisco State University, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 3 (587,289)
Citation 28
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earnings announcement, individual investors

3.

Individual Investor Sentiment and Stock Returns

Downloads 1,039 ( 17,765)
Citation 132

Individual Investor Sentiment and Stock Returns

NYU Working Paper No. FIN-04-023
Number of pages: 45 Posted: 03 Nov 2008
Ron Kaniel, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 667 (32,978)
Citation 132

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Individual Investor Sentiment and Stock Returns

NYU Working Paper No. SC-CFE-04-04
Number of pages: 46 Posted: 07 Nov 2008
Ron Kaniel, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 276 (97,476)
Citation 132

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Individual Investor Sentiment and Stock Returns

NYU Working Paper No. FIN-04-012
Number of pages: 45 Posted: 03 Nov 2008
Ron Kaniel, Gideon Saar and Sheridan Titman
University of Rochester - Simon Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance
Downloads 96 (246,340)
Citation 131

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4.

Equilibrium Prices in the Presence of Delegated Portfolio Management

Downloads 683 ( 32,385)
Citation 54

Equilibrium Prices in the Presence of Delegated Portfolio Management

AFA 2001 New Orleans Meetings
Number of pages: 36 Posted: 15 Jan 2001
Domenico Cuoco and Ron Kaniel
University of Pennsylvania - Finance Department and University of Rochester - Simon Business School
Downloads 680 (32,086)
Citation 54

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Equilibrium Prices in the Presence of Delegated Portfolio Management

CEPR Discussion Paper No. DP7453
Number of pages: 66 Posted: 07 Oct 2009
Domenico Cuoco and Ron Kaniel
University of Pennsylvania - Finance Department and University of Rochester - Simon Business School
Downloads 3 (587,289)
Citation 42
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delegation, equilibrium, fund, portfolio

5.

Madison Avenue Meets Wall Street: Mutual Fund Families, Competition and Advertising

Number of pages: 51 Posted: 31 Jan 2006
Steven Gallaher, Ron Kaniel and Laura T. Starks
University of Texas at Austin - Department of Finance, University of Rochester - Simon Business School and University of Texas at Austin - Department of Finance
Downloads 640 (26,243)
Citation 29

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funds, advertising, flows, fundflows

6.

The Investor Recognition Hypothesis: International Evidence and Determinants

AFA 2004 San Diego Meetings; University of Texas at Austin Working Paper
Number of pages: 52 Posted: 28 Jul 2003
Ron Kaniel, Dong Li and Laura T. Starks
University of Rochester - Simon Business School, University of Texas at Austin - Department of Economics and University of Texas at Austin - Department of Finance
Downloads 585 (37,044)
Citation 10

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high volume, high volume premium, investor recognition hypothesis, IRH

7.

The High Volume Return Premium and the Investor Recognition Hypothesis: International Evidence and Determinants

AFA 2004 San Diego Meetings
Number of pages: 53 Posted: 08 Dec 2003
Ron Kaniel, Dong Li and Laura T. Starks
University of Rochester - Simon Business School, University of Texas at Austin - Department of Economics and University of Texas at Austin - Department of Finance
Downloads 561 (38,043)
Citation 11

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8.

Are Mutual Fund Managers Paid for Investment Skill?

Downloads 556 ( 42,612)

Are Mutual Fund Managers Paid for Investment Skill?

Swedish House of Finance Research Paper No. 17-9
Number of pages: 72 Posted: 10 Feb 2017 Last Revised: 02 Aug 2017
Markus Ibert, Ron Kaniel, Stijn Van Nieuwerburgh and Roine Vestman
Stockholm School of Economics - Department of Finance, Students, University of Rochester - Simon Business School, New York University Stern School of Business, Department of Finance and Stockholm University - Department of Economics
Downloads 543 (43,362)

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Portfolio Manager Compensation, Mutual Fund Performance, Wage Dynamics

Are Mutual Fund Managers Paid for Investment Skill?

NBER Working Paper No. w23373
Number of pages: 64 Posted: 01 May 2017
Markus Ibert, Ron Kaniel, Stijn Van Nieuwerburgh and Roine Vestman
Stockholm School of Economics - Department of Finance, Students, University of Rochester - Simon Business School, New York University Stern School of Business, Department of Finance and Stockholm University - Department of Economics
Downloads 12 (535,695)
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Are Mutual Fund Managers Paid for Investment Skill?

