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Citations of
William N. Goetzmann

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Working papers

  1. William N. Goetzmann & Massimo Massa & Andrei Simonov, 2005. "Portfolio Diversification, Proximity Investment and City Agglomeration," Yale School of Management Working Papers ysm452, Yale School of Management. [Downloadable!]
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    Cited by:

    1. Christiansen, Charlotte & Joensen, Juanna Schröter & Rangvid, Jesper, 2005. "Do More Economists Hold Stocks?," Finance Research Group Working Papers F-2005-02, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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  2. William N. Goetzmann & Roger Ibbotson, 2005. "History and the Equity Risk Premium," Yale School of Management Working Papers ysm448, Yale School of Management. [Downloadable!]

    Cited by:

    1. Alexander Harin, 2005. "Gains and losses: the same or different choices? A “non-ideal” economics approach," International Finance 0509002, EconWPA. [Downloadable!]
    2. Alexander Harin, 2005. "Scientific Revolution. A Farewell to EconWPA," Method and Hist of Econ Thought 0512003, EconWPA. [Downloadable!]
    3. Harin, Alexander, 2006. "Scientific Revolution? A Farewell to EconWPA. MPRA is welcome," MPRA Paper 71, University Library of Munich, Germany. [Downloadable!]
    4. Alexander Harin, 2005. "A Rational Irrational Man," Public Economics 0511005, EconWPA. [Downloadable!]
    5. Alexander Harin, 2005. "Gains and losses. The same or different choices?," International Finance 0508004, EconWPA. [Downloadable!]

  3. WILLIAM N. GOETZMANN & Ravi Dhar, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management. [Downloadable!]

    Cited by:

    1. John Conlon, 2005. "Should Central Banks Burst Bubbles?," Game Theory and Information 0508007, EconWPA. [Downloadable!]
    2. John R. Conlon, 2008. "Should Central Banks Burst Bubbles? Some Microeconomic Issues," Levine's Working Paper Archive 122247000000002330, David K. Levine. [Downloadable!]

  4. William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management. [Downloadable!]
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    Cited by:

    1. Lauren Cohen & Andrea Frazzini & Christopher Malloy, 2007. "The Small World of Investing: Board Connections and Mutual Fund Returns," NBER Working Papers 13121, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    2. Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics. [Downloadable!]
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    3. Diane Del Guercio & Paula A. Tkac, 2000. "The determinants of the flow of funds of managed portfolios: mutual funds versus pension funds," Working Paper 2000-21, Federal Reserve Bank of Atlanta. [Downloadable!]
    4. Luis Ferruz & Luis Vicente & Laura Andreu, 2009. "Performance persistence and its influence on money and investor flows into Spanish pension plans," Review of Quantitative Finance and Accounting, Springer, vol. 32(1), pages 85-100, January. [Downloadable!] (restricted)
    5. Luboš Pástor & Robert F. Stambaugh, . "Investing in Equity Mutual Funds," CRSP working papers 532, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
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    6. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, . "The wildcard option in transaction mutual-fund shares," Rodney L. White Center for Financial Research Working Papers 25-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    7. Michael E. Drew & Jon D. Stanford & Madhu Veeraraghavan, 2001. "Testing The Incomplete Arbitrate Hypothesis: Evidence From Australian Wholesale Superannuation Funds," School of Economics and Finance Discussion Papers and Working Papers Series 099, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    8. Nicolaj Siggelkow, 1998. "Why Focus? A Study of Intra-Industry Focus Effects," Center for Financial Institutions Working Papers 99-13, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    9. Cohen, Randolph & Coval, Joshua & Pástor, Luboš, 2003. "Judging Fund Managers by the Company They Keep," CEPR Discussion Papers 3717, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    10. Malcolm Baker & Lubomir Litov & Jessica A. Wachter & Jeffrey Wurgler, 2004. "Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements," NBER Working Papers 10685, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Simon Stevenson, 2002. "Momentum Effects and Mean Reversion in Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 47-64. [Downloadable!]
    12. Srinivas, P.S. & Whitehouse, Edward & Yermo, Juan, 2000. "Regulating private pension funds’ structure, performance and investments: cross-country evidence," MPRA Paper 14753, University Library of Munich, Germany. [Downloadable!]
    13. Alfredo Ciriaco Fernández & Rafael Santamaría Aquilué, 2005. "Persistencia de resultados en los fondos de inversión españoles," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 525-573, September. [Downloadable!]
    14. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "Unobserved Actions of Mutual Funds," NBER Working Papers 11766, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    15. James Choi & David Laibson & Brigitte Madrain & Andrew Metrick, 2007. "Reinforcement Learning in Investment Behavior," Levine's Bibliography 122247000000001737, UCLA Department of Economics. [Downloadable!]
    16. Maria Do Ceu Ribeiro Cortez, Dean A. Paxson, Manuel Jose Da Rocha Armada, 1999. "Persistence in Portuguese mutual fund performance," European Journal of Finance, Taylor and Francis Journals, vol. 5(4), pages 342-365, December. [Downloadable!] (restricted)
    17. Piet Eichholtz & Hans Op t Veld & Mark Schweitzer, . "Outperformance: Does Managerial Specialization Pay?," Center for Financial Institutions Working Papers 97-31, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    18. Asger Lunde & Allan Timmermann & David Blake, 1998. "The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis," University of California at San Diego, Economics Working Paper Series 1998-11, Department of Economics, UC San Diego. [Downloadable!]
    19. Lubos Pastor & Robert F. Stambaugh, 2000. "Evaluating and Investing in Equity Mutual Funds," NBER Working Papers 7779, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    20. Klaas Baks & Andrew Metrick & Jessica Wachter, . "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Rodney L. White Center for Financial Research Working Papers 18-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
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    21. Diane Del Guercio & Paula A. Tkac, 2001. "Star power: the effect of Morningstar ratings on mutual fund flows," Working Paper 2001-15, Federal Reserve Bank of Atlanta. [Downloadable!]
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    22. Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson, 1997. "Offshore Hedge Funds: Survival and Performance 1989-1995," NBER Working Papers 5909, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    23. Stefan Ruenzi, 2005. "Mutual Fund Growth in Standard and Specialist Market Segments," Financial Markets and Portfolio Management, Springer, vol. 19(2), pages 153-167, August. [Downloadable!] (restricted)
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    24. Mark M. Carhart & Ron Kaniel & David K. Musto & Adam Reed, . "Mutual Fund Returns and Market Microstructure," Rodney L. White Center for Financial Research Working Papers 11-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    25. Luis Ferruz Agudo & María Vargas Magallón, 2005. "Empirical evidence of performance persistence in a relatively unexplored market: the case of Spanish investment funds," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(2), pages 85-88, March. [Downloadable!] (restricted)
    26. Jonathan B. Berk & Richard C. Green, 2002. "Mutual Fund Flows and Performance in Rational Markets," NBER Working Papers 9275, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    27. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    28. Drew, Michael E. & Stanford, Jon D. & Veeraraghavan, Madhu, 2002. "Efficiency with Costly Information: A Study of Australian Wholesale Superannuation Fund Performance," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 32(1), pages 35-47, March. [Downloadable!]
    29. Gray, Wesley & Kern, Andrew, 2008. "Fundamental Value Investors: Characteristics and Performance," MPRA Paper 12620, University Library of Munich, Germany. [Downloadable!]
    30. Louis K.C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 1999. "On Mutual Fund Investment Styles," NBER Working Papers 7215, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    31. Andrew Metrick & Richard Zeckhauser, 1996. "Price versus Quantity: Market Clearing Mechanisms When Sellers Differ in Quality," NBER Working Papers 5728, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    32. Karen L. Benson & Robert W. Faff, 2004. "Investigating performance benchmarks in the context of international trusts: Australian evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 14(9), pages 631-644, June. [Downloadable!] (restricted)
    33. Whitehouse, Edward, 2000. "Pension reform, financial literacy and public information: a case study of the United Kingdom," MPRA Paper 10323, University Library of Munich, Germany. [Downloadable!]
    34. Cronqvist, Henrik, 2006. "Advertising and Portfolio Choice," Working Paper Series 2006-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    35. Judith Chevalier & Glenn Ellison, 1996. "Are Some Mutual Funds Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance," NBER Working Papers 5852, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    36. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia. [Downloadable!]
    37. Drew, Michael E. & Stanford, Jon D., 2001. "The Impact of Fund Attrition on Superannuation Returns," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 31(1), pages 25-32, March. [Downloadable!]
    38. J-H Steffi Yang, 2004. "The Markovian Dynamics of "Smart Money"," Econometric Society 2004 Far Eastern Meetings 797, Econometric Society. [Downloadable!]
    39. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, 1999. "The Wildcard Option in Transacting Mutual-Fund Shares," Center for Financial Institutions Working Papers 00-03, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    40. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    41. Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2002. "The dynamics of the impact of past performance on mutual fund flows," Discussion Paper 2, Tilburg University, Center for Economic Research. [Downloadable!]
    42. Jern, Benny, 2005. "Swedish Premium Pension Funds: Attributes and Performance," Working Papers 509, Hanken School of Economics. [Downloadable!]
    43. Klaas Baks & Andrew Metrick & Jessica Wachter, 1999. "Bayesian Performance Evaluation," NBER Working Papers 7069, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    44. Qiang Bu & Nelson Lacey, 2009. "On understanding mutual fund terminations," Journal of Economics and Finance, Springer, vol. 33(1), pages 80-99, January. [Downloadable!] (restricted)
    45. Fabrice Hervé, 2003. "La persistance de la performance des fonds de pension individuels britanniques:une étude empirique sur des fonds investis en actions et des fonds obligataires," Revue Finance Contrôle Stratégie, Editions Economica, vol. 6(3), pages 41-77, September. [Downloadable!]
    46. Bruce Costa & Gary Porter, 2003. "Mutual fund managers: Does longevity imply expertise?," Journal of Economics and Finance, Springer, vol. 27(2), pages 224-235, June. [Downloadable!] (restricted)
    47. Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2009. "Risk Shifting and Mutual Fund Performance," NBER Working Papers 14903, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    48. Javier Gil-Bazo & Pablo Ruiz-Verdu, 2006. "Yet Another Puzzle? The Relation Between Price And Performance In The Mutual Fund Industry," Business Economics Working Papers wb066519, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    49. F. Palomino & H. Uhlig, . "Should smart investors buy funds with high returns in the past?," Sonderforschungsbereich 373 2002-28, Humboldt Universitaet Berlin.
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    50. Huyen Nguyen-Thi-Thanh, 2007. "Assessing Hedge Fund Performance: Does the Choice of Measures Matter?," Working Papers halshs-00184814_v1, HAL. [Downloadable!]
    51. Dennis Glennon & Peter Nigro, 2005. "An Analysis of SBA Loan Defaults by Maturity Structure," Journal of Financial Services Research, Springer, vol. 28(1), pages 77-111, October. [Downloadable!] (restricted)
    52. Nicolaj Siggelkow, 1999. "Expense Shifting: An Empirical Study of Agency Costs in the Mutual Fund Industry," Center for Financial Institutions Working Papers 99-09, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    53. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2004. "On the Industry Concentration of Actively Managed Equity Mutual Funds," NBER Working Papers 10770, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. William N. Goetzmann & Ravi Dhar, 2005. "Institutional Perspectives on Real Estate Investing: The Role of Risk and Uncertainty," Yale School of Management Working Papers ysm457, Yale School of Management. [Downloadable!]

    Cited by:

    1. Jim Clayton & Greg MacKinnon & Liang Peng, 2008. "Time Variation of Liquidity in the Private Real Estate Market: An Empirical Investigation," Journal of Real Estate Research, American Real Estate Society, vol. 30(2), pages 125-160. [Downloadable!]

  6. William N. Goetzmann & Arturo Bris & Ning Zhu, 2005. "Short-Sales in Global Perspective," Yale School of Management Working Papers ysm453, Yale School of Management. [Downloadable!]

    Cited by:

    1. Ghosh, Swati & Revilla, Ernesto, 2007. "Enhancing the efficiency of securities markets in East Asia," Policy Research Working Paper Series 4129, The World Bank. [Downloadable!]

  7. WILLIAM N. GOETZMANN & Andrey Ukhov, 2005. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," Yale School of Management Working Papers ysm445, Yale School of Management. [Downloadable!]
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    Cited by:

    1. Brian Mitchell & David Chambers & Nicholas Crafts, 2008. "How Good was the Profitability of British Railways, 1870-1912?," The Warwick Economics Research Paper Series (TWERPS) 859, University of Warwick, Department of Economics. [Downloadable!]

  8. William N. Goetzmann & Alok Kumar, 2005. "Why Do Individual Investors Hold Under-Diversified Portfolios?," Yale School of Management Working Papers ysm454, Yale School of Management. [Downloadable!]

    Cited by:

    1. Calvet, Laurent & Campbell, John Y. & Sodini, Paolo, 2006. "Down or out: assessing the welfare costs of household investment mistakes," Les Cahiers de Recherche 832, HEC Paris. [Downloadable!]
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    2. Timotheos Angelidis & Nikolaos Tessaromatis, 2007. "Idiosyncratic Risk in Greece: Properties and Portfolio Implications," Working Papers 0001, University of Peloponnese, Department of Economics. [Downloadable!]
    3. Ødegaard, Bernt Arne, 2009. "The diversification cost of large, concentrated equity stakes. How big is it? Is it justified?," UiS Working Papers in Economics and Finance 2009/22, University of Stavanger. [Downloadable!]
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    4. Weber, Martin & Welfens, Frank, 2007. "The Repurchase Behavior of Individual Investors: An Experimental Investigation," Sonderforschungsbereich 504 Publications 07-44, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    5. Honohan, Patrick, 2006. "Household Financial Assets in the Process of Development," Working Papers RP2006/91, World Institute for Development Economic Research (UNU-WIDER). [Downloadable!]
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    6. Cao , Henry & Han, Bing & Hirshleifer, David & Zhang, Harold, 2007. "Fear of the Unknown: Familiarity and Economic Decisions," MPRA Paper 6512, University Library of Munich, Germany. [Downloadable!]
    7. James J. Choi & David Laibson & Brigitte C. Madrian, 2007. "Mental Accounting in Portfolio Choice: Evidence from a Flypaper Effect," NBER Working Papers 13656, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Nicholas Barberis & Ming Huang, 2007. "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," NBER Working Papers 12936, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  9. William N. Goetzmann, 2004. "Fibonacci and the Financial Revolution," Yale School of Management Working Papers ysm19, Yale School of Management. [Downloadable!]
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    Cited by:

    1. Mark Koyama, 2008. "Evading the 'Taint of Usury' Complex Contracts and Segmented Capital Markets," Economics Series Working Papers 412, University of Oxford, Department of Economics. [Downloadable!]

  10. William N. Goetzmann & ROGER G. IBBOTSON & LIANG PENG, 2004. "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers ysm5, Yale School of Management. [Downloadable!]
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    Cited by:

    1. Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2008. "Can a Lender of Last Resort Stabilize Financial Markets? Lessons from the Founding of the Fed," NBER Working Papers 14422, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Gerald P. Dwyer, Jr. & Cora Barnhart, 2008. "Returns to investors in stocks in new industries," Working Paper 2008-21, Federal Reserve Bank of Atlanta. [Downloadable!]

