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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442

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207

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 8,770 (1,218)
Citation 2

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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 2,943 (7,686)

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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 2,893 (7,892)

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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 1,541 (21,215)
Citation 22

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

5.

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 1,061 (36,670)
Citation 101

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

6.

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, CUNY Baruch College - Zicklin School of Business
Downloads 1,035 (38,011)
Citation 7

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

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 1,026 (38,472)
Citation 37

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

8.

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 816 (52,962)
Citation 10

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

9.

Regime-Switching and the Estimation of Multifractal Processes

Downloads 810 (53,384)
Citation 3

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 546 (87,562)
Citation 1

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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 102 (449,558)

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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 87 (499,565)

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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 75 (547,145)
Citation 1

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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 808 (53,572)
Citation 24

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Overconditioning, Conditional CAPM, Performance Evaluation, Momentum

11.

SEO Risk Dynamics

Downloads 787 (55,481)
Citation 8

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 576 (81,838)
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 211 (247,662)
Citation 8

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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 762 (57,958)
Citation 189

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

13.

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 727 (61,678)
Citation 9

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14.

Volatility Comovement: A Multifrequency Approach

Downloads 558 (86,253)
Citation 16

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 404 (125,811)

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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 154 (327,454)

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15.

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 556 (86,626)
Citation 3

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16.

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 550 (87,750)
Citation 16

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

17.

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

Number of pages: 65 Posted: 14 Jun 2022 Last Revised: 06 Oct 2023
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 541 (89,636)

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FOMC announcements, noise, price informativeness, price pressure

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 530 (91,977)
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 498 (99,167)
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

Number of pages: 80 Posted: 27 Sep 2022 Last Revised: 14 Sep 2023
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 312 (169,024)

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

21.

Multifrequency News and Stock Returns

Downloads 295 (178,614)
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 231 (227,277)

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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 64 (597,674)
Citation 7

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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 283 (186,413)

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

23.

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 262 (201,504)
Citation 4

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

24.

Multifrequency Jump-Diffusions: An Equilibrium Approach

Downloads 193 (269,183)
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 162 (313,525)

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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 31 (812,988)
Citation 1

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25.

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 185 (279,469)

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

26.

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 141 (353,237)

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Divestment, asset stranding, political channel of divestment

27.

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 125 (385,263)

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

28.

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

Downloads 96 (465,064)

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 56 (640,151)

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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 40 (742,468)

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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