Tyler Shumway

University of Michigan at Ann Arbor, The Stephen M. Ross School of Business

Associate Professor of Finance

701 Tappan Street

Ann Arbor, MI MI 48109

United States

http://www.umich.edu/~shumway

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 978

SSRN RANKINGS

Top 978

in Total Papers Downloads

44,306

SSRN CITATIONS
Rank 1,911

SSRN RANKINGS

Top 1,911

in Total Papers Citations

650

CROSSREF CITATIONS

182

Scholarly Papers (19)

1.

Can Individual Investors Beat the Market?

HBS Finance Working Paper No. 04-025, Harvard NOM Working Paper No. 02-45
Number of pages: 39 Posted: 06 Jan 2003 Last Revised: 21 Jul 2018
Harvard Business School - Finance Unit, Marshall School of Business, USC and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business
Downloads 12,096 (700)
Citation 32

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Individual Investors, Market Efficiency, Performance Persistence

2.

Forecasting Default with the Kmv-Merton Model

AFA 2006 Boston Meetings Paper
Number of pages: 36 Posted: 31 Dec 2004
Sreedhar T. Bharath and Tyler Shumway
Arizona State University (ASU) - Finance Department and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business
Downloads 10,944 (829)
Citation 75

Abstract:

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Default, Merton Model

Forecasting Bankruptcy More Accurately: A Simple Hazard Model

Number of pages: 33 Posted: 12 Aug 1999
Tyler Shumway
University of Michigan at Ann Arbor, The Stephen M. Ross School of Business
Downloads 5,639 (2,529)
Citation 94

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Forecasting Bankruptcy More Accurately: A Simple Hazard Model

Posted: 12 Aug 1999
Tyler Shumway
University of Michigan at Ann Arbor, The Stephen M. Ross School of Business

Abstract:

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Good Day Sunshine: Stock Returns and the Weather

Dice Center Working Paper No. 2001-3
Number of pages: 31 Posted: 17 Apr 2001
David A. Hirshleifer and Tyler Shumway
Marshall School of Business, USC and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business
Downloads 3,829 (4,886)
Citation 221

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Good Day Sunshine: Stock Returns and the Weather

Posted: 22 Jul 2003
David A. Hirshleifer and Tyler Shumway
Marshall School of Business, USC and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business

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5.
Downloads 3,430 ( 6,003)
Citation 45

Expected Option Returns

Number of pages: 35 Posted: 05 Nov 1999
Tyler Shumway and Joshua D. Coval
University of Michigan at Ann Arbor, The Stephen M. Ross School of Business and Harvard Business School - Finance Unit
Downloads 3,430 (5,890)
Citation 45

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Expected Option Returns

Journal of Finance
Posted: 16 Oct 2000
Joshua D. Coval and Tyler Shumway
Harvard Business School - Finance Unit and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business

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6.
Downloads 1,997 (14,190)

Learning By Trading

Number of pages: 49 Posted: 20 Mar 2006 Last Revised: 14 May 2014
Amit Seru, Tyler Shumway and Noah Stoffman
Stanford University, University of Michigan at Ann Arbor, The Stephen M. Ross School of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 1,997 (13,924)
Citation 77

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Learning, Behavioral Biases, Disposition Effect, Individual Investor Performance

Learning by Trading

The Review of Financial Studies, Vol. 23, Issue 2, pp. 705-739, 2009
Posted: 01 Feb 2010
Amit Seru, Tyler Shumway and Noah Stoffman
Stanford University, University of Michigan at Ann Arbor, The Stephen M. Ross School of Business and Indiana University - Kelley School of Business - Department of Finance

Abstract:

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D10, G10

7.

Do Behavioral Biases Affect Prices?

EFA 2001 Barcelona Meetings
Number of pages: 35 Posted: 15 May 2001
Joshua D. Coval and Tyler Shumway
Harvard Business School - Finance Unit and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business
Downloads 1,178 (31,555)
Citation 76

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Loss Aversion

8.

Are Monthly Market Returns Predictable?

Review of Asset Pricing Studies, forthcoming, Georgia Tech Scheller College of Business Research Paper No. 2015-12
Number of pages: 42 Posted: 11 Jul 2014 Last Revised: 15 Dec 2021
Jussi Keppo, Tyler Shumway and Daniel Weagley
National University of Singapore - NUS Business School, University of Michigan at Ann Arbor, The Stephen M. Ross School of Business and Georgia Institute of Technology - Scheller College of Business
Downloads 919 (44,844)

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Market timing, return predictability, bubbles, market crashes

9.