  11. Goetzmann, William & Massa, Massimo, 2004. "Disposition Matters: Volume, Volatility and Price Impact of Behavioural Bias," CEPR Discussion Papers 4814, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    Cited by:

    1. Petri Kyröläinen, 2008. "Day trading and stock price volatility," Journal of Economics and Finance, Springer, vol. 32(1), pages 75-89, January. [Downloadable!] (restricted)

  12. William N. Goetzmann & Stephen J. Brown & James M. Park, 2004. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," Yale School of Management Working Papers ysm10, Yale School of Management. [Downloadable!]
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    Cited by:

    1. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute. [Downloadable!]
    2. Francisca G.-C. Richter, B. Wade Brorsen, 2000. "Estimating fees for managed futures: a continuous-time model with a knockout feature," Applied Mathematical Finance, Taylor and Francis Journals, vol. 7(2), pages 115-125, June. [Downloadable!] (restricted)
    3. A. Harri & B. W. Brorsen, 2004. "Performance persistence and the source of returns for hedge funds," Applied Financial Economics, Taylor and Francis Journals, vol. 14(2), pages 131-141, January. [Downloadable!] (restricted)
    4. Franklin R. Edward, 1999. "Hedge Funds and the Collapse of Long-Term Capital Management," Journal of Economic Perspectives, American Economic Association, vol. 13(2), pages 189-210, Spring. [Downloadable!] (restricted)
    5. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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      • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc. [Downloadable!]
    6. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    7. Thomas Gimbel & Francis Gupta & Dan Pines, 2004. "Entry & Exit: The Lifecyle of a Hedge Fund," Industrial Organization 0407002, EconWPA. [Downloadable!]

  13. William N. Goetzmann & Roger G. Ibbotson, 2004. "An Emerging Market: The NYSE From 1815 to 1871," Yale School of Management Working Papers ysm7, Yale School of Management. [Downloadable!]
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    Cited by:

    1. Lubos Pastor & Robert F. Stambaugh, 2000. "The Equity Premium and Structural Breaks," NBER Working Papers 7778, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  14. Alok Kumar & William N. Goetzmann, 2003. "Diversification Decisions of Individual Investors and Asset Prices," Yale School of Management Working Papers ysm441, Yale School of Management. [Downloadable!]

    Cited by:

    1. Stijn Van Nieuwerburgh & Laura Veldkamp, 2008. "Information Acquisition and Under-Diversification," NBER Working Papers 13904, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Gina Nicolosi & Liang Peng, 2004. "Do individual investors learn from their trading experience," Econometric Society 2004 North American Summer Meetings 532, Econometric Society. [Downloadable!]

  15. William N.Goetzmann & Lingfeng Li & K.Geert Rouwenhorst, 2003. "Long-Term Global Market Correlations," DNB Staff Reports (discontinued) 98, Netherlands Central Bank. [Downloadable!]
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    Cited by:

    1. Quinn, Dennis & Voth, Hans-Joachim, 2008. "Free Flows, Limited Diversification: Explaining the Fall and Rise of Stock Market Correlations, 1890-2001," CEPR Discussion Papers 7013, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    2. Nataliya Barasinska & Dorothea Schäfer & Andreas Stephan, 2008. "Financial Risk Aversion and Household Asset Diversification," SOEPpapers 117, DIW Berlin, The German Socio-Economic Panel (SOEP). [Downloadable!]
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    3. Heung-Joo Cha & Thadavillil Jithendranathan, 2009. "Time-varying correlations and optimal allocation in emerging market equities for the US investors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 172-187. [Downloadable!]
    4. Thomas Flavin & Ekaterini Panopoulou, 2006. "International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility," The Institute for International Integration Studies Discussion Paper Series iiisdp167, IIIS. [Downloadable!]
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    5. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2002. "Foreign Currency for Long-Term Investors," NBER Working Papers 9075, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    6. Vadym Volosovych, 2005. "Financial Market Integration Over the Long Run: Is there a U-shape?," Working Papers 05001, Department of Economics, College of Business, Florida Atlantic University, revised Feb 2007. [Downloadable!]
    7. Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS. [Downloadable!]
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    8. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    9. Giorgio Valente & Lucio Sarno, 2005. "Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 345-376. [Downloadable!]
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    10. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, EconWPA. [Downloadable!]
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    11. Helmut Wagner & Wolfram Berger, 2004. "Globalization, Financial Volatility and Monetary Policy," Economic Change and Restructuring, Springer, vol. 31(2), pages 163-184, June. [Downloadable!] (restricted)
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    12. Stefano d'Addona & Axel H. Kind, 2005. "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance 0502018, EconWPA. [Downloadable!]
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    13. Mihir A. Desai & C. Fritz Foley, 2004. "The Comovement of Returns and Investment Within the Multinational Firm," NBER Working Papers 10785, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    14. Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002. "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," CEPR Discussion Papers 3310, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    15. Schüler , Martin, 2002. "The threat of systemic risk in banking : evidence for Europe," ZEW Discussion Papers 02-21, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    16. W.Jos Jansen & Ad C.J.Stokman, 2003. "The Importance of Multinational Companies for Global Economic Linkages," DNB Staff Reports (discontinued) 99, Netherlands Central Bank. [Downloadable!]
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    17. Marie Brière & Ariane Chapelle & Ariane Szafarz, 2008. "No contagion,only globalization and flight to quality," Working Papers CEB 08-018.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
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    18. Sebnem Kalemli-Ozcan & Bent E. Sorensen & Oved Yosha, 2004. "Asymmetric Shocks and Risk Sharing in a Monetary Union: Updated Evidence and Policy Implications for Europe," Working Papers 2004-05, Department of Economics, University of Houston. [Downloadable!]
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    19. Robert-Paul Berben & W. Jos Jansen, 2005. "Bond Market and Stock Market Integration in Europe," DNB Working Papers 060, Netherlands Central Bank, Research Department. [Downloadable!]
    20. Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007. "How Sovereign is Sovereign Credit Risk?," NBER Working Papers 13658, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    21. Edward Kane, 2006. "Can the European Community Afford to Neglect the Need for More Accountable Safety-Net Management?," Atlantic Economic Journal, International Atlantic Economic Society, vol. 34(2), pages 127-144, June. [Downloadable!] (restricted)
    22. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations," The School of Economics Discussion Paper Series 0805, Economics, The University of Manchester. [Downloadable!]
      Other versions:
    23. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department. [Downloadable!]
    24. Nicolas Coeurdacier & Stéphane Guibaud, 2005. "International equity holdings and stock returns correlations: Does Diversification Matter At All for Portfolio Choice?," PSE Working Papers 2005-23, PSE (Ecole normale supérieure). [Downloadable!]
    25. Marie-Paule Laurent, 2003. "Indices as diversification instruments in Europe," Working Papers CEB 03-004.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
    26. Rui Alpalhão & Paulo Alves, 2005. "The Portuguese equity risk premium: what we know and what we don’t know," Applied Financial Economics, Taylor and Francis Journals, vol. 15(7), pages 489-498, April. [Downloadable!] (restricted)
    27. Francis E. Warnock, 2006. "How Might a Disorderly Resolution of Global Imbalances Affect Global Wealth?," IMF Working Papers 06/170, International Monetary Fund. [Downloadable!]
    28. Nicolas Coeurdacier & Stéphane Guibaud, 2005. "A dynamic equilibrium model of imperfectly integrated financial markets," PSE Working Papers 2005-24, PSE (Ecole normale supérieure). [Downloadable!]
    29. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: A European perspective," Working Papers DULBEA 06-07.RS, Université libre de Bruxelles, Department of Applied Economics (DULBEA). [Downloadable!]
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    30. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis. [Downloadable!]
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    31. Kyri Kyriacou & Jacob Madsen & Bryan Mase, 2004. "The Equity Premium," Economics and Finance Discussion Papers 04-10, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    32. Amy S. K. Wong, 2006. "Basel II and the Risk Management of Basket Options with Time-Varying Correlations," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December. [Downloadable!]
    33. W. -X. Zhou & D. Sornette, 2002. "Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Since Mid-2000," Quantitative Finance Papers cond-mat/0212010, arXiv.org, revised Aug 2003. [Downloadable!]
    34. Thomas J.Flavin & Ekaterini Panopoulou, 2007. "On the robustness of international portfolio diversification benefits to regime-switching volatility," Economics, Finance and Accounting Department Working Paper Series n1801007.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
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    35. Roberto A. De Santis & Lucio Sarno, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 883, European Central Bank. [Downloadable!]
    36. Hyde, Stuart J & Bredin, Don P & Nguyen, Nghia, 2007. "Correlation dynamics between Asia-Pacific, EU and US stock returns," MPRA Paper 9681, University Library of Munich, Germany. [Downloadable!]
    37. W. Jos Jansen & Ad C.J. Stokman, 2004. "Foreign Direct Investment and International Business Cycle Comovement," Macroeconomics 0402029, EconWPA. [Downloadable!]
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    38. Beine Michel & Cosma Antonio & Vermeulen Robert, 2008. "The Dark Side of Global Integration: Increasing Tail Dependence," CREA Discussion Paper Series 08-03, Center for Research in Economic Analysis, University of Luxembourg. [Downloadable!]
    39. Edward J. Kane, 2005. "Can the European Community Afford to Neglect the Need for More Accountable Safety-Net Management?," NBER Working Papers 11860, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    40. Thomas Flavin, 2004. "The effect of the Euro on country versus industry portfolio diversification," Economics, Finance and Accounting Department Working Paper Series n1411004, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
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    41. Michael D. Bordo & David C. Wheelock, 2007. "Stock market booms and monetary policy in the twentieth century," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 91-122. [Downloadable!]
    42. Claudia M. Buch, 2002. "Business Cycle Volatility and Globalization: A Survey," Kiel Working Papers 1107, Kiel Institute for the World Economy. [Downloadable!]
    43. Juan Piñeiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    44. Michael D. Bordo & David C. Wheelock, 2006. "When do stock market booms occur? the macroeconomic and policy environments of 20th century booms," Working Papers 2006-051, Federal Reserve Bank of St. Louis. [Downloadable!]
    45. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS. [Downloadable!]
    46. Robert-Paul Berben & W. Jos Jansen, 2003. "Comovement in international equity markets: A sectoral view," Finance 0310001, EconWPA. [Downloadable!]
      Other versions:
    47. Barry Eichengreen & Hui Tong, 2003. "Stock Market Volatility and Monetary Policy: What the Historical Record Shows," RBA Annual Conference Volume, in: Anthony Richards & Tim Robinson (ed.), Asset Prices and Monetary Policy Reserve Bank of Australia. [Downloadable!]
    48. Matthias Fischer, 2007. "Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes," SFB 649 Discussion Papers SFB649DP2007-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]

  16. William N. Goetzmann & Matthew Spiegel & Andrey Ukhov, 2003. "Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares," NBER Working Papers 9469, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Muravyev, Alexander, 2009. "Investor protection and share prices: Evidence from statutory rules governing variations of shareholders’ class rights in Russia," MPRA Paper 13678, University Library of Munich, Germany. [Downloadable!]
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  17. William N. Goetzmann & Ning Zhu, 2003. "Rain or Shine: Where is the Weather Effect?," NBER Working Papers 9465, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Jacobsen, B. & Marquering, W.A., 2004. "Is it the weather?," Research Paper ERS-2004-100-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    2. Erik Theissen, 2007. "An analysis of private investors’ stock market return forecasts," Applied Financial Economics, Taylor and Francis Journals, vol. 17(1), pages 35-43, January. [Downloadable!] (restricted)
    3. Ronald Doeswijk, 2008. "The Optimism Cycle: Sell in May," De Economist, Springer, vol. 156(2), pages 175-200, June. [Downloadable!] (restricted)

  18. Stephen J. Brown & William N. Goetzmann & Bing Liang, 2003. "Fees on Fees in Funds of Funds," NBER Working Papers 9464, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
      • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc. [Downloadable!]
    2. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  19. William N. Goetzmann & Massimo Massa, 2003. "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," NBER Working Papers 9499, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Petri Kyröläinen, 2008. "Day trading and stock price volatility," Journal of Economics and Finance, Springer, vol. 32(1), pages 75-89, January. [Downloadable!] (restricted)
    2. Grinblatt, Mark & Han, Bing, 2003. "The Disposition Effect and Momentum," Working Paper Series 2004-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
      Other versions:
    3. Weber, Martin & Welfens, Frank, 2007. "How do Markets React to Fundamental Shocks? An Experimental Analysis on Underreaction and Momentum," Sonderforschungsbereich 504 Publications 07-42, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]

  20. William N. Goetzmann & Ning Zhu & Arturo Bris, 2003. "Efficiency and the Bear: Short Sales and Markets around the World," NBER Working Papers 9466, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Published as:

    Cited by:

    1. Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2003. "Firm-Specific Variation and Openness in Emerging Markets," William Davidson Institute Working Papers Series 2003-623, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
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    2. Timotheos Angelidis & Nikolaos Tessaromatis, 2007. "Idiosyncratic Risk in Greece: Properties and Portfolio Implications," Working Papers 0001, University of Peloponnese, Department of Economics. [Downloadable!]
    3. Hirshleifer, David & Teoh, Siew Hong & Yu, Jeff Jiewei, 2009. "Short Arbitrage, Return Asymmetry And The Accrual Anomaly," MPRA Paper 16487, University Library of Munich, Germany. [Downloadable!]
    4. Louis Gagnon & Jonathan Witmer, 2009. "Short Changed? The Market's Reaction to the Short Sale Ban of 2008," Working Papers 09-23, Bank of Canada. [Downloadable!]
    5. Samuel Mongrut Montalván & Didac Ramírez Sarrió, 2005. "Discount Rates in Emerging Capital Markets," Finance 0501013, EconWPA. [Downloadable!]
    6. Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2004. "Stock Market Trading and Market Conditions," Working Paper Series 2004-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    7. Gerlinde Fellner & Erik Theissen, 2006. "Short Sale Constraints, Divergence of Opinion and Asset Values: Evidence from the Laboratory," Labsi Experimental Economics Laboratory University of Siena 009, University of Siena. [Downloadable!]
    8. Li Jin & Stewart C. Myers, 2004. "R-Squared Around the World: New Theory and New Tests," NBER Working Papers 10453, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Gagnon, Louis & Karolyi, G. Andrew, 2004. "Multi-market Trading and Arbitrage," Working Paper Series 2004-9, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    10. Hyunbae Chun & Jung-Wook Kim & Jason Lee & Randall Morck, 2004. "Patterns of Comovement: The Role of Information Technology in the U.S. Economy," NBER Working Papers 10937, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2005. "Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries," Working Paper Series 2005-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    12. Timotheos Angelidis, 2008. "Idiosyncratic Risk in Emerging Markets," Working Papers 0018, University of Peloponnese, Department of Economics. [Downloadable!]
    13. Michael McKenzie & Olan T. Henry, 2007. "The Determinnts of Short Selling in the Hong Kong Equities Market," Department of Economics - Working Papers Series 1001, The University of Melbourne. [Downloadable!]
    14. John M. Griffin & Federico Nardari & Rene M. Stulz, 2004. "Stock Market Trading and Market Conditions," NBER Working Papers 10719, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    15. LaFond, Ryan, 2005. "Is the Accrual Anomaly a Global Anomaly?," Working papers 27856, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    16. Saffi, Pedro & Sigurdson, Kari, 2008. "Price efficiency and short selling," IESE Research Papers D/748, IESE Business School. [Downloadable!]
    17. Sebastian Auguste & Kathryn M.E. Dominguez & Herman Kamil & Linda L. Tesar, 2005. "Cross-Border Trading as a Mechanism for Implicit Capital Flight: ADRs and the Argentine Crisis," Working Papers 533, Research Seminar in International Economics, University of Michigan. [Downloadable!]
      Other versions:
    18. Ferreira, Daniel & Ferreira, Miguel A. & Raposo, Clara C., 2008. "Board Structure and Price Informativeness," CEI Working Paper Series 2008-4, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    19. Salim Chahine, 2006. "Differential Interpretations, Private Information and Trading Volume Around French Firms' Good News vs. Bad News Preliminary Announcements," European Accounting Review, Taylor and Francis Journals, vol. 15(3), pages 403-429, September. [Downloadable!] (restricted)
    20. Gagnon, Louis & Karolyi, G. Andrew, 2007. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Working Paper Series 2006-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]

  21. William N. Goetzmann & Andrew Caplin & Eric Hangen & Barry Nalebuff & Elisabeth Prentice & John Rodkin & Tom Skinner & Matthew I. Spiegel, 2003. "Home Equity Insurance: A Pilot Project," Yale School of Management Working Papers ysm372, Yale School of Management. [Downloadable!]

