Oliver Boguth

Arizona State University (ASU) - Finance Department

W. P. Carey School of Business

PO Box 873906

Tempe, AZ 85287-3906

United States

  • Arizona State University (ASU) - Finance Department

SCHOLARLY PAPERS

13

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121

CROSSREF CITATIONS

62

Scholarly Papers (13)

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1.

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, affiliation not provided to SSRN, University of British Columbia (UBC) - Sauder School of Business and University of Toronto - Rotman School of Management
Downloads 959 (34,178)
Citation 37

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

2.

Leverage Constraints and Asset Prices: Insights from Mutual Fund Risk Taking

Rotman School of Management Working Paper No. 2517704
Number of pages: 43 Posted: 02 Nov 2014 Last Revised: 26 Aug 2016
Oliver Boguth and Mikhail Simutin
Arizona State University (ASU) - Finance Department and University of Toronto - Rotman School of Management
Downloads 915 (36,534)
Citation 23

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Leverage constraints, asset prices, betting-against-beta, mutual fund performance, cross-section of stock returns

3.

Consumption Volatility Risk

Journal of Finance, Forthcoming
Number of pages: 40 Posted: 11 Feb 2009 Last Revised: 18 Oct 2012
Oliver Boguth and Lars-Alexander Kuehn
Arizona State University (ASU) - Finance Department and Carnegie Mellon University - David A. Tepper School of Business
Downloads 894 (37,742)
Citation 45

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Asset pricing, consumption volatility, cross section of returns, cash flow risk, recursive preferences.

4.

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, affiliation not provided to SSRN, University of British Columbia (UBC) - Sauder School of Business and University of Toronto - Rotman School of Management
Downloads 769 (46,220)
Citation 24

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Overconditioning, Conditional CAPM, Performance Evaluation, Momentum

5.

Dissecting Conglomerate Valuations

Journal of Finance, Forthcoming
Number of pages: 48 Posted: 22 Nov 2015 Last Revised: 29 Mar 2021
Oliver Boguth, Ran Duchin and Mikhail Simutin
Arizona State University (ASU) - Finance Department, Boston College - Carroll School of Management and University of Toronto - Rotman School of Management
Downloads 724 (50,116)
Citation 2

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boundaries of the firm, segment valuation, conglomerate investment, internal capital markets, quantile regressions

6.

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, affiliation not provided to SSRN, University of British Columbia (UBC) - Sauder School of Business and University of Toronto - Rotman School of Management
Downloads 685 (53,969)
Citation 9

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7.

Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 42 Posted: 03 Dec 2015 Last Revised: 30 Aug 2018
Oliver Boguth, Vincent Gregoire and Charles Martineau
Arizona State University (ASU) - Finance Department, HEC Montreal - Department of Finance and University of Toronto - Rotman School of Management and UTSC Management
Downloads 623 (60,925)
Citation 19

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Federal Reserve, Press Conferences, Transparency, Uncertainty, Attention, Risk Premium

8.

Idiosyncratic Cash Flows and Systematic Risk

Western Finance Association 2013, Forthcoming in the Journal of Finance
Number of pages: 52 Posted: 02 Sep 2012 Last Revised: 23 Apr 2015
Ilona Babenko, Oliver Boguth and Yuri Tserlukevich
Arizona State University, Arizona State University (ASU) - Finance Department and Arizona State University (ASU)
Downloads 599 (64,044)
Citation 10

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9.

The Fragility of Organization Capital

Rotman School of Management Working Paper No. 2667882, 27th Annual Conference on Financial Economics and Accounting Paper
Number of pages: 50 Posted: 02 Oct 2015 Last Revised: 02 Mar 2018
Oliver Boguth, David Newton and Mikhail Simutin
Arizona State University (ASU) - Finance Department, Concordia University, Quebec - Department of Finance and University of Toronto - Rotman School of Management
Downloads 449 (91,215)
Citation 1

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Organization capital, intangibles, fragility, top management team, executives, CEO deaths, stock returns, cross-sectional asset pricing

10.

Price Pressure and Efficiency on FOMC Announcements

Number of pages: 45 Posted: 02 Apr 2019
Oliver Boguth, Vincent Gregoire and Charles Martineau
Arizona State University (ASU) - Finance Department, HEC Montreal - Department of Finance and University of Toronto - Rotman School of Management and UTSC Management
Downloads 202 (209,816)
Citation 1

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FOMC announcements, market efficiency, price discovery, price pressure

11.

Tax-Timing Options and the Demand for Idiosyncratic Volatility

Number of pages: 37 Posted: 04 Apr 2017
Oliver Boguth and Luke C.D. Stein
Arizona State University (ASU) - Finance Department and Babson College
Downloads 160 (256,541)

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Demand for idiosyncratic volatility, idiosyncratic volatility puzzle, tax-timing options, tax loss harvesting, investment taxes, capital losses

12.

Noisy FOMC Returns

Number of pages: 47 Posted: 14 Jun 2022
Oliver Boguth, Vincent Gregoire and Charles Martineau
Arizona State University (ASU) - Finance Department, HEC Montreal - Department of Finance and University of Toronto - Rotman School of Management and UTSC Management
Downloads 98 (367,607)

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FOMC announcements, noise, price informativeness, price pressure

13.

Dynamic Competition and Expected Returns

Number of pages: 56 Posted: 05 Dec 2019
Ilona Babenko, Oliver Boguth and Yuri Tserlukevich
Arizona State University, Arizona State University (ASU) - Finance Department and Arizona State University (ASU)
Downloads 52 (516,108)

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competition, investment, betas, priced risk, returns