Adlai J. Fisher

University of British Columbia (UBC) - Sauder School of Business

Assistant Professor

2053 Main Mall

Vancouver, BC V6T 1Z2

Canada

http://finance.sauder.ubc.ca/~fisher

  • University of British Columbia (UBC) - Sauder School of Business

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    • Tel: 604-822-8331
    • Fax: 604-822-4695
SCHOLARLY PAPERS

29

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30,579

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500

CROSSREF CITATIONS

205

Scholarly Papers (29)

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1.

A Multifractal Model of Asset Returns

Cowles Foundation Discussion Paper No. 1164, Sauder School of Business Working Paper
Number of pages: 33 Posted: 21 Apr 1998
Benoit B. Mandelbrot, Adlai J. Fisher and Laurent E. Calvet
Yale University - International Center for Finance, University of British Columbia (UBC) - Sauder School of Business and SKEMA Business School
Downloads 8,970 (1,342)
Citation 3

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2.

Large Deviations and the Distribution of Price Changes

Cowles Foundation Discussion Paper No. 1165, Sauder School of Business Working Paper
Number of pages: 30 Posted: 22 Apr 1998
Laurent E. Calvet, Adlai J. Fisher and Benoit B. Mandelbrot
SKEMA Business School, University of British Columbia (UBC) - Sauder School of Business and Yale University - International Center for Finance
Downloads 2,973 (8,549)

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3.

Multifractality of Deutschemark / Us Dollar Exchange Rates

Cowles Foundation Discussion Paper No. 1166, Sauder School of Business Working Paper
Number of pages: 40 Posted: 21 Apr 1998
Adlai J. Fisher, Laurent E. Calvet and Benoit B. Mandelbrot
University of British Columbia (UBC) - Sauder School of Business, SKEMA Business School and Yale University - International Center for Finance
Downloads 2,945 (8,677)

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4.

Macroeconomic Attention and Announcement Risk Premia

Review of Financial Studies, Forthcoming
Number of pages: 52 Posted: 15 Dec 2015 Last Revised: 13 Jan 2022
Adlai J. Fisher, Charles Martineau and Jinfei Sheng
University of British Columbia (UBC) - Sauder School of Business, University of Toronto - Rotman School of Management and UTSC Management and University of California, Irvine - Paul Merage School of Business
Downloads 1,679 (21,074)
Citation 48

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macroeconomic attention, announcement risk premia, endogenous attention, macroeconomic fundamentals

5.

Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics

Number of pages: 55 Posted: 17 Mar 2010 Last Revised: 16 Apr 2013
Laurent E. Calvet, Adlai J. Fisher and Liuren Wu
SKEMA Business School, University of British Columbia (UBC) - Sauder School of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 1,088 (39,926)
Citation 7

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Term structure of interest rates, cascade model, dimension-invariance, interest rate forecasting, yield curve stripping, forward rate correlations

6.

Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long-Run Performance

7th Annual Texas Finance Festival Paper, Sauder School of Business Working Paper
Number of pages: 33 Posted: 16 May 2005
Murray Carlson, Adlai J. Fisher and Ron Giammarino
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,078 (40,421)
Citation 107

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Event studies, SEOs, Long-Run Performance, dynamic corporate decisions

7.

Levered Noise and the Limits of Arbitrage Pricing: Implications for the Term Structure of Equity Risk Premia

Number of pages: 52 Posted: 21 Sep 2011 Last Revised: 02 Apr 2019
Oliver Boguth, Murray Carlson, Adlai J. Fisher and Mikhail Simutin
Arizona State University (ASU) - Finance Department, University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of Toronto - Rotman School of Management
Downloads 1,056 (41,636)
Citation 37

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equity risk premium, dividend strips, term structure of equity risk premia, limits to arbitrage, microstructure frictions

8.