    Cited by:

    1. Norman Miller & Liang Peng, 2006. "Exploring Metropolitan Housing Price Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 5-18, August. [Downloadable!] (restricted)
    2. Robert J. Shiller, 2008. "Derivatives Markets for Home Prices," NBER Working Papers 13962, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Yongheng Deng & John Quigley, 2008. "Index Revision, House Price Risk, and the Market for House Price Derivatives," The Journal of Real Estate Finance and Economics, Springer, vol. 37(3), pages 191-209, October. [Downloadable!] (restricted)
    4. Jan Rouwendal, 2009. "Housing Wealth and Household Portfolios in an Ageing Society," De Economist, Springer, vol. 157(1), pages 1-48, March. [Downloadable!] (restricted)
    5. Eric Clapham & Peter Englund & John Quigley & Christian Redfearn, 2006. "Revisiting the Past and Settling the Score: Index Revision for House Price Derivatives," Berkeley Program on Housing and Urban Policy, Working Paper Series 1059, Berkeley Program on Housing and Urban Policy. [Downloadable!]
      Other versions:
    6. Robert J. Shiller, 2008. "Derivatives Markets for Home Prices," Cowles Foundation Discussion Papers 1648, Cowles Foundation, Yale University. [Downloadable!]
    7. Cameron, Gavin & Muellbauer, John & Murphy, Anthony, 2006. "Was There a British House Price Bubble? Evidence from a Regional Panel," CEPR Discussion Papers 5619, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  22. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Schmitz, Philipp & Glaser, Markus & Weber, Martin, 2006. "Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?," Sonderforschungsbereich 504 Publications 06-12, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    2. Edwin Maberly & Raylene Pierce, 2003. "The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly," Asia-Pacific Financial Markets, Springer, vol. 10(4), pages 319-334, December. [Downloadable!] (restricted)
    3. William N. Goetzmann & Massimo Massa, 2003. "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," NBER Working Papers 9499, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," NBER Working Papers 13189, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    6. Zitzewitz, Eric, 2002. "Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds," Research Papers 1749, Stanford University, Graduate School of Business. [Downloadable!]
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    7. Th. Fiotakis & N. Philippas, 2004. "Chasing trend and losing money: open end mutual fund investors' trading behaviour in Greece," Applied Economics Letters, Taylor and Francis Journals, vol. 11(2), pages 117-121, February. [Downloadable!] (restricted)
    8. Anthony Richards, 2004. "Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets," RBA Research Discussion Papers rdp2004-05, Reserve Bank of Australia. [Downloadable!]
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    9. Kai Li, 2004. "The Growth of Global Equity Markets: A Closer Look," Econometric Society 2004 North American Winter Meetings 54, Econometric Society. [Downloadable!]

  23. William Goetzmann & Jonathan Ingersoll & Matthew I. Spiegel & Ivo Welch, 2002. "Sharpening Sharpe Ratios," NBER Working Papers 9116, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. José M. Marín & Francesco Franzoni, 2005. "Portable Alphas from Pension Mispricing," Economics Working Papers 894, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    2. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA. [Downloadable!]
    3. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and risk diversification in real estate investments: assessing the ex post economic value," Working Papers 2009-001, Federal Reserve Bank of St. Louis. [Downloadable!]
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    5. Urcola, Hernan A. & Irwin, Scott H., 2006. "Has the Performance of the Hog Options Market Changed?," 2006 Annual meeting, July 23-26, Long Beach, CA 21479, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]

  24. Stephen J. Brown & William N. Goetzmann, 2001. "Hedge Funds With Style," NBER Working Papers 8173, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Baquero, G. & Verbeek, M.J.C.M., 2005. "A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money," Research Paper ERS-2005-068-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    2. Horst, J.R. ter & Verbeek, M.J.C.M., 2004. "Fund liquidation, self-selection and look-ahead bias in the hedge fund industry," Research Paper ERS-2004-104-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
      Other versions:
    3. A. Harri & B. W. Brorsen, 2004. "Performance persistence and the source of returns for hedge funds," Applied Financial Economics, Taylor and Francis Journals, vol. 14(2), pages 131-141, January. [Downloadable!] (restricted)
    4. Colino, Evelyn V. & Cabrini, Silvina M. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao, 2004. "Advisory Service Marketing Profiles for Corn in 2001," AgMAS Project Research Reports 37493, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics. [Downloadable!]
    5. Baquero, G. & Horst, J. ter & Verbeek, M., 2002. "Survival, look-ahead bias and the persistence in hedge fund performance," Discussion Paper 111, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    6. Martines-Filho, Joao & Irwin, Scott H. & Good, Darrel L. & Cabrini, Silvina M. & Stark, Brian G. & Shi, Wei & Webber, Ricky L. & Hagedorn, Lewis A. & Williams, Steven L., 2003. "Advisory Service Marketing Profiles For Corn Over 1995-2000," AgMAS Project Research Reports 14776, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics. [Downloadable!]
    7. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
      • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc. [Downloadable!]
    8. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Menzie D. Chinn & Hiro Ito, 2005. "What Matters for Financial Development? Capital Controls, Institutions, and Interactions," NBER Working Papers 11370, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    11. Colino, Evelyn V. & Cabrini, Silvina M. & Irwin, Scott H. & Good, Darrel L. & Joao, Martines-Filho, 2004. "Advisory Service Marketing Profiles for Soybeans in 2001," AgMAS Project Research Reports 37507, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics. [Downloadable!]
    12. Roman Tancar & Jan Viebig, 2008. "Alternative beta applied—an introduction to hedge fund replication," Financial Markets and Portfolio Management, Springer, vol. 22(3), pages 259-279, September. [Downloadable!] (restricted)
    13. James O'Brien & Jeremy Berkowitz, 2005. "Estimating Bank Trading Risk: A Factor Model Approach," NBER Working Papers 11608, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    14. Martines-Filho, Joao & Irwin, Scott H. & Good, Darrel L. & Cabrini, Silvina M. & Stark, Brian G. & Shi, Wei & Webber, Ricky L. & Hagedorn, Lewis A. & Williams, Steven L., 2003. "Advisory Service Marketing Profiles For Soybeans Over 1995-2000," AgMAS Project Research Reports 14791, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics. [Downloadable!]
    15. Swinkels, L. & Sluis, P.J. van der, 2001. "Return-based style analysis with time-varying exposures," Discussion Paper 96, Tilburg University, Center for Economic Research. [Downloadable!]
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    16. Cécile Moigne & Patrick Savaria, 2006. "Relative importance of hedge fund characteristics," Financial Markets and Portfolio Management, Springer, vol. 20(4), pages 419-441, December. [Downloadable!] (restricted)

  25. William N. Goetzmann & Alok Kumar, 2001. "Equity Portfolio Diversification," NBER Working Papers 8686, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Published as:

    Cited by:

    1. Scott Weisbenner & Zoran Ivkovich, 2003. "Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments," NBER Working Papers 9685, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Andreas Hackethal & Michael Haliassos & Tullio Jappelli, 2009. "Financial Advisors: A Case of Babysitters?," CFS Working Paper Series 2009/04, Center for Financial Studies. [Downloadable!]
      Other versions:
    3. Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance 0404004, EconWPA. [Downloadable!]
    4. C. James Hueng & Ruey Yau, 2006. "Investor preferences and portfolio selection: is diversification an appropriate strategy?," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 255-271, June. [Downloadable!] (restricted)
    5. Glaser, Markus, 2003. "Online Broker Investors: Demographic Information, Investment Strategy, Portfolio Positions, and Trading Activity," Sonderforschungsbereich 504 Publications 03-18, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    6. Nellie Liang & Scott Weisbenner, 2002. "Investor behavior and the purchase of company stock in 401(k) plans - the importance of plan design," Finance and Economics Discussion Series 2002-36, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    7. Nellie Liang & Scott Weisbenner, 2002. "Investor Behavior and the Purchase of Company Stock in 401(k) Plans - The Importance of Plan Design," NBER Working Papers 9131, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Zoran Ivkovich & Clemens Sialm & Scott Weisbenner, 2004. "Portfolio Concentration and the Performance of Individual Investors," NBER Working Papers 10675, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    9. Rachel A. Campbell & Roman Kräussl, 2006. "Revisiting the Home Bias Puzzle. Downside Equity Risk," CFS Working Paper Series 2006/31, Center for Financial Studies. [Downloadable!]
      Other versions:
    10. William N. Goetzmann & Massimo Massa, 2003. "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," NBER Working Papers 9499, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    11. William N. Goetzmann & Massimo Massa & Andrei Simonov, 2004. "Portfolio Diversification and City Agglomeration," NBER Working Papers 10343, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Laura Frieder & Avanidhar Subrahmanyam, 2001. "Brand Perceptions and the Market for Common Stock," University of California at Los Angeles, Anderson Graduate School of Management 1016, Anderson Graduate School of Management, UCLA. [Downloadable!]
    13. Ridhwan, M.M. & Nijkamp, P. & Rietveld, P. & Groot, H.L.F. de, 2008. "Regional development and monetary policy : a review of the role of monetary unions, capital mobility and locational effects," Serie Research Memoranda 0007, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    14. Shaneera Boolell-Gunesh, 2008. "Un portrait de l?investisseur individuel français," Working Papers of LaRGE (Laboratoire de Recherche en Gestion et Economie) 2008-12, Laboratoire de Recherche en Gestion et Economie, Université de Strasbourg (France). [Downloadable!]
    15. Hayette Gatfaoui, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Research Paper Series 123, Quantitative Finance Research Centre, University of Technology, Sydney.

  26. William N. Goetzmann & Liang Peng, 2001. "The Bias of the RSR Estimator and the Accuracy of Some Alternatives," NBER Technical Working Papers 0270, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Published as:

    Cited by:

    1. Jianping Mei & Michael Moses, 2002. "Art as an Investment and the Underperformance of Masterpieces," American Economic Review, American Economic Association, vol. 92(5), pages 1656-1668, December. [Downloadable!]
    2. James Pesando & Pauline Shum, 2007. "The law of one price, noise and “irrational exuberance”: the auction market for Picasso prints," Journal of Cultural Economics, Springer, vol. 31(4), pages 263-277, December. [Downloadable!] (restricted)

  27. William N. Goetzmann & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2001. "High-Water Marks and Hedge Fund Management Contracts," Yale School of Management Working Papers ysm186, Yale School of Management. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Huberman, Gur, 2007. "Is the Price of Money Managers Too Low?," CEPR Discussion Papers 6531, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    2. Jens Carsten Jackwerth & James E. Hodder, 2003. "Incentive Contracts and Hedge Fund Management: A Numerical Evaluation Procedure," CoFE Discussion Paper 03-10, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    3. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
      • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc. [Downloadable!]
    4. Jens Carsten Jackwerth & James E. Hodder, 2005. "Incentive Contracts and Hedge Fund Management," CoFE Discussion Paper 05-02, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
      Other versions:
    5. Castaneda, Pablo, 2005. "Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile," MPRA Paper 3346, University Library of Munich, Germany, revised 30 Dec 2006. [Downloadable!]
    6. Basak, Suleyman & Pavlova, Anna & Shapiro, Alex, 2005. "Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management," CEPR Discussion Papers 5006, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  28. William N. Goetzmann & Massimo Massa & K. Geert Rouwenhorst, 2000. "Behavioral Factors in Mutual Fund Flows," Yale School of Management Working Papers ysm135, Yale School of Management. [Downloadable!]
    Other versions:

    Cited by:

    1. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. James J. Choi & David Laibson & Andrew Metrick, 2000. "Does the Internet Increase Trading? Evidence from Investor Behavior in 401(k) Plans," NBER Working Papers 7878, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Kenneth A. Froot & Jessica D. Tjornhom, 2002. "Decomposing the Persistence of International Equity Flows," NBER Working Papers 9079, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Kenneth A. Froot & Tarun Ramadorai, 2001. "The Information Content of International Portfolio Flows," NBER Working Papers 8472, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Julie Agnew, 2004. "An Analysis Of How Individuals React To Market Returns In One 401(k) Plan," Working Papers, Center for Retirement Research at Boston College 2004-13, Center for Retirement Research. [Downloadable!]
    6. Kauko , Karlo, 2005. "The demand for money market mutual funds," Research Discussion Papers 14/2005, Bank of Finland. [Downloadable!]
    7. David Ling & Andy Naranjo, 2006. "Dedicated REIT Mutual Fund Flows and REIT Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 32(4), pages 409-433, June. [Downloadable!] (restricted)
    8. Zitzewitz, Eric, 2002. "Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds," Research Papers 1749, Stanford University, Graduate School of Business. [Downloadable!]
      Other versions:
    9. Takeshi Yamaguchi & Olivia Mitchell & Gary Mottola & Steven Utkus, 2007. "Winners and Losers: 401(k) Trading and Portfolio Performance," Working Papers wp154, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
    10. Th. Fiotakis & N. Philippas, 2004. "Chasing trend and losing money: open end mutual fund investors' trading behaviour in Greece," Applied Economics Letters, Taylor and Francis Journals, vol. 11(2), pages 117-121, February. [Downloadable!] (restricted)
    11. Takeshi Yamaguchi, 2006. "Understanding Trading Behavior in 401(k) Plans," Working Papers wp125, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
    12. Nicholas Barberis & Andrei Shleifer, 2000. "Style Investing," NBER Working Papers 8039, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  29. William N. Goetzmann & Massimo Massa, 2000. "Daily Momentum and Contrarian Behavior of Index Fund Investors," NBER Working Papers 7567, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO. [Downloadable!]
    3. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York. [Downloadable!]
    4. Julie Agnew, 2004. "An Analysis Of How Individuals React To Market Returns In One 401(k) Plan," Working Papers, Center for Retirement Research at Boston College 2004-13, Center for Retirement Research. [Downloadable!]
    5. Dorn, Daniel & Huberman, Gur & Sengmueller, Paul, 2007. "Correlated Trading and Returns," CEPR Discussion Papers 6530, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    6. Gaunersdorfer, A. & Hommes, C.H.,, 2005. "A nonlinear structural model for volatility clustering," CeNDEF Working Papers 05-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    7. Robert J. Shiller, 2002. "From Efficient Market Theory to Behavioral Finance," Cowles Foundation Discussion Papers 1385, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    8. Andrea Frazzini & Owen A. Lamont, 2005. "Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns," NBER Working Papers 11526, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Giulio Bottazzi & Giovanna Devetag & Francesca Pancotto, 2009. "Does Volatility matter? Expectations of price return and variability in an asset pricing experiment," LEM Papers Series 2009/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
      Other versions:
    10. Jon Eggins & Robert J. Hill, 2008. "Momentum and Contrarian Stock-Market Indices," Discussion Papers 2008-07, School of Economics, The University of New South Wales. [Downloadable!]

  30. Bradford Case & William N. Goetzmann & K. Geert Rouwenhorst, 2000. "Global Real Estate Markets - Cycles and Fundamentals," NBER Working Papers 7566, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Pat Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The ImpactThe Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets," Working Paper Series 121, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
    2. Neal Maroney & Atsuyuki Naka, 2006. "Diversification Benefits of Japanese Real Estate Over the Last Four Decades," The Journal of Real Estate Finance and Economics, Springer, vol. 33(3), pages 259-274, November. [Downloadable!] (restricted)
    3. Jian Yang & James W. Kolari & Guozhong Zhu, 2005. "European public real estate market integration," Applied Financial Economics, Taylor and Francis Journals, vol. 15(13), pages 895-905, September. [Downloadable!] (restricted)
    4. Elias Oikarinen, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy. [Downloadable!]
    5. Robert T. Kleiman & James E. Payne & Anandi P. Sahu, 2002. "Random Walks and Market Efficiency: Evidence from International Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 279-298. [Downloadable!]
    6. Maroney, Neal C. & Naka, Atsuyuki, 2003. "Diversification benefit of Japanese real estate over the last four decades," Working Papers 2003-01, University of New Orleans, Department of Economics and Finance. [Downloadable!]

