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

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 995

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Top 995

in Total Papers Downloads

23,396

CITATIONS
Rank 1,489

SSRN RANKINGS

Top 1,489

in Total Papers Citations

379

Scholarly Papers (24)

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
Yale University - International Center for Finance, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School - Department of Economics & Finance
Downloads 7,723 (606)
Citation 31

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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
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Yale University - International Center for Finance
Downloads 2,745 (3,750)
Citation 7

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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
University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School - Department of Economics & Finance and Yale University - International Center for Finance
Downloads 2,691 (3,884)
Citation 9

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4.

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 948 (21,045)
Citation 73

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

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
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 839 (25,217)

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

6.

Leverage and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia

Number of pages: 36 Posted: 21 Sep 2011 Last Revised: 07 May 2013
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 797 (27,101)
Citation 7

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

7.

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
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 768 (28,505)
Citation 3

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

8.
Downloads 695 ( 32,610)
Citation 12

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 516 (47,670)
Citation 12

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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 179 (153,822)
Citation 12

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

9.

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 679 (33,719)
Citation 142

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

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
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 502 (49,383)
Citation 17

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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
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 56 (344,736)
Citation 17

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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
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 56 (344,736)
Citation 17

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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: 08 Mar 2013
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 38 (407,237)
Citation 17

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11.

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
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 630 (37,366)
Citation 6

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Overconditioning, Conditional CAPM, Performance Evaluation, Momentum

12.

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

Number of pages: 57 Posted: 16 Mar 2011 Last Revised: 01 Apr 2015
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 599 (39,850)

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13.

Macroeconomic Attention and the Stock Market

2017 Financial Intermediation Research Society Conference, 2016 ASU Sonoran Winter Finance Conference, 2016 Northern Finance Association Conference, 2016 China International Conference in Finance
Number of pages: 50 Posted: 15 Dec 2015 Last Revised: 17 Aug 2018
Adlai J. Fisher, Charles Martineau and Jinfei Sheng
University of British Columbia (UBC) - Sauder School of Business, University of Toronto and University of California, Irvine - Paul Merage School of Business
Downloads 537 (45,867)

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Attention Dynamics, Macroeconomic Fundamentals, Stock Market

14.

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
EDHEC Business School - Department of Economics & Finance, HEC Paris - Department of Finance, University of British Columbia (UBC) - Sauder School of Business and University of Zurich - Department of Banking and Finance
Downloads 456 (56,577)

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

15.

Extreme Risk and Fractal Regularity in Finance

Number of pages: 34 Posted: 08 Aug 2012
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 453 (57,024)
Citation 1

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16.
Downloads 448 ( 57,608)
Citation 9

Volatility Comovement: A Multifrequency Approach

Sauder School of Business Working Paper
Number of pages: 41 Posted: 31 Aug 2004
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.
Downloads 370 (71,812)
Citation 9

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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: 08 Mar 2013
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.
Downloads 78 (287,753)
Citation 8

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17.

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
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 408 (64,738)
Citation 21

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

18.

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
Imperial College Business School, University of British Columbia (UBC) - Sauder School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 380 (70,461)
Citation 4

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

19.
Downloads 245 (113,952)
Citation 20

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
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 204 (136,135)
Citation 20

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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: 08 Mar 2013
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 41 (395,629)
Citation 20

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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 University of British Columbia (UBC) - Division of Finance
Downloads 237 (117,396)
Citation 4

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

Reputation and Managerial Truth-Telling as Self-Insurance

Journal of Economics & Management Strategy, Vol. 17, Issue 2, pp. 489-540, Summer 2008
Number of pages: 52 Posted: 06 May 2008
Adlai J. Fisher and Robert L. Heinkel
University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Division of Finance
Downloads 3 (601,448)
Citation 4
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21.

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
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 227 (123,092)
Citation 6

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

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
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 143 (187,011)
Citation 7

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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: 08 Mar 2013
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 24 (474,619)
Citation 7

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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 42 (391,811)

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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 27 (457,566)

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24.

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
EDHEC Business School - Department of Economics & Finance 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