Investor Sophistication and the Home Bias, Diversification, and Employer Stock Puzzles

Number of pages: 29 Posted: 19 Mar 2010
Miles S. Kimball and Tyler Shumway
University of Colorado Boulder and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business
Downloads 774 (56,674)
Citation 68

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Investor Sophistication, Household Finance

10.

Peer Effects in Risk Aversion and Trust

Review of Financial Studies, 2014, vol. 27(11): 3213-3240.
Number of pages: 69 Posted: 16 Jun 2012 Last Revised: 30 Mar 2016
Kenneth R. Ahern, Ran Duchin and Tyler Shumway
University of Southern California - Marshall School of Business, Boston College - Carroll School of Management and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business
Downloads 770 (57,048)
Citation 25

Abstract:

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Peer effects, risk aversion, trust

11.

Explaining Returns with Loss Aversion

Number of pages: 33 Posted: 10 Feb 1998
Tyler Shumway
University of Michigan at Ann Arbor, The Stephen M. Ross School of Business
Downloads 716 (62,887)
Citation 31

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12.

Pornography and Divorce

7th Annual Conference on Empirical Legal Studies Paper
Number of pages: 39 Posted: 18 Jul 2012 Last Revised: 28 Sep 2013
Tyler Shumway, Robert Daines and Robert Daines
University of Michigan at Ann Arbor, The Stephen M. Ross School of Business and Stanford Graduate School of BusinessStanford Law School
Downloads 637 (73,067)
Citation 2

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13.

Is Sound Just Noise?

EFA 0244; University of Michigan Business School Working Paper No. 98024
Number of pages: 34 Posted: 20 Apr 1999
Joshua D. Coval and Tyler Shumway
Harvard Business School - Finance Unit and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business
Downloads 463 (108,166)
Citation 6

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14.

Pricing Kernel Monotonicity and Conditional Information

Forthcoming, Review of Financial Studies
Number of pages: 59 Posted: 24 Jan 2014 Last Revised: 05 Oct 2017
Matthew Linn, Sophie Shive and Tyler Shumway
Isenberg School of Management, University of Massachusetts, University of Notre Dame - Department of Finance and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business
Downloads 388 (132,770)
Citation 21

Abstract:

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pricing kernel monotonicity

15.

Presentation Slides for 'Can Individual Investors Beat the Market?'

Number of pages: 15 Posted: 08 Aug 2018
Harvard Business School - Finance Unit, Marshall School of Business, USC and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business
Downloads 339 (153,964)
Citation 7

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Individual Investors, Market Efficiency, Performance Persistence

16.
Downloads 187 (276,585)
Citation 5

Portfolio Rebalancing in General Equilibrium

Number of pages: 39 Posted: 22 Jul 2011
University of Colorado Boulder, University of Michigan at Ann Arbor - Department of Economics, University of Michigan at Ann Arbor, The Stephen M. Ross School of Business and University of Michigan at Ann Arbor
Downloads 130 (374,692)
Citation 5

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rebalancing, portfolio theory, overlapping generations

Portfolio Rebalancing in General Equilibrium

NBER Working Paper No. w24722
Number of pages: 80 Posted: 18 Jun 2018 Last Revised: 21 Jul 2023
University of Colorado Boulder, University of Michigan at Ann Arbor - Department of Economics, University of Michigan at Ann Arbor, The Stephen M. Ross School of Business and University of Michigan at Ann Arbor
Downloads 57 (633,758)
Citation 1

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17.

Forecasting Default with the Merton Distance to Default Model

The Review of Financial Studies, Vol. 21, Issue 3, pp. 1339-1369, 2008
Posted: 02 Jul 2008
Sreedhar T. Bharath and Tyler Shumway
Arizona State University (ASU) - Finance Department and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business

Abstract:

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G12, G13, G33

18.

The Delisting Bias in Crsp's NASDAQ Data and its Implications for Interpretation of the Size Effect

Posted: 17 Sep 1997
Tyler Shumway and Vincent A. Warther
University of Michigan at Ann Arbor, The Stephen M. Ross School of Business and Compass Lexecon

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19.

Size, Overreaction, and Book-to-Market Effects as Default Premia

Posted: 18 Dec 1996
Tyler Shumway
University of Michigan at Ann Arbor, The Stephen M. Ross School of Business

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