  31. K. Geert Rouwenhorst & William N. Goetzmann & Zoran Ivkovich, 2000. "Day Trading International Mutual Funds: Evidence And Policy Solutions," Yale School of Management Working Papers ysm138, Yale School of Management. [Downloadable!]
    Published as:

    Cited by:

    1. James J. Choi & David Laibson & Andrew Metrick, 2000. "Does the Internet Increase Trading? Evidence from Investor Behavior in 401(k) Plans," NBER Working Papers 7878, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "Unobserved Actions of Mutual Funds," NBER Working Papers 11766, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Eric Zitzewitz, 2006. "How Widespread Was Late Trading in Mutual Funds?," American Economic Review, American Economic Association, vol. 96(2), pages 284-289, May. [Downloadable!]
      Other versions:
    4. Dirk Nitzsche & Keith Cuthbertson & Niall O'Sullivan, 2005. "Mutual Fund Performance: Skill Or Luck?," Money Macro and Finance (MMF) Research Group Conference 2005 4, Money Macro and Finance Research Group. [Downloadable!]
    5. Susan E. K. Christoffersen & Christopher C. Geczy & David K. Musto & Adam V. Reed, 2004. "Do Shareholders' Preferences Affect their Funds' Management? Evidence from the Cross Section of Shareholders and Funds," CIRANO Working Papers 2004s-22, CIRANO. [Downloadable!]
    6. Zitzewitz, Eric, 2002. "Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds," Research Papers 1749, Stanford University, Graduate School of Business. [Downloadable!]
      Other versions:

  32. William N. Goetzmann & Matthew I. Spiegel, 2000. "The Policy Implications of Portfolio Choice in Underserved Mortgage Markets," Yale School of Management Working Papers ysm161, Yale School of Management. [Downloadable!]

    Cited by:

    1. Lehn Benjamin & Julia Sass Rubin & Sean Zielenbach, 2003. "Community development financial institutions: current issues and future prospects," Proceedings, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    2. Hud – Pd&R, 2004. "Wealth Accumulation and Homeownership: Evidence for Low-Income Households," Economic Development Publications 39045, HUD USER, Economic Development. [Downloadable!]
    3. Antonia Diaz & Maria Jose Luengo Prado, 2008. "On the User Cost and Homeownership," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(3), pages 584-613, July. [Downloadable!] (restricted)
      Other versions:
    4. Sang-Wook Stanley Cho, 2007. "Household Wealth Accumulation and Portfolio Choices in Korea," Discussion Papers 2007-26, School of Economics, The University of New South Wales. [Downloadable!]
    5. Wenli Li & Rui Yao, 2005. "The life-cycle effects of house price changes," Working Papers 05-7, Federal Reserve Bank of Philadelphia. [Downloadable!]
    6. Yoshida, Jiro, 2007. "Technology Shocks and Asset Price Dynamics: The Role of Housing in General Equilibrium," MPRA Paper 6271, University Library of Munich, Germany, revised 05 Mar 2008. [Downloadable!]
    7. Claudio Campanale, 2005. "Increasing Returns To Savings And Wealth Inequality," Working Papers. Serie AD 2005-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
      Other versions:
    8. Sang-Wook Stanley Cho, 2007. "Accounting for Lifecycle Wealth Accumulation: The Role of Housing Institution," Discussion Papers 2007-27, School of Economics, The University of New South Wales. [Downloadable!]
    9. Olivia S. Mitchell & John Piggott, 2004. "Unlocking Housing Equity in Japan," NBER Working Papers 10340, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  33. Ellen Burchill & William N. Goetzmann & Matthew I. Spiegel & Susan M. Wachter, 1999. "Do Cities and Suburbs Cluster?," Yale School of Management Working Papers ysm115, Yale School of Management. [Downloadable!]

    Cited by:

    1. Stephen Malpezzi, 2000. "Tales from the Real Side: The Implications of Urban Research for Real Estate Finance in Developing and Transition Economies," Wisconsin-Madison CULER working papers 01-02, University of Wisconsin Center for Urban Land Economic Research. [Downloadable!]

  34. Evan G. Galev & William N. Goetzmann & K. Geert Rouwenhorst, 1999. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," NBER Working Papers 7032, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Liu, Jun & Timmermann, Allan G, 2009. "Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications," CEPR Discussion Papers 7188, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    2. Joseph Chen & Samuel Hanson & Harrison Hong & Jeremy C. Stein, 2008. "Do Hedge Funds Profit From Mutual-Fund Distress?," NBER Working Papers 13786, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Perlin, M., 2007. "M of a kind: A Multivariate Approach at Pairs Trading," MPRA Paper 8309, University Library of Munich, Germany. [Downloadable!]
    4. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Jaideep Bedi & Anthony Richards & Paul Tennant, 2003. "The Characteristics and Trading Behaviour of Dual-listed Companies," RBA Research Discussion Papers rdp2003-06, Reserve Bank of Australia. [Downloadable!]
    6. Perlin, M., 2007. "Evaluation of pairs trading strategy at the Brazilian financial market," MPRA Paper 8308, University Library of Munich, Germany. [Downloadable!]

  35. William N. Goetzmann & Stanley J. Garstka, 1999. "The Development Of Corporate Performance Measures: Benchmarks Before EVA," Yale School of Management Working Papers ysm121, Yale School of Management. [Downloadable!]

    Cited by:

    1. Ghiselli Ricci, Roberto & Magni, Carlo Alberto, 2009. "Axiomatization of residual income and generation of financial securities," MPRA Paper 14438, University Library of Munich, Germany. [Downloadable!]
    2. Céline Chatelin & Stéphane Trebucq, 2002. "Du processus d'élaboration du cadre conceptuel en gouvernance d'entreprise A development process Of a conceptual framework of corporate governance," Working Papers FARGO 1021201, Université de Bourgogne - Latec/Fargo (Research center in Finance,organizational ARchitecture and GOvernance). [Downloadable!]

  36. William N. Goetzmann & Massimo Massa, 1999. "Index Funds and Stock Market Growth," NBER Working Papers 7033, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Roger M. Edelen & Jerold B. Warner, . "Aggregate Prixe Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns," Rodney L. White Center for Financial Research Working Papers 26-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    3. Massa, Massimo & Peyer, Urs & Tong, Zhenxu, 2005. "Limits of Arbitrage and Corporate Financial Policy," CEPR Discussion Papers 4829, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    4. Braverman, Oded & Kandel, Shmuel & Wohl, Avi, 2005. "The (Bad?) Timing of Mutual Fund Investors," CEPR Discussion Papers 5243, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    5. Randall Morck & Fan Yang, 2001. "The Mysterious Growing Value of S&P 500 Membership," NBER Working Papers 8654, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Paul A. Gompers & Andrew Metrick, . "Institutional Investors and Equity Prices," Rodney L. White Center for Financial Research Working Papers 20-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
      Other versions:
    7. Julie Agnew, 2004. "An Analysis Of How Individuals React To Market Returns In One 401(k) Plan," Working Papers, Center for Retirement Research at Boston College 2004-13, Center for Retirement Research. [Downloadable!]
    8. Christian Pierdzioch & Andrea Schertler, 2007. "Sources of Predictability of European Stock Markets for High-technology Firms," European Journal of Finance, Taylor and Francis Journals, vol. 13(1), pages 1-27, January. [Downloadable!] (restricted)
    9. William N. Goetzmann & Massimo Massa, 2000. "Daily Momentum and Contrarian Behavior of Index Fund Investors," NBER Working Papers 7567, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Hau, Harald & Massa, Massimo & Peress, Joël, 2005. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," CEPR Discussion Papers 4862, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    11. William N. Goetzmann & Massimo Massa, 2003. "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," NBER Working Papers 9499, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Hau, Harald, 2007. "A Generalized Portfolio Approach to Limited Risk Arbitrage: Evidence from the MSCI Global Index Change," CEPR Discussion Papers 6094, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    13. David Ling & Andy Naranjo, 2006. "Dedicated REIT Mutual Fund Flows and REIT Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 32(4), pages 409-433, June. [Downloadable!] (restricted)
    14. David Ling & Gianluca Marcato & Patrick McAllister, 2008. "The Dynamics of Asset Prices and Transaction Activity in Illiquid Markets: The Case of Private Commercial Real Estate," Real Estate & Planning Working Papers rep-wp2008-11, Henley Business School, Reading University. [Downloadable!]
    15. John Gallo & Chanwit Phengpis & Peggy Swanson, 2007. "Determinants of Equity Style," Journal of Financial Services Research, Springer, vol. 31(1), pages 33-51, February. [Downloadable!] (restricted)
    16. Anthony Richards, 2004. "Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets," RBA Research Discussion Papers rdp2004-05, Reserve Bank of Australia. [Downloadable!]
      Other versions:
    17. Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," Harvard Institute of Economic Research Working Papers 1953, Harvard - Institute of Economic Research. [Downloadable!]
      Other versions:
      • Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," NBER Working Papers 8895, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      • Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005. "Comovement," Journal of Financial Economics, Elsevier, vol. 75(2), pages 283-317, February. [Downloadable!] (restricted)

  37. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Toshiyuki Otsuki & Noriyoshi Shiraishi, 1998. "The Japanese Open-End Fund Puzzle," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-012, New York University, Leonard N. Stern School of Business-.
    Other versions:
    Published as:

    Cited by:

    1. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Tanaka, Hiroatsu & Baba, Naohiko, 2004. "Optimal Timing in Trading Japanese Equity Mutual Funds: Theory and Evidence," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(1), pages 91-121, March. [Downloadable!]

  38. William N. Goetzmann & Jonathan Ingersoll, Jr. & Stephen A. Ross, 1998. "High Water Marks," NBER Working Papers 6413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. William K.H. Fung & David A. Hsieh, 2006. "Hedge funds: an industry in its adolescence," Economic Review, Federal Reserve Bank of Atlanta, issue Q 4, pages 1-34. [Downloadable!]
    2. Diane Del Guercio & Paula A. Tkac, 2000. "The determinants of the flow of funds of managed portfolios: mutual funds versus pension funds," Working Paper 2000-21, Federal Reserve Bank of Atlanta. [Downloadable!]
    3. Jackwerth, Jens Carsten & Hodder, James E., 2006. "Incentive Contracts and Hedge Fund Management," MPRA Paper 11632, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    4. Baquero, G. & Verbeek, M.J.C.M., 2005. "A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money," Research Paper ERS-2005-068-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    5. Juan-Pedro Gómez & Tridib Sharma, 2003. "Portfolio Delegation under Short-selling Constraints," Economics Working Papers 695, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
      Other versions:
    6. Francisca G.-C. Richter, B. Wade Brorsen, 2000. "Estimating fees for managed futures: a continuous-time model with a knockout feature," Applied Mathematical Finance, Taylor and Francis Journals, vol. 7(2), pages 115-125, June. [Downloadable!] (restricted)
    7. Jens Carsten Jackwerth & James E. Hodder, 2003. "Incentive Contracts and Hedge Fund Management: A Numerical Evaluation Procedure," CoFE Discussion Paper 03-10, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    8. Franklin R. Edward, 1999. "Hedge Funds and the Collapse of Long-Term Capital Management," Journal of Economic Perspectives, American Economic Association, vol. 13(2), pages 189-210, Spring. [Downloadable!] (restricted)
    9. Palomino, Frédéric & Prat, Andrea, 1999. "Risk Taking and Optimal Contracts for Money Managers," CEPR Discussion Papers 2066, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    10. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1998. "Fee Speech: Adverse Selection and the Regulation of Mutual Funds," NBER Working Papers 6644, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Stephen Brown, 1999. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-077, New York University, Leonard N. Stern School of Business-. [Downloadable!]
      Other versions:
    12. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    13. Stephen J. Brown & William N. Goetzmann & Bing Liang, 2003. "Fees on Fees in Funds of Funds," NBER Working Papers 9464, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    14. Basak, Suleyman & Pavlova, Anna & Shapiro, Alex, 2006. "Optimal Asset Allocation and Risk Shifting in Money Management," CEPR Discussion Papers 5524, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    15. Stulz, Rene M., 2007. "Hedge Funds: Past, Present, and Future," Working Paper Series 2007-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    16. Castaneda, Pablo, 2005. "Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile," MPRA Paper 3346, University Library of Munich, Germany, revised 30 Dec 2006. [Downloadable!]
    17. Livio Stracca, 2005. "Delegated portfolio management: a survey of the theoretical literature," Working Paper Series 520, European Central Bank. [Downloadable!]
      Other versions:
    18. Basak, Suleyman & Pavlova, Anna & Shapiro, Alex, 2005. "Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management," CEPR Discussion Papers 5006, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    19. Ayako Yasuda & Andrew Metrick, 2007. "The economics of private equity funds," Proceedings, Federal Reserve Bank of San Francisco, issue Oct. [Downloadable!]

  39. Stephen J. Brown & William N. Goetzmann & Alok Kumar, 1998. "The Dow Theory: William Peter Hamilton's Track Record Re-Considered," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-013, New York University, Leonard N. Stern School of Business-.
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    Published as:

    Cited by:

    1. Thomas Schuster, 2003. "Fifty-Fifty. Stock Recommendations and Stock Prices. Effects and Benefits of Investment Advice in the Business Media," Finance 0303002, EconWPA. [Downloadable!]
    2. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," CORE Discussion Papers 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    3. Pereira, Robert, 1999. "Forecasting Ability But No Profitability: An Empirical Evaluation of Genetic Algorithm-optimised Technical Trading Rules," MPRA Paper 9055, University Library of Munich, Germany. [Downloadable!]
    4. Pu Shen, 2002. "Market timing strategies that worked," Research Working Paper RWP 02-01, Federal Reserve Bank of Kansas City. [Downloadable!]
    5. Enrico Zaninotto, 1997. "Comitati volontari e standard de-iure," Quaderni DISA 003, Department of Computer and Management Sciences, University of Trento, Italy.
    6. GIOT, Pierre & PETITJEAN, Mikael, 2006. "Short-term market timing using the Bond-Equity Yield Ratio," CORE Discussion Papers 2006090, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    7. Lunde, Asger & Timmermann, Allan G, 2003. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers 4104, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    8. Christopher J. Neely, 2001. "Risk-adjusted, ex ante, optimal technical trading rules in equity markets," Working Papers 1999-015, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    9. Alessandro Beber, 1999. "Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria," Alea Tech Reports 003, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]

  40. Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," NBER Working Papers 6412, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Bergh, W.M. van den & Steenbeek, O.W. & Berg, J. van den, 2002. "Relative Distress and Return Distribution Characteristics of Japanese Stocks, a Fuzzy-Probabilistic Approach," Research Paper ERS-2002-29-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]

  41. Philippe Jorion & William N. Goetzmann, 1998. "A Longer Look at Dividend Yields," Yale School of Management Working Papers ysm41, Yale School of Management. [Downloadable!]
    Published as:

    Cited by:

    1. Lutz Kilian & Silvia Goncalves, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 196, European Central Bank. [Downloadable!]
      Other versions:
    2. Shmuel Kandel & Robert F. Stambaugh, 1995. "On the Predictability of Stock Returns: An Asset-Allocation Perspective," NBER Working Papers 4997, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Samih Antoine Azar, 2004. "Excess volatility in the US stock market: evidence to the contrary," Applied Financial Economics, Taylor and Francis Journals, vol. 14(18), pages 1307-1311, December. [Downloadable!] (restricted)
    4. Antje Henne & Sebastian Ostrowski & Peter Reichling, 2007. "Dividend Yield and Stability versus Performance at the German Stock Market," FEMM Working Papers 07017, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management. [Downloadable!]
    5. Greg Filbeck, Sue Visscher, 1997. "Dividend yield strategies in the British stock market," European Journal of Finance, Taylor and Francis Journals, vol. 3(4), pages 277-289, December. [Downloadable!] (restricted)
    6. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    7. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    9. Min Hwang & John Quigley, 2006. "Economic Fundamentals in Local Housing Markets: Evidence from U.S. Metropolitan Regions," Berkeley Program on Housing and Urban Policy, Working Paper Series 1050, Berkeley Program on Housing and Urban Policy. [Downloadable!]
      Other versions:
    10. William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    11. William N. Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," NBER Working Papers 5901, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  42. Stephen J. Brown & William N. Goetzmann & James M. Park, 1998. "Hedge Funds and the Asian Currency Crisis of 1997," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-014, New York University, Leonard N. Stern School of Business-.
    Other versions:

    Cited by:

    1. Holt, Bryce R. & Irwin, Scott H., 2000. "The Effects Of Futures Trading By Large Hedge Funds And Ctas On Market Volatility," 2000 Conference, April 17-18 2000, Chicago, Illinois 18935, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
    2. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
      • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc. [Downloadable!]
    3. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Rajesh Chakrabarti & Richard Roll, 2000. "East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis," University of California at Los Angeles, Anderson Graduate School of Management 1070, Anderson Graduate School of Management, UCLA. [Downloadable!]
    5. J. A. Kregel, 1998. "Derivatives and Global Capital Flows: Applications to Asia," Macroeconomics 9809001, EconWPA. [Downloadable!]
      Other versions:
    6. Komulainen, Tuomas, 2001. "Currency Crises in Emerging Markets: Capital Flows and Herding Behaviour," BOFIT Discussion Papers 10/2001, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    7. Azman-Saini, W.N.W., 2006. "Hedge funds, exchange rates and causality: Evidence from Thailand and Malaysia," MPRA Paper 716, University Library of Munich, Germany. [Downloadable!]