Regime-Switching and the Estimation of Multifractal Processes

Downloads 848 (56,487)
Citation 4

Regime-Switching and the Estimation of Multifractal Processes

Harvard Institute of Economic Research Discussion Paper No. 1999, Sauder School of Business Working Paper
Number of pages: 44 Posted: 27 Mar 2003
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 553 (96,884)

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Forecasting, Long Memory, Markov Regime-switching, Maximum Likelihood Estimation, Scaling, Stochastic Volatility, Time Deformation, Volatility Component, Vuong Test

Regime-Switching and the Estimation of Multifractal Processes

NYU Working Paper No. FIN-02-064
Number of pages: 42 Posted: 03 Nov 2008
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 111 (477,393)

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Forecasting, long memory, Markov regime-switching, maximum likelihood estimation, scaling, stochastic volatility, time deformation, volatility component, Vuong test

Regime-Switching and the Estimation of Multifractal Processes

NYU Working Paper No. S-DRP-02-10
Number of pages: 42 Posted: 07 Nov 2008
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 100 (515,314)

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Regime-Switching and the Estimation of Multifractal Processes

NBER Working Paper No. w9839
Number of pages: 43 Posted: 20 Jul 2003 Last Revised: 22 May 2022
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 84 (577,478)
Citation 1

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9.

Leaders, Followers, and Risk Dynamics in Industry Equilibrium

AFA 2007 Chicago Meetings Paper, EFA 2009 Bergen Meetings Paper, Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 47 Posted: 06 Mar 2008 Last Revised: 06 May 2013
Murray Carlson, Engelbert J. Dockner, Adlai J. Fisher and Ron Giammarino
University of British Columbia (UBC) - Sauder School of Business, WU Vienna University of Economics and Business (deceased), University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Sauder School of Business
Downloads 835 (57,735)
Citation 10

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Real options, dynamics of firm and industry risk, asset pricing, corporate investment, valuation, cost-of-capital

10.

Conditional Risk and Performance Evaluation: Volatility Timing, Overconditioning, and New Estimates of Momentum Alphas

Journal of Financial Economics (JFE), 102 (2), 363-389, November 2011.
Number of pages: 54 Posted: 04 Jul 2007 Last Revised: 07 May 2013
Oliver Boguth, Murray Carlson, Adlai J. Fisher and Mikhail Simutin
Arizona State University (ASU) - Finance Department, University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of Toronto - Rotman School of Management
Downloads 830 (58,202)
Citation 24

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Overconditioning, Conditional CAPM, Performance Evaluation, Momentum

11.

SEO Risk Dynamics

Downloads 820 (59,156)
Citation 10

SEO Risk Dynamics

Review of Financial Studies, 23 (11), 4026-4077
Number of pages: 48 Posted: 06 Dec 2005 Last Revised: 07 May 2013
Murray Carlson, Adlai J. Fisher and Ron Giammarino
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Sauder School of Business
Downloads 597 (87,876)
Citation 3

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Seasoned Equity Offering, Real Options, Dynamic Risk, Dynamic Beta, Investment Commitment, Time-to-Build, Long Run Event Studies, Abnormal Return

SEO Risk Dynamics

Review of Financial Studies, 23 (11), 4026-4077
Number of pages: 48 Posted: 21 Mar 2007 Last Revised: 07 May 2013
Murray Carlson, Adlai J. Fisher and Ron Giammarino
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Sauder School of Business
Downloads 223 (263,630)
Citation 10

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Seasoned Equity Offering, Real Options, Dynamic Risk, Dynamic Beta, Investment

12.

Corporate Investment and Asset Price Dynamics: Implications for the Cross-Section of Returns

AFA 2004 San Diego Meetings, Sauder School of Business Working Paper
Number of pages: 37 Posted: 10 Jun 2003
Murray Carlson, Adlai J. Fisher and Ron Giammarino
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Sauder School of Business
Downloads 801 (61,054)
Citation 200

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Cross-Section of Returns, Size Effect, Book-to-Market Effect, Corporate Investment, Real Options, Simulated Method of Moments

13.