CEPR Discussion Paper No. DP12241
Number of pages: 75 Posted: 29 Aug 2017
Markus Ibert, Ron Kaniel, Stijn Van Nieuwerburgh and Roine Vestman
Stockholm School of Economics - Department of Finance, Students, University of Rochester - Simon Business School, New York University Stern School of Business, Department of Finance and Stockholm University - Department of Economics
Downloads 1 (607,409)
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financial sector income, mutual fund performance, Portfolio manager compensation

Are Mutual Fund Managers Paid for Investment Skill?

CEPR Discussion Paper No. DP12010
Number of pages: 66 Posted: 02 May 2017
Markus Ibert, Ron Kaniel, Stijn Van Nieuwerburgh and Roine Vestman
Stockholm School of Economics - Department of Finance, Students, University of Rochester - Simon Business School, New York University Stern School of Business, Department of Finance and Stockholm University - Department of Economics
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financial sector income, mutual fund performance, Portfolio manager compensation

9.

Advertising and Mutual Funds: From Families to Individual Funds

Downloads 437 ( 57,653)
Citation 9

Advertising and Mutual Funds: From Families to Individual Funds

Number of pages: 51 Posted: 23 Mar 2009
Steven T Gallaher, Ron Kaniel and Laura T. Starks
Southern New Hampshire University, University of Rochester - Simon Business School and University of Texas at Austin - Department of Finance
Downloads 434 (57,568)
Citation 9

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mutual fund, flow, advertising, fund flows

Advertising and Mutual Funds: From Families to Individual Funds

CEPR Discussion Paper No. DP10329
Number of pages: 52 Posted: 23 Jan 2015
Steven T Gallaher, Ron Kaniel and Laura T. Starks
Southern New Hampshire University, University of Rochester - Simon Business School and University of Texas at Austin - Department of Finance
Downloads 3 (587,289)
Citation 9
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advertising, flow, mutual fund, performance

10.

Price Drift as an Outcome of Differences in Higher Order Beliefs

Downloads 438 ( 57,653)
Citation 20

Price Drift as an Outcome of Differences in Higher Order Beliefs

AFA 2007 Chicago Meetings Paper, Review of Financial Studies, Forthcoming
Number of pages: 25 Posted: 16 Mar 2006 Last Revised: 30 Nov 2009
Snehal Banerjee, Ron Kaniel and Ilan Kremer
University of California, San Diego (UCSD) - Rady School of Management, University of Rochester - Simon Business School and Independent
Downloads 438 (57,073)
Citation 20

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price drift, momentum, rational, difference, opinion

Price Drift as an Outcome of Differences in Higher-Order Beliefs

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3707-3734, 2009
Posted: 08 Sep 2009
Snehal Banerjee, Ron Kaniel and Ilan Kremer
University of California, San Diego (UCSD) - Rady School of Management, University of Rochester - Simon Business School and Independent

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G12

11.

Headlines and Bottom Lines: Attention and Learning Effects from Media Coverage of Mutual Funds

Number of pages: 49 Posted: 20 Mar 2005
Ron Kaniel, Laura T. Starks and Vasudha Vasudevan
University of Rochester - Simon Business School, University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Downloads 410 (45,249)
Citation 12

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mutual funds, attention, learning, fund flows, media

12.

Relative Wealth Concerns and Financial Bubbles

Downloads 385 ( 67,128)
Citation 29

Relative Wealth Concerns and Financial Bubbles

Number of pages: 35 Posted: 05 Dec 2005
Peter M. DeMarzo, Ron Kaniel and Ilan Kremer
Stanford Graduate School of Business, University of Rochester - Simon Business School and Independent
Downloads 221 (122,625)
Citation 29

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bubbles, relative, wealth, overlapping, generations

Relative Wealth Concerns and Financial Bubbles

Sixteenth Annual Utah Winter Finance Conference
Number of pages: 35 Posted: 01 Nov 2006
Peter M. DeMarzo, Ron Kaniel and Ilan Kremer
Stanford Graduate School of Business, University of Rochester - Simon Business School and Independent
Downloads 164 (162,049)
Citation 29

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Relative Wealth Concerns and Financial Bubbles

The Review of Financial Studies, Vol. 21, No. 1, pp. 19-50, 2008
Posted: 26 Jun 2008
Peter M. DeMarzo and Ron Kaniel
Stanford Graduate School of Business and University of Rochester - Simon Business School

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13.

So What Orders Do Informed Traders Use?

Downloads 371 ( 70,116)
Citation 54

So What Orders Do Informed Traders Use?

Number of pages: 54 Posted: 13 Oct 2004
Hong Liu and Ron Kaniel
Washington University in St. Louis - Olin Business School and University of Rochester - Simon Business School
Downloads 371 (69,503)
Citation 54

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market microstructure, limit orders, market orders, informed trader, equilibria

So What Orders Do Informed Traders Use?