  43. William N. Goetzmann & Jonathan E. Ingersoll Jr. & Zoran Ivkovich, 1998. "Monthly Measurement of Daily Timers," Yale School of Management Working Papers ysm88, Yale School of Management. [Downloadable!]

    Cited by:

    1. Swinkels, L.A.P. & Sluis, van der P.J. & Verbeek, M.J.C.M, 2003. "Market timing: a decomposition of mutual fund returns," Discussion Paper 95, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
      • Swinkels, L. & Sluis, P.J. van der & Verbeek, M.J.C.M., 2003. "Market timing: A decomposition of mutual fund returns," Research Paper ERS-2003-074-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    2. J. C. Matallin-Saez, 2003. "Asymmetric relation in omitted benchmarks and market timing in mutual funds," Applied Economics Letters, Taylor and Francis Journals, vol. 10(12), pages 775-778, October. [Downloadable!] (restricted)
    3. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    4. J. C. Matallín & A. Fernández-Izquierdo, 2003. "Passive timing effect in portfolio management," Applied Economics, Taylor and Francis Journals, vol. 35(17), pages 1829-1837, November. [Downloadable!] (restricted)
    5. Wayne Ferson & Kenneth Khang, 2002. "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," NBER Working Papers 8790, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Sergey Iskoz & Jiang Wang, 2003. "How to Tell if a Money Manager Knows More?," NBER Working Papers 9791, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  44. William N. Goetzmann & Stephen J. Brown, 1998. "Mutual Fund Styles," Yale School of Management Working Papers ysm40, Yale School of Management. [Downloadable!]
    Published as:

    Cited by:

    1. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute. [Downloadable!]
    3. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, . "Mutual fund trading costs," Rodney L. White Center for Financial Research Working Papers 27-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    4. Alfredo Ciriaco Fernández & Rafael Santamaría Aquilué, 2005. "Persistencia de resultados en los fondos de inversión españoles," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 525-573, September. [Downloadable!]
    5. José M. Marín & Francesco Franzoni, 2005. "Portable Alphas from Pension Mispricing," Economics Working Papers 894, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    6. Bertoli, Roberto & Zuluaf, Carl R. & Irwin, Scott H. & Jackson, Thomas E. & Good, Darrel L., 1999. "The Marketing Style Of Advisory Services For Corn And Soybeans In 1995," AgMAS Project Research Reports 14792, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics. [Downloadable!]
    7. Lau, Wee Yeap & Chan, Tze-Haw, 2004. "Does Misclassification of Equity Funds Exist? Evidence from Malaysia," MPRA Paper 2029, University Library of Munich, Germany, revised 2005. [Downloadable!]
    8. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte, 2008. "Sector Classification through non-Gaussian Similarity," Working Papers CEB 08-032.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
      Other versions:
    10. Carl Ackermann & Tim Loughran, 2007. "Mutual Fund Incubation and the Role of the Securities and Exchange Commission," Journal of Business Ethics, Springer, vol. 70(1), pages 33-37, January. [Downloadable!] (restricted)
    11. Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," NBER Working Papers 6412, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Horst, J.R. ter & Nijman, T.E. & Roon, F.A. de, 1998. "Style analysis and performance evaluation of Dutch mutual funds," Discussion Paper 50, Tilburg University, Center for Economic Research. [Downloadable!]
    13. Renneboog, L.D.R. & Horst, J.R. ter & Zhang, C., 2007. "Socially Responsible Investments: Methodology, Risk and Performance," Discussion Paper 2007-31, Tilburg University, Center for Economic Research. [Downloadable!]
    14. Deetz, Marcus & Poddig, Thorsten & Varmaz, Armin, 2009. "Klassifizierung von Hedge-Fonds durch das k-means Clustering von Self-Organizing Maps: eine renditebasierte Analyse zur Selbsteinstufungsgüte und Stiländerungsproblematik
      [Classifying Hedge Funds      ," MPRA Paper 16939, University Library of Munich, Germany. [Downloadable!]
    15. Jerry Parwada & Robert Faff, 2005. "Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection," Journal of Financial Services Research, Springer, vol. 27(1), pages 77-98, February. [Downloadable!] (restricted)
    16. Louis K.C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 1999. "On Mutual Fund Investment Styles," NBER Working Papers 7215, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    17. Laura Frieder & Avanidhar Subrahmanyam, 2001. "Brand Perceptions and the Market for Common Stock," University of California at Los Angeles, Anderson Graduate School of Management 1016, Anderson Graduate School of Management, UCLA. [Downloadable!]
    18. Matvos, Gregor & Ostrovsky, Michael, 2006. "Strategic Proxy Voting," Research Papers 1964, Stanford University, Graduate School of Business. [Downloadable!]
    19. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, 1999. "Transaction-cost Expenditures and the Relative Performance of Mutual Funds," Center for Financial Institutions Working Papers 00-02, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    20. Renneboog, L.D.R. & Horst, J.R. ter & Zhang, C., 2007. "Socially Responsible Investments: Methodology, Risk Exposure and Performance," Discussion Paper 2007-013, Tilburg University, Tilburg Law and Economic Center. [Downloadable!]
    21. Angeles Fernandez-Izquierdo & Juan Matallin-Saez, 2008. "Performance of Ethical Mutual Funds in Spain: Sacrifice or Premium?," Journal of Business Ethics, Springer, vol. 81(2), pages 247-260, August. [Downloadable!] (restricted)
    22. Takao Kobayashi & Seisho Sato & Akihiko Takahashi, 2005. "Style Analysis Based on a General State Space Model and Monte Carlo Filter," CIRJE F-Series CIRJE-F-337, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    23. Swinkels, L. & Sluis, P.J. van der, 2001. "Return-based style analysis with time-varying exposures," Discussion Paper 96, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    24. Tae-Hwan Kim & Douglas Stone & Halbert White, 2000. "Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights," University of California at San Diego, Economics Working Paper Series 2000-27, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    25. Ferruz Agudo, Luis & Vicente Gimeno, Luis A., 2005. "Are Style Factors exclusive, exhaustive and independent in Spanish Domestic Equity Funds?/¿Son los factores de estilo exclusivos, exhaustivos e independientes en los fondos de inversión españoles d," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 23, pages 495-506, Agosto. [Downloadable!] (restricted)
    26. Steve Hogan & Mitch Warachka, 2008. "Implied measures of relative fund performance," Financial Markets and Portfolio Management, Springer, vol. 22(1), pages 47-66, March. [Downloadable!] (restricted)

  45. William N. Goetzmann & Susan M. Wachter, 1998. "Clustering Methods for Real Estate Portfolios," Yale School of Management Working Papers ysm59, Yale School of Management. [Downloadable!]
    Published as:

    Cited by:

    1. Theodore M. Crone, 2003. "An alternative definition of economic regions in the U.S. based on similarities in state business cycles," Working Papers 03-23, Federal Reserve Bank of Philadelphia. [Downloadable!]
    2. Philip McCann & Stephen Lee, 2005. "The Implications for Regional Investment of Diversification Strategies in Commercial Real Estate Portfolios," ERSA conference papers ersa05p473, European Regional Science Association. [Downloadable!]
    3. Janet K. Tandy & Leon Shilton, 1999. "Risk Assessment Steeplechase: Hurdles to Becoming a Target Market," Journal of Real Estate Research, American Real Estate Society, vol. 17(2), pages 127-150. [Downloadable!]
    4. Brett Day & Ian Bateman & Iain Lake, 2007. "Beyond implicit prices: recovering theoretically consistent and transferable values for noise avoidance from a hedonic property price model," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 37(1), pages 211-232, May. [Downloadable!] (restricted)
    5. Piet Eichholtz & Hans Op t Veld & Mark Schweitzer, . "Outperformance: Does Managerial Specialization Pay?," Center for Financial Institutions Working Papers 97-31, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    6. Theodore M. Crone, 2004. "A redefinition of economic regions in the U.S," Working Papers 04-12, Federal Reserve Bank of Philadelphia. [Downloadable!]
    7. Mark Gallagher & Asieh Mansour, 2000. "An Analysis of Hotel Real Estate Market Dynamics," Journal of Real Estate Research, American Real Estate Society, vol. 19(2), pages 133-164. [Downloadable!]
    8. Theodore M. Crone, 1999. "Using state indexes to define economic regions in the U.S," Working Papers 99-19, Federal Reserve Bank of Philadelphia. [Downloadable!]

  46. Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson, 1997. "Offshore Hedge Funds: Survival and Performance 1989-1995," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-18, New York University, Leonard N. Stern School of Business-.
    Other versions:
    Published as:

    Cited by:

    1. Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics. [Downloadable!]
      Other versions:
    2. Gilles Daniel & Didier Sornette & Peter Wohrmann, 2008. "Look-Ahead Benchmark Bias in Portfolio Performance Evaluation," Quantitative Finance Papers 0810.1922, arXiv.org. [Downloadable!]
    3. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
      • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc. [Downloadable!]
    4. Irwin, Scott H. & Martines-Filho, Joao & Good, Darrel L., 2003. "The Performance Of Agricultural Market Advisory Services In Corn And Soybeans," 2003 Annual meeting, July 27-30, Montreal, Canada 22256, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
      Other versions:
    5. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Irwin, Scott H. & Martines-Filho, Joao & Good, Darrel L., 2003. "The Pricing Performance Of Market Advisory Services In Corn And Soybeans Over 1995-2001," AgMAS Project Research Reports 14773, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics. [Downloadable!]
      Other versions:
    7. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York. [Downloadable!]
    8. Huyen Nguyen-Thi-Thanh, 2004. "Hedge fund behavior: An ex-post analysis," Working Papers halshs-00067744_v1, HAL. [Downloadable!]
    9. Jens Carsten Jackwerth & James E. Hodder & Olga Kolokolova, 2008. "Recovering Delisting Returns of Hedge Funds," CoFE Discussion Paper 08-09, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
      Other versions:
    10. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2006. "Is There Hedge Fund Contagion?," Working Paper Series 2006-1, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    11. Huyen Nguyen-Thi-Thanh, 2007. "Assessing Hedge Fund Performance: Does the Choice of Measures Matter?," Working Papers halshs-00184814_v1, HAL. [Downloadable!]

  47. William N. Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," NBER Working Papers 5901, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Bodnar, Gordon & Dumas, Bernard & Marston, Richard, 2003. "Cross-Border Valuation: The International Cost of Equity Capital," Working Papers 03-3, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
    2. Fabio Panetta & Roberto Violi, 1999. "Is there an Equity Premium Puzzle in Italy? A Look at Asset Returns, Consumption and Financial Structure Data over the Last Century," Temi di discussione (Economic working papers) 353, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    3. Danthine, Jean-Pierre & Donaldson, John B & Siconolfi, Paolo, 2005. "Distribution Risk and Equity Returns," CEPR Discussion Papers 5425, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    4. Alier, Max & Vittas, Dimitri, 2000. "Personal pension plans and stock market volatility," Policy Research Working Paper Series 2463, The World Bank. [Downloadable!]
    5. William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  48. William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Vladislav Kargin, 2003. "Value Investing in Emerging Markets: Risks and Benefits," International Finance 0309005, EconWPA. [Downloadable!]
      Other versions:
    2. Klaas Baks & Andrew Metrick & Jessica Wachter, . "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Rodney L. White Center for Financial Research Working Papers 18-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
      Other versions:
    3. Gerald Kohers & Ninon Kohers & Theodor Kohers, 2006. "The risk and return characteristics of developed and emerging stock markets: the recent evidence," Applied Economics Letters, Taylor and Francis Journals, vol. 13(11), pages 737-743, September. [Downloadable!] (restricted)
    4. Malcolm Anderson, 2000. "Accounting History Publications 1999," Accounting, Business and Financial History, Taylor and Francis Journals, vol. 10(3), pages 385-393, November. [Downloadable!] (restricted)
    5. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Andrew Patton, 2001. "Estimation of Copula Models for Time Series of Possibly Different Length," University of California at San Diego, Economics Working Paper Series 2001-17, Department of Economics, UC San Diego. [Downloadable!]
    7. Bansal, Ravi & Dahlquist, Magnus, 2002. "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series 8, Institute for Financial Research. [Downloadable!]
    8. Meenagh, David & Minford, Patrick & Peel, David, 2006. "Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency," CEPR Discussion Papers 5614, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    9. William N. Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," NBER Working Papers 5901, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Wolfgang Drobetz & Susanne Stürmer & Heinz Zimmermann, 2002. "Conditional Asset Pricing in Emerging Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(IV), pages 507-526, December. [Downloadable!]
    11. Aktham Maghyereh & Hiatham Al-Zuobi, 2005. "Free trade agreements and equity market integration: the case of the US and Jordan," Applied Financial Economics, Taylor and Francis Journals, vol. 15(14), pages 995-1005, October. [Downloadable!] (restricted)
    12. Robert F. Stambaugh, 1997. "Analyzing Investments Whose Histories Differ in Length," NBER Working Papers 5918, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    13. Bansal, Ravi & Dahlquist, Magnus, 2001. "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers 3034, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    14. Christoph Klingen & Jeromin Zettelmeyer & Beatrice Weder, 2004. "How Private Creditors Fared in Emerging Debt Markets, 1970-2000," IMF Working Papers 04/13, International Monetary Fund. [Downloadable!]
      Other versions:
    15. Voth, Hans-Joachim, 2002. "With a Bang, Not a Whimper: Pricking Germany's 'Stock Market Bubble' in 1927 and the Slide into Depression," CEPR Discussion Papers 3257, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:

  49. William N. Goetzmann and Matthew Spiegel., 1995. "A Spatial Model of Housing Returns and Neighborhood Substitutability," Research Program in Finance Working Papers RPF-253, University of California at Berkeley. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Daniel P. McMillen, 2002. "The center restored: Chicago's residential price gradient reemerges," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II, pages 2-11. [Downloadable!]
    2. Scott Susin, 2006. "Rent Vouchers and the Price of Low-Income Housing," Berkeley Program on Housing and Urban Policy, Working Paper Series 1005, Berkeley Program on Housing and Urban Policy. [Downloadable!]
    3. Min Hwang & John Quigley, 2002. "Price Discovery in Time and Space: The Course of Condominium Prices in Singapore," Department of Economics, Working Paper Series 1040, Department of Economics, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
      Other versions:

  50. Goetzmann, W.N., 1993. "Attrition and Mutual Fund Performance," Papers 93-01, Columbia - Graduate School of Business.