Noisy FOMC Returns? Information, Price Pressure, and Post-Announcement Reversals

Number of pages: 65 Posted: 14 Jun 2022 Last Revised: 08 Jul 2024
Oliver Boguth, Adlai J. Fisher, Vincent Gregoire and Charles Martineau
Arizona State University (ASU) - Finance Department, University of British Columbia (UBC) - Sauder School of Business, HEC Montreal - Department of Finance and University of Toronto - Rotman School of Management and UTSC Management
Downloads 751 (66,541)
Citation 1

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JEL Classification: E50, G12, G14 price informativeness, price pressure, FOMC announcements, monetary policy surprises

14.

Horizon Effects in Average Returns: The Role of Slow Information Diffusion

Number of pages: 57 Posted: 16 Mar 2011 Last Revised: 01 Apr 2015
Oliver Boguth, Murray Carlson, Adlai J. Fisher and Mikhail Simutin
Arizona State University (ASU) - Finance Department, University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of Toronto - Rotman School of Management
Downloads 746 (67,044)
Citation 9

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15.

Forecasting Multifractal Volatility

NYU Working Paper No. FIN-99-017
Number of pages: 48 Posted: 07 Nov 2008
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 577 (92,910)
Citation 16

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Forecasting, Implied Volatility, Long Memory, Multifractal Model of Asset Returns, Option Pricing, Poisson Multifractal, Trading Time, Volatility Smile

16.

Volatility Comovement: A Multifrequency Approach

Downloads 576 (93,102)
Citation 17

Volatility Comovement: A Multifrequency Approach

Sauder School of Business Working Paper
Number of pages: 41 Posted: 31 Aug 2004
Laurent E. Calvet, Adlai J. Fisher and Samuel Brodsky Thompson
SKEMA Business School, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.
Downloads 414 (137,244)

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Multivariate MSM, comovement, maximum likelihood, particle filter, Markov-switching, stochastic volatility, multifrequency volatility decomposition, value at risk, quantile forecasts

Volatility Comovement: A Multifrequency Approach

NBER Working Paper No. t0300
Number of pages: 42 Posted: 15 Aug 2007 Last Revised: 29 Apr 2023
Laurent E. Calvet, Adlai J. Fisher and Samuel Brodsky Thompson
SKEMA Business School, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.
Downloads 162 (352,929)

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17.

Extreme Risk and Fractal Regularity in Finance

Number of pages: 34 Posted: 08 Aug 2012
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 569 (94,545)

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18.

What's Beneath the Surface? Option Pricing with Multifrequency Latent States

HEC Paris Research Paper No. 969/2013
Number of pages: 52 Posted: 07 Nov 2012 Last Revised: 17 Oct 2014
Laurent E. Calvet, Marcus Fearnley, Adlai J. Fisher and Markus Leippold
SKEMA Business School, HEC Paris - Department of Finance, University of British Columbia (UBC) - Sauder School of Business and University of Zurich
Downloads 553 (98,041)
Citation 4

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Markov-switching multifractal, particle filter, regime-switching, stochastic volatility, jump-risk premium, option pricing

19.

Monetary Policy and Corporate Default

Journal of Monetary Economics, 58 (5), 480-494, July 2011
Number of pages: 39 Posted: 02 Feb 2011 Last Revised: 07 May 2013
Harjoat Singh Bhamra, Adlai J. Fisher and Lars-Alexander Kuehn
Imperial College Business School, University of British Columbia (UBC) - Sauder School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 505 (109,677)
Citation 4

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Monetary policy, interest rate rule, corporate default, capital structure, leverage, credit spreads

20.

Patent Intensity, Firm Life-Cycle Dynamics and the Pricing of Technological Innovators

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023
Number of pages: 80 Posted: 27 Sep 2022 Last Revised: 11 Jan 2024
Jan Bena, Adlai J. Fisher, Jiri Knesl and Julian Vahl
University of British Columbia - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business, Said Business School, University of Oxford and University of British Columbia (UBC) - Sauder School of Business
Downloads 482 (115,891)

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Technological innovation, patent intensity, stock returns, firm life-cycle, risk dynamics

21.