Journal of Business, Forthcoming
Posted: 31 May 2005
Hong Liu and Ron Kaniel
Washington University in St. Louis - Olin Business School and University of Rochester - Simon Business School

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market microstructure, limit orders, market orders, informed trader, equilibria

14.

Mutual Fund Portfolio Choice in the Presence of Dynamic Flows

Downloads 361 ( 72,468)
Citation 12

Mutual Fund Portfolio Choice in the Presence of Dynamic Flows

Swiss Finance Institute Research Paper
Number of pages: 56 Posted: 18 Nov 2002 Last Revised: 28 Sep 2008
Ron Kaniel and Julien Hugonnier
University of Rochester - Simon Business School and Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 359 (72,303)
Citation 12

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Mutual Fund Portfolio Choice in the Presence of Dynamic Flows

Mathematical Finance, Vol. 20, Issue 2, pp. 187-227, April 2010
Number of pages: 41 Posted: 29 Mar 2010
Julien Hugonnier and Ron Kaniel
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Rochester - Simon Business School
Downloads 2 (595,833)
Citation 12
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15.

Diversification as a Public Good: Community Effects in Portfolio Choice

Twelfth Annual Utah Winter Finance Conference; Texas Finance Festival
Number of pages: 50 Posted: 02 Mar 2002
Peter M. DeMarzo, Ron Kaniel and Ilan Kremer
Stanford Graduate School of Business, University of Rochester - Simon Business School and Independent
Downloads 343 (74,932)
Citation 37

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public good, community, diversification, portfolio choice, home bias

16.

Tax Management Strategies with Multiple Risky Assets

Downloads 320 ( 82,068)
Citation 14

Tax Management Strategies with Multiple Risky Assets

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 59 Posted: 22 Mar 2002
Michael F. Gallmeyer, Ron Kaniel and Stathis Tompaidis
University of Virginia (UVA) - McIntire School of Commerce, University of Rochester - Simon Business School and University of Texas at Austin - McCombs School of Business
Downloads 320 (82,664)
Citation 14

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Portfolio Choice, Capital Gain Taxation, Short Sales

Tax Management Strategies with Multiple Risky Assets

Journal of Financial Economics, Forthcoming
Posted: 29 Nov 2004
Michael F. Gallmeyer, Ron Kaniel and Stathis Tompaidis
University of Virginia (UVA) - McIntire School of Commerce, University of Rochester - Simon Business School and University of Texas at Austin - McCombs School of Business

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Portfolio Choice, Capital Gain Taxation, Short Sales

17.

Optimism without Illusion: The Impact of Experience on Expectations

Yale SOM Working Paper No. 1302924
Number of pages: 15 Posted: 19 Nov 2008
Ron Kaniel, Cade Massey and David T. Robinson
University of Rochester - Simon Business School, University of Pennsylvania - The Wharton School and Fuqua School of Business, Duke University
Downloads 313 (81,195)
Citation 1

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18.

Are Retail Traders Compensated for Providing Liquidity?

Downloads 288 ( 93,501)

Are Retail Traders Compensated for Providing Liquidity?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 48 Posted: 23 Jun 2014 Last Revised: 14 Oct 2015
Jean-Noel Barrot, Ron Kaniel and David Alexandre Sraer
Massachusetts Institute of Technology (MIT), University of Rochester - Simon Business School and University of California, Berkeley
Downloads 288 (93,014)

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retail investor behavior, return predictability, liquidity provision

Are Retail Traders Compensated for Providing Liquidity?

CEPR Discussion Paper No. DP10285
Number of pages: 57 Posted: 08 Dec 2014
Jean-Noel Barrot, Ron Kaniel and David Alexandre Sraer
Massachusetts Institute of Technology (MIT), University of Rochester - Simon Business School and University of California, Berkeley
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financial crisis, individual investor, liquidity, retail investor

Are Retail Traders Compensated for Providing Liquidity?

CEPR Discussion Paper No. DP10820
Number of pages: 49 Posted: 16 Sep 2015
Jean-Noel Barrot, Ron Kaniel and David Alexandre Sraer
Massachusetts Institute of Technology (MIT), University of Rochester - Simon Business School and University of California, Berkeley
Downloads 0
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crisis, liquidity, retail investors

19.

On Measuring the Economic Significance of Asset Return Predictability

AFA 2002 Atlanta Meetings, Sauder School of Business Working Paper
Number of pages: 70 Posted: 08 Dec 2001
Murray Carlson, Hong Yan, David A. Chapman and Ron Kaniel
University of British Columbia (UBC) - Sauder School of Business, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), McIntire School, University of Virginia and University of Rochester - Simon Business School
Downloads 269 (97,973)
Citation 2

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20.

Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales

McCombs School of Business Finance Working Paper
Number of pages: 47 Posted: 25 Jun 2001
Michael F. Gallmeyer, Ron Kaniel and Stathis Tompaidis
University of Virginia (UVA) - McIntire School of Commerce, University of Rochester - Simon Business School and University of Texas at Austin - McCombs School of Business
Downloads 269 (97,219)

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Taxes, Multiple Assets, Short Sales, Capital Gains, Portfolio Selection, CRRA, Shorting the box

21.

Relative Wealth Concerns and Technology Bubbles

Number of pages: 28 Posted: 17 Feb 2005
Peter M. DeMarzo, Ron Kaniel and Ilan Kremer
Stanford Graduate School of Business, University of Rochester - Simon Business School and Independent
Downloads 226 (115,800)
Citation 28

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Bubble, technology, relative wealth, Joneses, herding, over-investment

22.

WSJ Category Kings - The Impact of Media Attention on Consumer and Mutual Fund Investment Decisions

Downloads 223 (121,959)

WSJ Category Kings - The Impact of Media Attention on Consumer and Mutual Fund Investment Decisions

Journal of Financial Economics (JFE), Vol. 123, No. 2, 2017, Simon Business School Working Paper No. FR 15-07
Number of pages: 57 Posted: 30 Jan 2015 Last Revised: 01 Dec 2017
Ron Kaniel and Robert Parham
University of Rochester - Simon Business School and University of Virginia - McIntire School of Commerce
Downloads 222 (122,063)

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mutual funds, media, visibility, flows, tracking error

WSJ Category Kings - The Impact of Media Attention on Consumer and Mutual Fund Investment Decisions

CEPR Discussion Paper No. DP10923
Number of pages: 59 Posted: 12 Nov 2015
Ron Kaniel and Robert Parham
University of Rochester - Simon Business School and University of Rochester - Simon Business School
Downloads 1 (607,409)
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attention, flows, media, mutual fund, ranking, risk shifting, visibility

23.

Why Do Institutional Investors Chase Return Trends?

Downloads 197 (137,148)
Citation 1

Why Do Institutional Investors Chase Return Trends?

Number of pages: 41 Posted: 10 Nov 2006 Last Revised: 10 Apr 2012
Aydogan Alti, Uzi Yoeli and Ron Kaniel
University of Texas at Austin - Department of Finance, University of Texas at Austin - Department of Finance and University of Rochester - Simon Business School
Downloads 194 (139,004)
Citation 1

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Why Do Institutional Investors Chase Return Trends?

CEPR Discussion Paper No. DP8773
Number of pages: 46 Posted: 20 Jan 2012
Aydogan Alti, Ron Kaniel and Uzi Yoeli
University of Texas at Austin - Department of Finance, University of Rochester - Simon Business School and University of Texas at Austin - Department of Finance
Downloads 3 (587,289)
Citation 1
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Institutional Investors, momentum, mutual funds, return trends

24.

Optimism and Economic Crisis

Number of pages: 21 Posted: 02 Apr 2010 Last Revised: 22 Jul 2010
Ron Kaniel, Cade Massey and David T. Robinson
University of Rochester - Simon Business School, University of Pennsylvania - The Wharton School and Fuqua School of Business, Duke University
Downloads 151 (152,187)

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optimism, crisis, trait

25.

Relative Pay for Non-Relative Performance: Keeping Up with the Joneses with Optimal Contracts

Downloads 120 (208,803)

Relative Pay for Non-Relative Performance: Keeping Up with the Joneses with Optimal Contracts

Number of pages: 51 Posted: 29 Mar 2016 Last Revised: 07 Apr 2017
Peter M. DeMarzo and Ron Kaniel
Stanford Graduate School of Business and University of Rochester - Simon Business School
Downloads 119 (211,011)

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contracting, externality, keeping up with Joneses, relative performance, moral hazard, peers

Relative Pay for Non-Relative Performance: Keeping Up with the Joneses with Optimal Contracts

CEPR Discussion Paper No. DP11538
Number of pages: 48 Posted: 03 Oct 2016
Peter M. DeMarzo and Ron Kaniel
Stanford Graduate School of Business and University of Rochester - Simon Business School
Downloads 1 (607,409)
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contract, Joneses, manager, pay performance, relative

26.

Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows

Downloads 87 (260,491)

Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows

Simon Business School Working Paper No. FR 15-09
Number of pages: 47 Posted: 29 Nov 2014 Last Revised: 13 Nov 2017
Ron Kaniel, Stathis Tompaidis and Ti Zhou
University of Rochester - Simon Business School, University of Texas at Austin - McCombs School of Business and Independent
Downloads 87 (262,641)

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managerial commitment, incomplete information, risk taking, mutual funds

Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows

CEPR Discussion Paper No. DP12285
Number of pages: 50 Posted: 11 Sep 2017
Ron Kaniel, Stathis Tompaidis and Ti Zhou
University of Rochester - Simon Business School, University of Texas at Austin - McCombs School of Business and Independent
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commitment, flows, mutual fund, portfolio

27.

Efficient Computation of Hedging Parameters for Discretely Exercisable Options

Number of pages: 45 Posted: 18 Mar 2005
Ron Kaniel, Stathis Tompaidis and Alexander Zemlianov
University of Rochester - Simon Business School, University of Texas at Austin - McCombs School of Business and University of Texas at Austin - Electrical and Computer Engineering Department
Downloads 61 (303,165)
Citation 3

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Option pricing, greeks, monte carlo simulation, american options

28.

The Importance of Being an Optimist: Evidence from Labor Markets

NBER Working Paper No. w16328
Number of pages: 44 Posted: 07 Sep 2010
Ron Kaniel, Cade Massey and David T. Robinson
University of Rochester - Simon Business School, University of Pennsylvania - The Wharton School and Fuqua School of Business, Duke University
Downloads 55 (310,503)
Citation 6

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29.

The Delegated Lucas-Tree

AFA 2011 Denver Meetings Paper
Number of pages: 71 Posted: 15 Mar 2010 Last Revised: 28 Sep 2013
Ron Kaniel and Peter Kondor
University of Rochester - Simon Business School and London School of Economics & Political Science (LSE)
Downloads 46 (331,883)
Citation 10

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Mutual funds, Hedge funds, Delegated portfolio management, Asset pricing

30.

The Delegated Lucas Tree

CEPR Discussion Paper No. DP8578
Number of pages: 64 Posted: 29 Sep 2011
Ron Kaniel and Peter Kondor
University of Rochester - Simon Business School and London School of Economics & Political Science (LSE)
Downloads 5 (549,972)
Citation 10
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agency, delegation, equilibrium, funds, money management

31.

Specification Error, Estimation Risk, and Conditional Portfolio Rules

International Review of Finance, Vol. 17, Issue 2, pp. 263-288, 2017
Number of pages: 26 Posted: 03 Jun 2017
Murray Carlson, David A. Chapman, Ron Kaniel and Hong Yan
University of British Columbia (UBC) - Sauder School of Business, McIntire School, University of Virginia, University of Rochester - Simon Business School and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 0 (591,747)
Citation 2
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32.

The Real Side of the High-Volume Return Premium

Simon Business School Working Paper No. FR 17-07
Number of pages: 45 Posted: 01 Feb 2017 Last Revised: 10 Nov 2017
Doron Israeli, Ron Kaniel and Suhas A. Sridharan
IDC Herzliya - Arison School of Business, University of Rochester - Simon Business School and Emory University - Goizueta Business School
Downloads 0 (124,725)

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Trading volume; Corporate investment; Financial constraints; Investor recognition

33.

Asset Return Predictability in a Heterogeneous Agent Equilibrium Model

CEPR Discussion Paper No. DP10328
Number of pages: 57 Posted: 23 Jan 2015
Murray Carlson, David A. Chapman, Ron Kaniel and Hong Yan
University of British Columbia (UBC) - Sauder School of Business, McIntire School, University of Virginia, University of Rochester - Simon Business School and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 0 (591,747)
Citation 3
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consumption, equilibrium, excess returns, hedging, predictable

34.

Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds

The Journal of Finance, Vol. 57, pp. 661-693, 2002
Posted: 19 Nov 2002
Mark M. Carhart, Adam V. Reed, Ron Kaniel and David K. Musto
Kepos Capital LP, University of North Carolina Kenan-Flagler Business School, University of Rochester - Simon Business School and University of Pennsylvania - Finance Department

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35.

The High Volume Return Premium

White Center for Financial Research Working Paper No. 01-99
Posted: 14 Feb 1999
Simon Gervais, Ron Kaniel and Dan Mingelgrin
Duke University - Fuqua School of Business, University of Rochester - Simon Business School and University of Pennsylvania - The Wharton School

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36.

Are Transactions and Market Orders More Important than Limit Orders in the Quote Updating Process?

Rodney L. White Center Working Paper No. 16-98
Posted: 10 Aug 1998
Hong Liu and Ron Kaniel
Washington University in St. Louis - Olin Business School and University of Rochester - Simon Business School

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37.

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

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