    Cited by:

    1. Alexander Stremme, 1999. "Optimal Compensation for Fund Managers of Uncertain Type: The Information Advantages of Bonus Schemes," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-029, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    2. Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 1999. "Performance and Characteristics of Swedish Mutual Funds 1993-97," CEPR Discussion Papers 2166, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    3. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Athanasios Orphanides, 1996. "Compensation incentives and risk taking behavior: evidence from mutual funds," Finance and Economics Discussion Series 96-21, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  51. Goetzman, W.N. & Jorion, P., 1992. "Testing the Predictive Power of Dividend Yields," Papers 93-03, Columbia - Graduate School of Business.
    Other versions:
    Published as:

    Cited by:

    1. Walter Torous & Rossen Valkanov, 2000. "Boundaries of Predictability: Noisy Predictive Regressions," University of California at Los Angeles, Anderson Graduate School of Management 1081, Anderson Graduate School of Management, UCLA. [Downloadable!]
    2. Jurek, Jakub W & Viceira, Luis M, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," CEPR Discussion Papers 5773, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    3. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis. [Downloadable!]
    4. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, EconWPA. [Downloadable!]
      Other versions:
    5. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, EconWPA. [Downloadable!]
    6. Erik Hjalmarsson, 2006. "New methods for inference in long-run predictive regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    7. Lutz Kilian & Silvia Goncalves, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 196, European Central Bank. [Downloadable!]
      Other versions:
    8. John Y. Campbell & Robert J. Shiller, 2001. "Valuation Ratios and the Long-run Stock Market Outlook: An Update," Cowles Foundation Discussion Papers 1295, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    9. Jens Pech Nielsen & Stefan Sperlich, 2001. "Prediction of stocks: A new way to look at it," Statistics and Econometrics Working Papers ws011812, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    10. Simon van Norden & Huntley Schaller & ), 1995. "Regime Switching in Stock Market Returns," Econometrics 9502002, EconWPA. [Downloadable!]
      Other versions:
    11. Antje Henne & Sebastian Ostrowski & Peter Reichling, 2007. "Dividend Yield and Stability versus Performance at the German Stock Market," FEMM Working Papers 07017, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management. [Downloadable!]
    12. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    13. John H. Cochrane, 2006. "The Dog That Did Not Bark: A Defense of Return Predictability," NBER Working Papers 12026, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    14. Stig Vinther Møller, 2008. "Consumption growth and time-varying expected stock returns," CREATES Research Papers 2008-40, School of Economics and Management, University of Aarhus. [Downloadable!]
    15. Rossen Valkanov, 1999. "Equity Premium and Dividend Yield regressions: A lot of noise, little information, confusing results," University of California at Los Angeles, Anderson Graduate School of Management 1103, Anderson Graduate School of Management, UCLA. [Downloadable!]
    16. Greg Filbeck, Sue Visscher, 1997. "Dividend yield strategies in the British stock market," European Journal of Finance, Taylor and Francis Journals, vol. 3(4), pages 277-289, December. [Downloadable!] (restricted)
    17. Bradley S. Paye & Allan Timmermann, 2002. "How stable are Financial Prediction Models? Evidence from US and International Stock Market Data," University of California at San Diego, Economics Working Paper Series 2002-13, Department of Economics, UC San Diego. [Downloadable!]
    18. Erik Hjalmarsson, 2006. "Predictive regressions with panel data," International Finance Discussion Papers 869, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    19. Lewellen, Jonathan, 2003. "Predicting Returns With Financial Ratios," Working papers 4374-02, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    20. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    21. Li, GuangJie, 2009. "The Horizon Effect of Stock Return Predictability and Model Uncertainty on Portfolio Choice: UK Evidence," Cardiff Economics Working Papers E2009/4, Cardiff University, Cardiff Business School, Economics Section, revised Aug 2009. [Downloadable!]
    22. Benjamin Chiquoine & Erik Hjalmarsson, 2008. "Jackknifing stock return predictions," International Finance Discussion Papers 932, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    23. Campbell, John Y & Chan, Yeung Lewis & Viceira, Luis M, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    24. Amit Goyal & Ivo Welch, 2002. "Predicting the Equity Premium With Dividend Ratios," NBER Working Papers 8788, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    25. Robert R. Grauer and Nils H. Hakansson., 1998. "Applying the Grinblatt-Titman and the Conditional (Ferson-Schadt) Performance Measures: The Case of Industry Rotation Via the Dynamic Investment Model," Research Program in Finance Working Papers RPF-277, University of California at Berkeley. [Downloadable!]
    26. Min Wei & Jonathan Wright, 2009. "Confidence intervals for long-horizon predictive regressions via reverse regressions," Finance and Economics Discussion Series 2009-27, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    27. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," CORE Discussion Papers 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    28. Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    29. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    30. Robert J. Shiller, 1998. "Human Behavior and the Efficiency of the Financial System," NBER Working Papers 6375, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    31. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    32. R.-P. Berben & D.J.C. van Dijk, 1998. "Does the absence of cointegration explain the typical findings in long horizon regressions?," Econometric Institute Report 145, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    33. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    34. Alex Maynard & Katsumi Shimotsu, 2007. "Covariance-based orthogonality tests for regressors with unknown persistence," Working Papers 1122, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
    35. Erik Hjalmarsson, 2008. "Interpreting long-horizon estimates in predictive regressions," International Finance Discussion Papers 928, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    36. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    37. Michael Brennan & Yihong Xia, 1997. "Stock Price Volatility, Learning, and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management 1131, Anderson Graduate School of Management, UCLA. [Downloadable!]
    38. John Y. Campbell & Luis Viceira, 2005. "The Term Structure of the Risk-Return Tradeoff," NBER Working Papers 11119, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    39. Paul Harrison & Harold H. Zhang, . "Cyclical Variation in the Risk and Return Relation," Computing in Economics and Finance 1997 175, Society for Computational Economics. [Downloadable!]
    40. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002. "Spurious Regressions in Financial Economics?," NBER Working Papers 9143, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    41. Eduardo José Araújo Lima & Benjamin Miranda Tabak, 2008. "Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions," Working Papers Series 173, Central Bank of Brazil, Research Department. [Downloadable!]
    42. Pin-Huang Chou, 1996. "Using Bootstrap to Test Mean-Variance Efficiency of a Given Portfolio," Finance 9609002, EconWPA. [Downloadable!]
    43. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    44. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group. [Downloadable!]
    45. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    46. Marco Bonomo & René Garcia, 1994. "Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles," CIRANO Working Papers 94s-14, CIRANO. [Downloadable!]
      Other versions:
    47. Dennis R. Capozza & Paul J. Seguin, 1995. "Expectations, Efficiency, and Euphoria in the Housing Market," NBER Working Papers 5179, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    48. Yihong Xia, 2000. "Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," University of California at Los Angeles, Anderson Graduate School of Management 1057, Anderson Graduate School of Management, UCLA. [Downloadable!]
    49. Wan Mahmood, Wan Mansor & Abdul Fatah, Faizatul Syuhada, 2007. "Multivariate Causal Estimates of Dividend Yields, Price Earning Ratio and Expected Stock Returns: Experience from Malaysia," MPRA Paper 14614, University Library of Munich, Germany. [Downloadable!]
    50. Jon Faust & Jonathan H. Wright, 2008. "Efficient Prediction of Excess Returns," NBER Working Papers 14169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    51. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, Göteborg University, Department of Economics. [Downloadable!]
    52. Rossen Valkanov, 1999. "Long-Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and Fisher Effect Relations," University of California at Los Angeles, Anderson Graduate School of Management 1104, Anderson Graduate School of Management, UCLA. [Downloadable!]
    53. John Y. Campbell, 1993. "Why Long Horizons: A Study of Power Against Persistent Alternatives," NBER Technical Working Papers 0142, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    54. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  52. Goetzmann, W.N. & Greenward, B. & Huberman, G., 1992. "Market Response to Mutual Fund Performance," Papers 92-25, Columbia - Graduate School of Business.

    Cited by:

    1. R. Anton Braun & Arijit Mukherji & David E. Runkle, 1996. "Delayed financial disclosure: Mexico's recent experience," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 13-21. [Downloadable!]

  53. Goetzmann, W.N. & Spiegel, M., 1992. "Non-temporal Components of Residential Real Estate Appreciation," Papers 92-20, Columbia - Graduate School of Business.
    Published as:

    Cited by:

    1. Joseph Gyourko & Joseph Tracy, 2003. "Using home maintenance and repairs to smooth variable earnings," Staff Reports 168, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    2. Marilena Locatelli Biey & Roberto Zanola, 1999. "Investment in Paintings: A Short-Run Price Index," Journal of Cultural Economics, Springer, vol. 23(3), pages 209-219, August. [Downloadable!] (restricted)
    3. Michel Baroni & Fabrice Barthe´le´my & Mahdi Mokrane, 2007. "APCA Factor Repeat Sales Index for Apartment Prices in Paris," Journal of Real Estate Research, American Real Estate Society, vol. 29(2), pages 137-158. [Downloadable!]
    4. Min Hwang & John Quigley, 2006. "Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values," Berkeley Program on Housing and Urban Policy, Working Paper Series 1046, Berkeley Program on Housing and Urban Policy. [Downloadable!]
      Other versions:
    5. Marvin L. Wolverton & Jimmy Senteza, 2000. "Hedonic Estimates of Regional Constant Quality House Prices," Journal of Real Estate Research, American Real Estate Society, vol. 19(3), pages 235-253. [Downloadable!]

  54. Goetzmann, W.N. & Ibbotson, R.G., 1990. "Do Winners Repeat? Patterns in Mutual Fund Behavior," Papers fb-_91-04, Columbia - Graduate School of Business.

    Cited by:

    1. Lauren Cohen & Andrea Frazzini & Christopher Malloy, 2007. "The Small World of Investing: Board Connections and Mutual Fund Returns," NBER Working Papers 13121, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics. [Downloadable!]
      Other versions:
    3. Cohen, Randolph & Coval, Joshua & Pástor, Luboš, 2003. "Judging Fund Managers by the Company They Keep," CEPR Discussion Papers 3717, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    4. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "Unobserved Actions of Mutual Funds," NBER Working Papers 11766, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Judith Chevalier & Glenn Ellison, 1998. "Career Concerns of Mutual Fund Managers," NBER Working Papers 6394, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Michael K. Berkowitz & Yehuda Kotowitz, 1997. "Management Compensation and the Performance of Mutual Funds," Working Papers berk-97-01, University of Toronto, Department of Economics. [Downloadable!]
    7. Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004 55, Money Macro and Finance Research Group. [Downloadable!]
    8. Klaas Baks & Andrew Metrick & Jessica Wachter, . "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Rodney L. White Center for Financial Research Working Papers 18-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
      Other versions:
    9. Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson, 1997. "Offshore Hedge Funds: Survival and Performance 1989-1995," NBER Working Papers 5909, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Gray, Wesley & Kern, Andrew, 2008. "Fundamental Value Investors: Characteristics and Performance," MPRA Paper 12620, University Library of Munich, Germany. [Downloadable!]
    11. Jonathan B. Berk & Ian Tonks, 2007. "Return Persistence and Fund Flows in the Worst Performing Mutual Funds," NBER Working Papers 13042, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 1999. "Performance and Characteristics of Swedish Mutual Funds 1993-97," CEPR Discussion Papers 2166, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    13. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, 1999. "The Wildcard Option in Transacting Mutual-Fund Shares," Center for Financial Institutions Working Papers 00-03, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    14. John R. Graham & Campbell R. Harvey, 1997. "Market Timing Ability and Volatility Implied in Investment Newletters' Asset Allocation Recommendations," NBER Working Papers 4890, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    15. Fabrice Hervé, 2003. "La persistance de la performance des fonds de pension individuels britanniques:une étude empirique sur des fonds investis en actions et des fonds obligataires," Revue Finance Contrôle Stratégie, Editions Economica, vol. 6(3), pages 41-77, September. [Downloadable!]

  55. Goetzmann, W.N., 1990. "The Single Family Home In The Investment Portfolio," Papers fb-_90-15, Columbia - Graduate School of Business.
    Published as:

    Cited by:

    1. Joao Cocco & John Campbell, 2004. "Household Risk Management and Optimal Mortgage Choice," Econometric Society 2004 North American Winter Meetings 646, Econometric Society. [Downloadable!]
      Other versions:
    2. Peter Englund & Min Hwang & John Quigley, 2006. "Hedging Housing Risk," Berkeley Program on Housing and Urban Policy, Working Paper Series 1018, Berkeley Program on Housing and Urban Policy. [Downloadable!]
      Other versions:
    3. Marjorie Flavin & Shinobu Nakagawa, 2004. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers 10458, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Christian A.L. Hilber, 2003. "Neighborhood externality risk and the homeownership status of properties," Proceedings, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    5. Ji, Tingting, 2004. "Consumer Credit Delinquency And Bankruptcy Forecasting Using Advanced Econometrc Modeling," MPRA Paper 3187, University Library of Munich, Germany. [Downloadable!]
    6. Theodore M. Crone & Richard P. Voith, 1998. "Risk and return within the single-family housing market," Working Papers 98-4, Federal Reserve Bank of Philadelphia. [Downloadable!]
    7. Peter Chinloy & Nancy Macdonald, 2004. "Subprime Lenders and Mortgage Market Completion," The Journal of Real Estate Finance and Economics, Springer, vol. 30(2), pages 153-165, November. [Downloadable!] (restricted)
    8. Timothy Riddiough & Paul Childs & Steven Ott, 2001. "Noise, Real Estate Markets, and Options on Real Assets: Applications," Wisconsin-Madison CULER working papers 01-06, University of Wisconsin Center for Urban Land Economic Research. [Downloadable!]
    9. Loriana Pelizzon & Guglielmo Weber, 2007. "Efficient Portfolios when Housing Needs Change over the Life-Cycle," "Marco Fanno" Working Papers 0037, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
      Other versions:
    10. Sonali Das & Rangan Gupta & Patrick Agu Kaya, 2009. "Convergence of Metropolitan House Prices in South Africa: A Re-Examination Using Efficient Unit Root Tests," Working Papers 200922, University of Pretoria, Department of Economics. [Downloadable!]
    11. Loriana Pelizzon & Guglielmo Weber, 2006. "Are Household Portfolios Efficient? An Analysis Conditional on Housing," Working Papers 2006_55, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
      Other versions:
    12. Khalid Sekkat & Ariane Szafarz, 2009. "Valuing Homeownership," Working Papers CEB 09-006.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
      Other versions:
    13. Marjorie Flavin & Takashi Yamashita, 1998. "Owner-Occupied Housing and the Composition of the Household Portfolio Over the Life-Cycle," NBER Working Papers 6389, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    14. Todd Sinai & Nicholas S. Souleles, 2005. "Owner-occupied housing as a hedge against rent risk," Working Papers 05-10, Federal Reserve Bank of Philadelphia. [Downloadable!]
      Other versions:
    15. Stephen H. Shore & Todd Sinai, 2005. "Commitment, Risk, and Consumption: Do Birds of a Feather Have Bigger Nests?," NBER Working Papers 11588, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    16. de Roon, Frans & Eichholtz, Piet & Koedijk, Kees, 2002. "The Portfolio Implications of Home Ownership," CEPR Discussion Papers 3501, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    17. Marjorie Flavin & Takashi Yamashita, 1998. "Owner-Occupied Housing and the Composition of the Household Portfolio over the Life Cycle," University of California at San Diego, Economics Working Paper Series 98-02, Department of Economics, UC San Diego. [Downloadable!]
    18. Ji, Tingting, 2004. "Essays on consumer portfolio choice and credit risk," MPRA Paper 3161, University Library of Munich, Germany. [Downloadable!]
    19. John Y. Campbell & João F. Cocco, 2005. "How Do House Prices Affect Consumption? Evidence From Micro Data," NBER Working Papers 11534, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    20. Steven Bourassa & Donald Haurin & Jessica Haurin & Martin Hoesli & Jian Sun, 2007. "House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics," Working Papers 07-03, Ohio State University, Department of Economics. [Downloadable!]
      Other versions:
    21. Juerg Syz & Paolo Vanini & Marco Salvi, 2008. "Property Derivatives and Index-Linked Mortgages," The Journal of Real Estate Finance and Economics, Springer, vol. 36(1), pages 23-35, January. [Downloadable!] (restricted)
    22. Marjorie Flavin & Takashi Yamashita, 1998. "Owner-Occupied Housing and the Composition of the Household Portfolio over the Life Cycle," University of California at San Diego, Economics Working Paper Series 1998-02, Department of Economics, UC San Diego. [Downloadable!]