Multifrequency News and Stock Returns

Downloads 311 (189,562)
Citation 36

Multifrequency News and Stock Returns

Sauder School of Business Working Paper
Number of pages: 51 Posted: 20 Jun 2005
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 237 (248,594)

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Multifrequency news, volatility feedback, learning, information quality, endogenous skewness and kurtosis, Epstein-Zin utility

Multifrequency News and Stock Returns

NBER Working Paper No. w11441
Number of pages: 51 Posted: 12 Jul 2005 Last Revised: 07 Oct 2022
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 74 (622,688)
Citation 8

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22.

A Multifractal Model of Assets Returns

NYU Working Paper No. FIN-99-072
Number of pages: 56 Posted: 11 Nov 2008
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 293 (202,015)

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Multifractal Model of Asset Returns, Compound Stochastic Process, Time Deformation, Scaling, Self-Similarity, Multifractal Spectrum, Stochastic Volatility

23.

The Global Implied Volatility Surface, Convexity, and Common Predictability of International Equity Premia

Number of pages: 69 Posted: 25 Jul 2023 Last Revised: 27 Nov 2023
Adlai J. Fisher and Terry Zhang
University of British Columbia (UBC) - Sauder School of Business and Australian National University (ANU)
Downloads 276 (214,843)

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international return predictability, option pricing, implied volatility surface, crash risk, speculation, funding conditions

24.

Reputation and Managerial Truth-Telling as Self-Insurance

Journal of Economics and Management Strategy, 17 (2), 489-540
Number of pages: 53 Posted: 03 Mar 2003 Last Revised: 07 May 2013
Adlai J. Fisher and Robert L. Heinkel
University of British Columbia (UBC) - Sauder School of Business and Univeristy of British Columbia
Downloads 269 (220,426)
Citation 4

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Reputation, Information, Truth-telling, Self-insurance, Managerial Compensation

25.

Why Divest? The Political and Informational Roles of Institutions in Asset Stranding

Number of pages: 50 Posted: 03 Apr 2023 Last Revised: 13 Apr 2023
Murray Carlson, Adlai J. Fisher and Ali Lazrak
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) Sauder School of Business
Downloads 234 (252,823)

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Divestment, asset stranding, political channel of divestment

26.

Multifrequency Jump-Diffusions: An Equilibrium Approach

Downloads 206 (285,056)
Citation 8

Multifrequency Jump-Diffusions: An Equilibrium Approach

Journal of Mathematical Economics, Vol. 44, No. 2, 2008
Number of pages: 35 Posted: 20 Dec 2006 Last Revised: 07 May 2013
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 171 (336,678)

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Endogenous jumps, general equilibrium, Markov regime-switching, multifrequency, fat tails, stochastic volatility, time deformation, volatility component

Multifrequency Jump-Diffusions: An Equilibrium Approach

NBER Working Paper No. w12797
Number of pages: 35 Posted: 24 Dec 2006 Last Revised: 21 Dec 2022
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 35 (872,198)
Citation 1

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27.

How Valuable is Corporate Adaptation to Crisis? Estimates from Covid-19 Work-from-Home Announcements

Number of pages: 78 Posted: 27 Sep 2022 Last Revised: 15 Jul 2023
Adlai J. Fisher, Jiri Knesl and Ryan C. Y. Lee
University of British Columbia (UBC) - Sauder School of Business, Said Business School, University of Oxford and University of Oxford - Said Business School
Downloads 204 (287,538)

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Work from Home, Remote Work, Corporate Flexibility, Event Study, Announcements, Firm Value

28.

Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash

Downloads 104 (497,459)

Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash

NYU Working Paper No. S-MF-99-10
Number of pages: 27 Posted: 12 Nov 2008
Adlai J. Fisher
University of British Columbia (UBC) - Sauder School of Business
Downloads 61 (690,596)

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Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash

NYU Working Paper No. FIN-99-071
Number of pages: 27 Posted: 11 Nov 2008
Adlai J. Fisher
University of British Columbia (UBC) - Sauder School of Business
Downloads 43 (807,871)

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29.

How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes

Journal of Financial Econometrics, Vol. 2, No. 1, pp. 49-83, 2004
Posted: 29 Feb 2008
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business

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forecasting, long memory, Markov-switching multifractal (MSM), closed-form likelihood, scaling, stochastic volatility, volatility component, Vuong test