Gregory Vainberg

McGill University - Desautels Faculty of Management

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

SCHOLARLY PAPERS

4

DOWNLOADS
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Top 9,432

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4,864

CITATIONS
Rank 18,419

SSRN RANKINGS

Top 18,419

in Total Papers Citations

37

Scholarly Papers (4)

1.
Downloads 2,483 ( 4,962)
Citation 26

Forward-Looking Betas

EFA 2007 Ljubljana Meetings, AFA 2008 NEW ORLEANS MEETINGS
Number of pages: 59 Posted: 17 Mar 2006 Last Revised: 02 May 2008
Peter Christoffersen, Kris Jacobs and Gregory Vainberg
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 2,118 (6,337)
Citation 12

Abstract:

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Market beta, CAPM, historical, forward-looking, option-implied, capital budgeting, event studies, model-free volatility, model-free skewness

Forward-Looking Betas

CREATES Research Paper No. 2007-39
Number of pages: 61 Posted: 24 Jun 2008
Peter Christoffersen, Kris Jacobs and Gregory Vainberg
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 365 (79,801)
Citation 18

Abstract:

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market beta, CAPM, historical, forward-looking, option-implied, capital budgeting, event studies, model-free moments

2.

Option-Implied Measures of Equity Risk

Review of Finance, Forthcoming
Number of pages: 44 Posted: 11 Jun 2009 Last Revised: 23 Jan 2012
Bank of Canada, University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 1,371 (13,299)
Citation 4

Abstract:

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market beta, CAPM, historical, capital budgeting, model-free moments

3.

Systematic Variance Risk and Firm Characteristics in the Equity Options Market

Number of pages: 52 Posted: 10 Oct 2007
Vadim di Pietro and Gregory Vainberg
Northwestern University - Kellogg School of Management and McGill University - Desautels Faculty of Management
Downloads 884 (25,717)
Citation 4

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Equity Options, Model Free Implied Volatility, Variance Risk, Size Effect, Book-to-Market Effect

4.

Risk Oversight Practices: Two Success Stories

Director Notes, Vol. 3, No. 2, January 2011
Number of pages: 6 Posted: 13 May 2011
Ellen S. Hexter and Gregory Vainberg
The Conference Board - Governance Center and McGill University - Desautels Faculty of Management
Downloads 126 (223,450)

Abstract:

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Risk Management, ERM, Oversight, The Conference Board