  56. Goetzmann, W.N., 1990. "The Accuracy Of Real Estimate Indices: Repeat Sale Estimators," Papers fb-_90-17, Columbia - Graduate School of Business.
    Published as:

    Cited by:

    1. Jianping Mei & Michael Moses, 2002. "Art as an Investment and the Underperformance of Masterpieces," American Economic Review, American Economic Association, vol. 92(5), pages 1656-1668, December. [Downloadable!]
    2. Alan Beggs & Kathryn Graddy, 2008. "Failure to meet the reserve price: the impact on returns to art," Journal of Cultural Economics, Springer, vol. 32(4), pages 301-320, December. [Downloadable!] (restricted)
      Other versions:
    3. Robert J. Shiller, 1992. "Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures Indices and Perpetual Futures," Cowles Foundation Discussion Papers 1036, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    4. Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi, 2004. "Physical Real Estate: A Paris Repeat Sales Residential Index," ESSEC Working Papers DR 04007, ESSEC Research Center, ESSEC Business School. [Downloadable!]
      Other versions:
    5. M. Baroni & F. Barthélémy & M. Mokrane, 2004. "Which Capital Growth Index for the Paris Residential Market?," THEMA Working Papers 2004-04, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
      Other versions:

  57. Goetzmann, W.N., 1990. "Accounting For Taste: An Analysis Of Art Returns Over Three Centuries," Papers fb-_90-11, Columbia - Graduate School of Business.

    Cited by:

    1. Olivier Chanel & Louis-André Gérard-Varet & Victor Ginsburgh, 1996. "The relevance of hedonic price indices," Journal of Cultural Economics, Springer, vol. 20(1), pages 1-24, March. [Downloadable!] (restricted)
    2. Robert J. Shiller, 1991. "Arithmetic Repeat Sales Price Estimators," Cowles Foundation Discussion Papers 971, Cowles Foundation, Yale University. [Downloadable!]

Articles

  1. William N. Goetzmann & Alok Kumar, 2008. "Equity Portfolio Diversification," Review of Finance, Oxford University Press for European Finance Association, vol. 12(3), pages 433-463. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Arturo Bris & William N. Goetzmann & Ning Zhu, 2007. "Efficiency and the Bear: Short Sales and Markets Around the World," Journal of Finance, American Finance Association, vol. 62(3), pages 1029-1079, 06. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. William Goetzmann & Andrey Ukhov, 2006. "British Investment Overseas 1870–1913: A Modern Portfolio Theory Approach," Review of Finance, Springer, vol. 10(2), pages 261-300, 06. [Downloadable!] (restricted)
    Other versions:
    Published as:

    See citations under working paper version above.

  4. William Goetzmann & Liang Peng, 2006. "Estimating House Price Indexes in the Presence of Seller Reservation Prices," The Review of Economics and Statistics, MIT Press, vol. 88(1), pages 100-112, March. [Downloadable!] (restricted)

    Cited by:

    1. Dirk Bergemann & Ulrich Hege & Liang Peng, 2008. "Venture Capital and Sequential Investments," Cowles Foundation Discussion Papers 1682, Cowles Foundation, Yale University, revised Nov 2008. [Downloadable!]
      Other versions:
    2. Hazer Inaltekin & Robert Jarrow & Mehmet Saglam & Yildiray Yildirim, 2009. "Housing Market Microstructure," Quantitative Finance Papers 0907.1853, arXiv.org. [Downloadable!]
    3. Jim Clayton & Greg MacKinnon & Liang Peng, 2008. "Time Variation of Liquidity in the Private Real Estate Market: An Empirical Investigation," Journal of Real Estate Research, American Real Estate Society, vol. 30(2), pages 125-160. [Downloadable!]

  5. Evan Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 2006. "Pairs Trading: Performance of a Relative-Value Arbitrage Rule," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 19(3), pages 797-827. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  6. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005. "Long-Term Global Market Correlations," Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  7. William N. Goetzmann & Ning Zhu, 2005. "Rain or Shine: Where is the Weather Effect?," European Financial Management, Blackwell Publishing Ltd, vol. 11(5), pages 559-578. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  8. William N. Goetzmann & Jonathan E. Ingersoll & Stephen A. Ross, 2003. "High-Water Marks and Hedge Fund Management Contracts," Journal of Finance, American Finance Association, vol. 58(4), pages 1685-1718, 08. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  9. William N. Goetzmann & Massimo Massa, 2003. "Index Funds and Stock Market Growth," Journal of Business, University of Chicago Press, vol. 76(1), pages 1-28, January. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  10. William N. Goetzmann & Liang Peng, 2002. "The Bias of the RSR Estimator and the Accuracy of Some Alternatives," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(1), pages 13-39. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  11. Goetzmann, William N. & Ibbotson, Roger G. & Peng, Liang, 2001. "A new historical database for the NYSE 1815 to 1925: Performance and predictability," Journal of Financial Markets, Elsevier, vol. 4(1), pages 1-32, January. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  12. Geltner, David & Goetzmann, William, 2000. "Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index," The Journal of Real Estate Finance and Economics, Springer, vol. 21(1), pages 5-21, July. [Downloadable!] (restricted)

    Cited by:

    1. Jeff Fisher & David Geltner & Henry Pollakowski, 2007. "A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 5-33, January. [Downloadable!] (restricted)
    2. Daniel P. McMillen, 2002. "The center restored: Chicago's residential price gradient reemerges," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II, pages 2-11. [Downloadable!]
    3. Robert Edelstein & Daniel Quan, 2006. "How Does Appraisal Smoothing Bias Real Estate Returns Measurement?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 41-60, February. [Downloadable!] (restricted)
    4. Martin Hoesli & Jon Lekander & Witold Witkiewicz, 2004. "New International Evidence on Real Estate as a Portfolio Diversifier," Journal of Real Estate Research, American Real Estate Society, vol. 26(2), pages 161-206. [Downloadable!]

  13. Philippe Jorion & William N. Goetzmann, 1999. "Global Stock Markets in the Twentieth Century," Journal of Finance, American Finance Association, vol. 54(3), pages 953-980, 06. [Downloadable!] (restricted)

    Cited by:

    1. Coleman Bazelon & Kent Smetters, 1999. "Discounting Inside the Washington D.C. Beltway," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 213-228, Fall. [Downloadable!] (restricted)
    2. Waldenström, Daniel, 2005. "Does Sovereign Risk Differ for Domestic and Foreign Investors? Historical Evidence from Scandinavian Bond Markets," Working Paper Series in Economics and Finance 585, Stockholm School of Economics, revised 18 Feb 2005. [Downloadable!]
    3. Dilip mookerhjee, 2005. "New Directions in Development Economics: Theory or Empirics? - Is There Too Little Theory in Development Economics?," Boston University - Department of Economics - Working Papers Series WP2005-028, Boston University - Department of Economics. [Downloadable!]
    4. Lombardo, Davide & Pagano, Marco, 1999. "Legal Determinants of the Return on Equity," CEPR Discussion Papers 2275, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    5. Meenagh, David & Minford, Patrick & Peel, David, 2006. "Simulating Stock Returns under switching regimes - a new test of market efficiency," Cardiff Economics Working Papers E2006/13, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
      Other versions:
    6. Glen Donaldson & Mark Kamstra & Lisa Kramer, 2003. "Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium," Working Paper 2003-4, Federal Reserve Bank of Atlanta. [Downloadable!]
    7. Matthew J. Clayton & Bjorn N. Jorgensen & Kenneth A. Kavajecz, 1999. "On the Formation and Structure of International Exchanges," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-057, New York University, Leonard N. Stern School of Business-. [Downloadable!]
      Other versions:
    8. Kugler, Peter & Weder di Mauro, Beatrice, 2005. "Why Are Returns on Swiss Franc Assets So Low? Rare Events May Solve the Puzzle," CEPR Discussion Papers 5181, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    9. Robert J. Shiller, 2005. "The Life-Cycle Personal Accounts Proposal for Social Security: An Evaluation," Cowles Foundation Discussion Papers 1504, Cowles Foundation, Yale University. [Downloadable!]
    10. Paolo Panteghini, 2001. "Corporate Tax Asymmetries under Investment Irreversibility," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    11. Voth, Hans-Joachim, 2002. "Why was Stock Market Volatility so High During the Great Depression? Evidence from 10 Countries During the Interwar Period," CEPR Discussion Papers 3254, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    12. John Geanakoplos & Michael Magill & Martine Quinzii, 2002. "Demography and the Long-run Predictability of the Stock Market," Cowles Foundation Discussion Papers 1380, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    13. Brian McCulloch & Jane Frances, 2001. "Financing New Zealand Superannuation," Treasury Working Paper Series 01/20, New Zealand Treasury. [Downloadable!]
    14. Robert J. Barro, 2005. "Rare Events and the Equity Premium," NBER Working Papers 11310, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    15. Ben Marshall & Martin Young & Rochester Cahan, 2008. "Are candlestick technical trading strategies profitable in the Japanese equity market?," Review of Quantitative Finance and Accounting, Springer, vol. 31(2), pages 191-207, August. [Downloadable!] (restricted)
    16. Davide Lombardo & Marco Pagano, 1999. "Law and Equity Markets: a Simple Model," CSEF Working Papers 25, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
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    17. Erik Hjalmarsson, 2008. "Predicting global stock returns," International Finance Discussion Papers 933, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    18. Richard W. Kopcke & Matthew S. Rutledge, 2004. "Stock prices and the equity premium during the recent bull and bear markets," New England Economic Review, Federal Reserve Bank of Boston, pages 63-85. [Downloadable!]
    19. G. A. Christodoulakis & E. C. Mamatzakis, 2009. "Assessing the prudence of economic forecasts in the EU," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 583-606. [Downloadable!]
    20. Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papers 505, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
      Other versions:
    21. David Prieul & Vladislav Putyatin & Tarek Nassar, 2001. "On pricing and reserving with-profits life insurance contracts," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(3), pages 145-166, September. [Downloadable!] (restricted)
    22. Michael R. King & Dan Segal, 2003. "Valuation of Canadian- vs. U.S.-Listed Equity: Is There a Discount?," Working Papers 03-6, Bank of Canada. [Downloadable!]
    23. Robert J. Shiller, 2005. "The Life-Cycle Personal Accounts Proposal for Social Security: A Review," NBER Working Papers 11300, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    24. Paolo M. Panteghini, 2008. "Corporate Debt, Hybrid Securities and the Effective Tax Rate," Working Papers 0804, University of Brescia, Department of Economics. [Downloadable!]
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    25. Paolo Panteghini, 2004. "Wide vs. Narrow Tax Bases under Optimal Investment Timing," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    26. Fernandez, Pablo, 2004. "Are calculated betas good for anything?," IESE Research Papers D/555, IESE Business School. [Downloadable!]
    27. Cédric Tille & Eric van Wincoop, 2008. "International Capital Flows under Dispersed Information: Theory and Evidence," NBER Working Papers 14390, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    28. Hans-Joachim Voth, 2003. "Convertibility, currency controls and the cost of capital in Western Europe, 1950-1999," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(3), pages 255-276. [Downloadable!]
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    29. Pagano, Marco & Röell, Ailsa A & Zechner, Josef, 2001. "The Geography of Equity Listing: Why Do Companies List Abroad?," CEPR Discussion Papers 2681, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    30. Beaulieu, Marie-claude & Cosset, Jean-Claude & Essaddam, Naceur, 2002. "The Impact of Political Risk on the Volatility of Stock Returns: the Case of Canada," Cahiers de recherche 0208, CIRPEE. [Downloadable!]
    31. Marie-Eve Lachance & Olivia S. Mitchell, 2002. "Understanding Individual Account Guarantees," NBER Working Papers 9195, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    32. Alexander Ljungqvist & Matthew Richardson, 2003. "The cash flow, return and risk characteristics of private equity," NBER Working Papers 9454, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    33. David A. Chapman, 2002. "Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 618-645, July. [Downloadable!] (restricted)
    34. Rui Alpalhão & Paulo Alves, 2005. "The Portuguese equity risk premium: what we know and what we don’t know," Applied Financial Economics, Taylor and Francis Journals, vol. 15(7), pages 489-498, April. [Downloadable!] (restricted)
    35. Fernandez, Pablo, 2006. "The equity premium in finance and valuation textbooks," IESE Research Papers D/657, IESE Business School. [Downloadable!]
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    36. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: A European perspective," Working Papers DULBEA 06-07.RS, Université libre de Bruxelles, Department of Applied Economics (DULBEA). [Downloadable!]
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    37. Kugler, Peter & Weder, Beatrice, 2002. "The Puzzle of the Swiss Interest Rate Island: Stylized Facts and a New Interpretation," Discussion Paper Series 26190, Hamburg Institute of International Economics. [Downloadable!]
    38. Kyri Kyriacou & Jacob Madsen & Bryan Mase, 2004. "The Equity Premium," Economics and Finance Discussion Papers 04-10, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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    39. Mark Kamstra, 2003. "Pricing firms on the basis of fundamentals," Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 49-70. [Downloadable!]
    40. John Geanakoplos & Michael Magill & Martine Quinzii, 2003. "Demography and the Long Run Behavior of the Stock Market," Levine's Bibliography 506439000000000269, UCLA Department of Economics. [Downloadable!]
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    41. Hans Joachim Voth, 2000. "With a Bang, not a Whimper: Pricking Germany's "Stock Market Bubble" in 1927 and the Slide into Depression," Economics Working Papers 516, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
      Other versions:
    42. Fernandez, Pablo, 2004. "Market risk premium: Required, historical and expected," IESE Research Papers D/574, IESE Business School. [Downloadable!]
    43. Fernandez, Pablo, 2008. "The equity premium in 100 textbooks," IESE Research Papers D/757, IESE Business School. [Downloadable!]
    44. Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group. [Downloadable!]
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    45. Anup Basu & Michael E. Drew, . "The Case for Gender Sensitive Superannuation Plan Design," Working Papers finance:200904, Department of Finance, Accounting, and Economics, Griffith University. [Downloadable!]
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    46. Harris Schlesinger & Christian Gollier, 2001. "Changes in Risk and Asset Prices," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    47. Francis Longstaff & Monika Piazzesi, 2003. "Corporate Earnings and the Equity Premium," NBER Working Papers 10054, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    48. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    49. Pierre-Cyrille Hautcoeur, 2006. "Why and how to measure stock market fluctuations? The early history of stock market indices, with special reference to the French case," PSE Working Papers 2006-10, PSE (Ecole normale supérieure). [Downloadable!]
    50. Aude Pommeret & Anne Epaulard, 2001. "Agents' Preferences, the Equity Premium, and the Consumption-Saving Trade-Off: An Application to French Data," IMF Working Papers 01/117, International Monetary Fund. [Downloadable!]
    51. Christopher J. Neely, 2001. "Risk-adjusted, ex ante, optimal technical trading rules in equity markets," Working Papers 1999-015, Federal Reserve Bank of St. Louis. [Downloadable!]
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    52. Clemens Sialm, 2002. "Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium," NBER Working Papers 9301, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    53. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  14. Brown, Stephen J & Goetzmann, William N & Ibbotson, Roger G, 1999. "Offshore Hedge Funds: Survival and Performance, 1989-95," Journal of Business, University of Chicago Press, vol. 72(1), pages 91-117, January. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  15. Stephen J. Brown & William N. Goetzmann & Alok Kumar, 1998. "The Dow Theory: William Peter Hamilton's Track Record Reconsidered," Journal of Finance, American Finance Association, vol. 53(4), pages 1311-1333, 08. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  16. Goetzmann, William N & Spiegel, Matthew, 1997. "A Spatial Model of Housing Returns and Neighborhood Substitutability," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 11-31, Jan.-Marc. [Downloadable!] (restricted)
    Other versions:

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  17. Brown, Stephen J. & Goetzmann, William N., 1997. "Mutual fund styles," Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March. [Downloadable!] (restricted)
    Other versions:

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  18. Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson & Stephen A. Ross, 1997. "Rejoinder: The J-Shape Of Performance Persistence Given Survivorship Bias," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 167-170, May. [Downloadable!] (restricted)

    Cited by:

    1. Stephen Brown, 1999. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-077, New York University, Leonard N. Stern School of Business-. [Downloadable!]
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  19. Goetzmann, William N & Spiegel, Matthew, 1995. "Non-temporal Components of Residential Real Estate Appreciation," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 199-206, February. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  20. Brown, Stephen J & Goetzmann, William N, 1995. " Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-98, June. [Downloadable!] (restricted)
    Other versions:

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  21. William N. Goetzmann & Susan M. Wachter, 1995. "Clustering Methods for Real Estate Portfolios," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(3), pages 271-310. [Downloadable!] (restricted)
    Other versions:

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  22. Goetzmann, William N & Jorion, Philippe, 1995. "A Longer Look at Dividend Yields," Journal of Business, University of Chicago Press, vol. 68(4), pages 483-508, October. [Downloadable!] (restricted)
    Other versions:

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  23. Brown, Stephen J & Goetzmann, William N & Ross, Stephen A, 1995. " Survival," Journal of Finance, American Finance Association, vol. 50(3), pages 853-73, July. [Downloadable!] (restricted)

    Cited by:

    1. Fabio Panetta & Roberto Violi, 1999. "Is there an Equity Premium Puzzle in Italy? A Look at Asset Returns, Consumption and Financial Structure Data over the Last Century," Temi di discussione (Economic working papers) 353, Bank of Italy, Economic Research Department. [Downloadable!]
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    2. Simon Stevenson, 2004. "A performance evaluation of portfolio managers: tests of micro and macro forecasting," European Journal of Finance, Taylor and Francis Journals, vol. 10(5), pages 391-411, October. [Downloadable!] (restricted)
    3. Edward McLaney & John Pointon & Melanie Thomas & Jon Tucker, 2004. "Practitioners' perspectives on the UK cost of capital," European Journal of Finance, Taylor and Francis Journals, vol. 10(2), pages 123-138, April. [Downloadable!] (restricted)
    4. Marcus Miller & Paul Weller & Lei Zhang, 2002. "Moral Hazard and the US Stock Market: Analysing the "Greenspan Put"," Economic Journal, Royal Economic Society, vol. 112(478), pages C171-C186, March. [Downloadable!] (restricted)
      Other versions:
    5. Rui Alpalhão & Paulo Alves, 2005. "The Portuguese equity risk premium: what we know and what we don’t know," Applied Financial Economics, Taylor and Francis Journals, vol. 15(7), pages 489-498, April. [Downloadable!] (restricted)
    6. Fernandez, Pablo, 2008. "The equity premium in finance and valuation textbooks," IESE Research Papers D/745, IESE Business School. [Downloadable!]
      Other versions:
    7. P. Solibakke, 2005. "Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the norwegian thinly traded equity market," European Journal of Finance, Taylor and Francis Journals, vol. 11(2), pages 111-136, April. [Downloadable!] (restricted)
    8. Marco Taboga, 2004. "The equity premium in the long-run," Applied Financial Economics, Taylor and Francis Journals, vol. 14(9), pages 645-650, June. [Downloadable!] (restricted)
    9. Livio Stracca & David Fielding, 2003. "Myopic loss aversion; disappointment aversion; and the equity premium puzzle," Working Paper Series 203, European Central Bank. [Downloadable!]
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  24. Abraham, Jesse M. & Goetzmann, William N. & Wachter, Susan M., 1994. "Homogeneous Groupings of Metropolitan Housing Markets," Journal of Housing Economics, Elsevier, vol. 3(3), pages 186-206, September. [Downloadable!] (restricted)

    Cited by:

    1. Theodore M. Crone, 2003. "An alternative definition of economic regions in the U.S. based on similarities in state business cycles," Working Papers 03-23, Federal Reserve Bank of Philadelphia. [Downloadable!]
    2. Clifford Lipscomb & Michael Farmer, 2005. "Household diversity and market segmentation within a single neighborhood," The Annals of Regional Science, Springer, vol. 39(4), pages 791-810, December. [Downloadable!] (restricted)

  25. Goetzmann, William Nelson & Jorion, Philippe, 1993. " Testing the Predictive Power of Dividend Yields," Journal of Finance, American Finance Association, vol. 48(2), pages 663-79, June. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  26. Goetzmann, William Nelson, 1993. "The Single Family Home in the Investment Portfolio," The Journal of Real Estate Finance and Economics, Springer, vol. 6(3), pages 201-22, May.
    Other versions:

    See citations under working paper version above.

  27. Goetzmann, William Nelson, 1993. "Patterns in Three Centuries of Stock Market Prices," Journal of Business, University of Chicago Press, vol. 66(2), pages 249-70, April. [Downloadable!] (restricted)

    Cited by:

    1. Lux, Thomas, 2003. "The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting," Economics Working Papers 2003,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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    2. Christian Pierdzioch, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913," Kiel Working Papers 1213, Kiel Institute for the World Economy. [Downloadable!]
    3. Earl A. Thompson & Jonathan Treussard & Charles R. Hickson, 2004. "Predicting Bubbles and Bubbles-Substitutes," UCLA Economics Working Papers 836, UCLA Department of Economics. [Downloadable!]
    4. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    5. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. William N. Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," NBER Working Papers 5901, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  28. Goetzmann, William N, 1993. "Accounting for Taste: Art and the Financial Markets over Three Centuries," American Economic Review, American Economic Association, vol. 83(5), pages 1370-76, December. [Downloadable!] (restricted)

    Cited by:

    1. Locatelli-Biey, Marilena & Zanola, Roberto, 2000. "The Market for Sculptures: an Adjacent Year Regression Index," P.O.L.I.S. department's Working Papers 14, Department of Public Policy and Public Choice - POLIS. [Downloadable!]
    2. Kerr, Suzi & Sanchirico, James & Newell, Richard, 2002. "Fishing Quota Markets," Discussion Papers dp-02-20, Resources For the Future. [Downloadable!]
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    3. James Pesando & Pauline Shum, 1999. "The Returns to Picasso's Prints and to Traditional Financial Assets, 1977 to 1996," Journal of Cultural Economics, Springer, vol. 23(3), pages 181-190, August. [Downloadable!] (restricted)
    4. Kim Oosterlinck, 2009. "The Price of Degenerate Art," Working Papers CEB 09-031.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
    5. Campos, Nauro F. & Leite Barbosa, Renata, 2008. "Paintings and Numbers: An Econometric Investigation of Sales Rates, Prices and Returns in Latin American Art Auctions," IZA Discussion Papers 3445, Institute for the Study of Labor (IZA). [Downloadable!]
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    6. G. Candela & A. Scorcu, 1997. "A Price Index for Art Market Auctions," Journal of Cultural Economics, Springer, vol. 21(3), pages 175-196, September. [Downloadable!] (restricted)
    7. Richard J. Agnello, 2002. "Investment Returns and Risk for Art: Evidence from Auctions of American Paintings," Eastern Economic Journal, Eastern Economic Association, vol. 28(4), pages 443-463, Fall. [Downloadable!]
    8. Olivier Chanel & Louis-André Gérard-Varet & Victor Ginsburgh, 1996. "The relevance of hedonic price indices," Journal of Cultural Economics, Springer, vol. 20(1), pages 1-24, March. [Downloadable!] (restricted)
    9. Alan Beggs & Kathryn Graddy, 2008. "Failure to meet the reserve price: the impact on returns to art," Journal of Cultural Economics, Springer, vol. 32(4), pages 301-320, December. [Downloadable!] (restricted)
      Other versions:
    10. Elisabetta Lazzaro, 2006. "Assessing Quality in Cultural Goods: The Hedonic Value of Originality in Rembrandt's Prints," Journal of Cultural Economics, Springer, vol. 30(1), pages 15-40, March. [Downloadable!] (restricted)
    11. Orley Ashenfelter & Kathryn Graddy, 2002. "Art Auctions: A Survey of Empirical Studies," NBER Working Papers 8997, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Sanning, Lee W. & Shaffer, Sherrill & Sharratt, Jo Marie, 2007. "Alternative investments: the case of wine," Working Papers 37322, American Association of Wine Economists. [Downloadable!]
    13. G. Candela & P. Figini & A. E. Scorcu, 2003. "Price indices for artists - A proposal," Working Papers 491, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
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    14. Corinna Czujack, 1997. "Picasso Paintings at Auction, 1963–1994," Journal of Cultural Economics, Springer, vol. 21(3), pages 229-247, September. [Downloadable!] (restricted)
    15. Andrew C. Worthington & Helen Higgs, 2001. "Art as an Investment: Risk, Return and Comovements in Major Painting Markets," School of Economics and Finance Discussion Papers and Working Papers Series 093, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    16. Werner Pommerehne & Lars Feld, 1997. "The Impact of Museum Purchase on the Auction Prices of Paintings," Journal of Cultural Economics, Springer, vol. 21(3), pages 249-271, September. [Downloadable!] (restricted)
    17. Bruno Frey, 1997. "Art Markets and Economics: Introduction," Journal of Cultural Economics, Springer, vol. 21(3), pages 165-173, September. [Downloadable!] (restricted)
    18. Marilena Locatelli Biey & Roberto Zanola, 1999. "Investment in Paintings: A Short-Run Price Index," Journal of Cultural Economics, Springer, vol. 23(3), pages 209-219, August. [Downloadable!] (restricted)
    19. Richard Agnello & Renée Pierce, 1996. "Financial returns, price determinants, and genre effects in American art investment," Journal of Cultural Economics, Springer, vol. 20(4), pages 359-383, December. [Downloadable!] (restricted)
    20. Kathryn Graddy & Orley Ashenfelter, 2002. "Auctions and the Price of Art," Economics Series Working Papers 131, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:
    21. Marilena Locatelli-Biey & Roberto Zanola, 2002. "The Sculpture Market: An Adjacent Year Regression Index," Journal of Cultural Economics, Springer, vol. 26(1), pages 65-78, February. [Downloadable!] (restricted)
    22. Min Hwang & John Quigley, 2006. "Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values," Berkeley Program on Housing and Urban Policy, Working Paper Series 1046, Berkeley Program on Housing and Urban Policy. [Downloadable!]
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    23. Merijn Rengers & Olav Velthuis, 2002. "Determinants of Prices for Contemporary Art in Dutch Galleries, 1992–1998," Journal of Cultural Economics, Springer, vol. 26(1), pages 1-28, February. [Downloadable!] (restricted)
    24. Leslie Singer & Gary Lynch, 1997. "Are Multiple Art Markets Rational?," Journal of Cultural Economics, Springer, vol. 21(3), pages 197-218, September. [Downloadable!] (restricted)
    25. Aylin Seçkin & Erdal Atukeren, 2006. "Art and the Economy: A First Look at the Market for Paintings in Turkey," Economics Bulletin, Economics Bulletin, vol. 26(3), pages 1-13. [Downloadable!]
    26. Nicoletta Marinelli & Giulio Palomba, . "A Model for Pricing the Italian Contemporary Art Paintings at Auction," EHUCHAPS, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). [Downloadable!]
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    27. Andrew C. Worthington & Helen Higgs, 2003. "Risk, return and portfolio diversification in major painting markets: The application of conventional financial analysis to unconventional investments," School of Economics and Finance Discussion Papers and Working Papers Series 148, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    28. Helen Higgs & Andrew C Worthington, 2004. "Financial returns and price determinants in the Australian art market, 1973-2003," School of Economics and Finance Discussion Papers and Working Papers Series 184, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    29. Holger Bonus & Dieter Ronte, 1997. "Credibility and Economic Value in the Visual Arts," Journal of Cultural Economics, Springer, vol. 21(2), pages 103-118, June. [Downloadable!] (restricted)
    30. Richard J. Agnello, 2006. "Do U.S. Paintings Follow the CAPM? Findings Disaggregated by Subject, Artist, and Value of the Work," Working Papers 06-02, University of Delaware, Department of Economics. [Downloadable!]

  29. Goetzmann, William Nelson, 1992. "The Accuracy of Real Estate Indices: Repeat Sale Estimators," The Journal of Real Estate Finance and Economics, Springer, vol. 5(1), pages 5-53, March.
    Other versions:

    See citations under working paper version above.

  30. William N. Goetzmann & Roger G. Ibbotson, 1990. "The Performance Of Real Estate As An Asset Class," Journal of Applied Corporate Finance, Morgan Stanley, vol. 3(1), pages 65-76. [Downloadable!] (restricted)

    Cited by:

    1. Marjorie Flavin & Shinobu Nakagawa, 2004. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers 10458, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Theodore M. Crone & Richard P. Voith, 1998. "Risk and return within the single-family housing market," Working Papers 98-4, Federal Reserve Bank of Philadelphia. [Downloadable!]
    3. Fuad Hasanov & Douglas Dacy, 2005. "Measuring and Analyzing Returns on Aggregate Residential Housing," Finance 0510005, EconWPA. [Downloadable!]
    4. Loriana Pelizzon & Guglielmo Weber, 2006. "Are Household Portfolios Efficient? An Analysis Conditional on Housing," Working Papers 2006_55, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
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    5. Jaroslaw Morawski & Heinz Rehkugler & Roland Füss, 2008. "The nature of listed real estate companies: property or equity market?," Financial Markets and Portfolio Management, Springer, vol. 22(2), pages 101-126, June. [Downloadable!] (restricted)
    6. A.B. Berkelaar & R. Kouwenberg, 1999. "Investing in a real world with mean-reverting inflation," Econometric Institute Report 182, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    7. Marjorie Flavin & Takashi Yamashita, 1998. "Owner-Occupied Housing and the Composition of the Household Portfolio Over the Life-Cycle," NBER Working Papers 6389, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. de Roon, Frans & Eichholtz, Piet & Koedijk, Kees, 2002. "The Portfolio Implications of Home Ownership," CEPR Discussion Papers 3501, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    9. Marjorie Flavin & Takashi Yamashita, 1998. "Owner-Occupied Housing and the Composition of the Household Portfolio over the Life Cycle," University of California at San Diego, Economics Working Paper Series 98-02, Department of Economics, UC San Diego. [Downloadable!]
    10. Marjorie Flavin & Takashi Yamashita, 1998. "Owner-Occupied Housing and the Composition of the Household Portfolio over the Life Cycle," University of California at San Diego, Economics Working Paper Series 1998-02, Department of Economics, UC San Diego. [Downloadable!]
    11. Theodore M. Crone & Richard P. Voith, 1996. "Risk and return in the single-family housing market," Working Papers 96-16, Federal Reserve Bank of Philadelphia. [Downloadable!]

Chapters

  1. Sharon Oster & William N. Goetzmann, 2003. "Does Governance Matter? The Case of Art Museums," NBER Chapters, in: The Governance of Not-for-Profit Organizations, pages 71-100 National Bureau of Economic Research, Inc. [Downloadable!]

    Cited by:

    1. Bruno S. Frey & Stephan Meier, . "The Economics of Museums," IEW - Working Papers iewwp149, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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