- 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:
- William N. Goetzmann & Alok Kumar, 2004.
"Equity Portfolio Diversification,"
Yale School of Management Working Papers
ysm17, Yale School of Management.
[Downloadable!]
- William N. Goetzmann & Alok Kumar, 2001.
"Equity Portfolio Diversification,"
NBER Working Papers
8686, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Alok Kumar & William N. Goetzmann, 2001.
"Equity Portfolio Diversification,"
Yale School of Management Working Papers
ysm236, Yale School of Management.
[Downloadable!]
See citations under working paper version above.
- 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:
- Arturo Bris & William N. Goetzmann & Ning Zhu, 2003.
"Efficiency and the Bear: Short Sales and Markets around the World,"
Yale School of Management Working Papers
ysm321, Yale School of Management.
[Downloadable!]
- 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)
- Arturo Bris & William Goetzmann & Ning Zhu, 2004.
"Efficiency and the Bear: Short Sales and Markets Around the World,"
Yale School of Management Working Papers
ysm327, Yale School of Management.
[Downloadable!]
- Arturo Bris & William N. Goetzmann & Ning Zhu, 2004.
"Efficiency and the Bear: Short Sales and Markets around the World,"
Yale School of Management Working Papers
ysm15, Yale School of Management.
[Downloadable!]
See citations under working paper version above.
- 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.
- 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:
- 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: - Hazer Inaltekin & Robert Jarrow & Mehmet Saglam & Yildiray Yildirim, 2009.
"Housing Market Microstructure,"
Quantitative Finance Papers
0907.1853, arXiv.org.
[Downloadable!]
- 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!]
- 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:
- William Goetzmann & Evan g. Gatev & K. Geert Rouwenhorst, 1998.
"Pairs Trading: Performance of a Relative Value Arbitrage Rule,"
Yale School of Management Working Papers
ysm3, Yale School of Management.
[Downloadable!]
- Evan Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 1998.
"Pairs Trading: Performance of a Relative Value Arbitrage Rule,"
Yale School of Management Working Papers
ysm26, Yale School of Management.
[Downloadable!]
- 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)
- William N. Goetzmann & Evan Geov Gatev & K. Geert Rouwenhorst, 1998.
"Pairs Trading: Performance of a Relative Value Arbitrage Rule,"
Yale School of Management Working Papers
ysm109, Yale School of Management.
[Downloadable!]
See citations under working paper version above.
- 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:
- William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2001.
"Long-Term Global Market Correlations,"
Yale School of Management Working Papers
ysm237, Yale School of Management.
[Downloadable!]
- William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2001.
"Long-Term Global Market Correlations,"
NBER Working Papers
8612, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- William N.Goetzmann & Lingfeng Li & K.Geert Rouwenhorst, 2003.
"Long-Term Global Market Correlations,"
DNB Staff Reports (discontinued)
98, Netherlands Central Bank.
[Downloadable!]
See citations under working paper version above.
- 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:
- 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)
- William N. Goetzmann & Ning Zhu, 2004.
"Rain or Shine: Where is the Weather Effect?,"
Yale School of Management Working Papers
ysm28, Yale School of Management.
[Downloadable!]
- William N. Goetzmann & Ning Zhu, 2002.
"Rain or Shine: Where is the Weather Effect?,"
Yale School of Management Working Papers
ysm296, Yale School of Management.
[Downloadable!]
See citations under working paper version above.
- 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.
- 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:
- Massimo Massa & William N. Goetzmann, 1998.
"Index Funds and Stock Market Growth,"
Yale School of Management Working Papers
ysm99, Yale School of Management.
[Downloadable!]
- William N. Goetzmann & Massimo Massa, 1999.
"Index Funds and Stock Market Growth,"
NBER Working Papers
7033, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Massimo Massa & William N. Goetzmann, 1999.
"Index Funds and Stock Market Growth,"
Yale School of Management Working Papers
ysm23, Yale School of Management.
[Downloadable!]
See citations under working paper version above.
- 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.
- 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.
- 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:
- 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)
- 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!]
- 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)
- 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!]
- 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:
- 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)
- 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!]
- 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!]
- 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: - 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:- 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)
- Meenagh, David & Minford, Patrick & Peel, David, 2007.
"Simulating stock returns under switching regimes - A new test of market efficiency,"
Economics Letters,
Elsevier, vol. 94(2), pages 235-239, February.
[Downloadable!] (restricted)
- 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!]
- 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: - 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)
- 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!]
- Paolo Panteghini, 2001.
"Corporate Tax Asymmetries under Investment Irreversibility,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Other versions: - 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)
- 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:- John Geanakoplos & Michael Magill & Martine Quinzii, 2002.
"Demography and the Long-run Predictability of the Stock Market,"
Cowles Foundation Discussion Papers
1380R, Cowles Foundation, Yale University, revised Jul 2004.
[Downloadable!]
- Author-Name: John Geanakoplos & Michael Magill & Martine Quinzii, 2004.
"Demography and the Long-Run Predictability of the Stock Market,"
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 35(2004-1), pages 241-326.
[Downloadable!]
- Brian McCulloch & Jane Frances, 2001.
"Financing New Zealand Superannuation,"
Treasury Working Paper Series
01/20, New Zealand Treasury.
[Downloadable!]
- Robert J. Barro, 2005.
"Rare Events and the Equity Premium,"
NBER Working Papers
11310, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- 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)
- 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!]
Other versions: - Erik Hjalmarsson, 2008.
"Predicting global stock returns,"
International Finance Discussion Papers
933, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
- 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!]
- 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!]
- 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:- Alon Brav & George M. Constantinides & Christopher C. Geczy, .
"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence,"
Rodney L. White Center for Financial Research Working Papers
23-99, Wharton School Rodney L. White Center for Financial Research.
[Downloadable!]
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999.
"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence,"
NBER Working Papers
7406, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002.
"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence,"
Journal of Political Economy,
University of Chicago Press, vol. 110(4), pages 793-824, August.
[Downloadable!] (restricted)
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002.
"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence,"
NBER Working Papers
8822, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- 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)
- 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!]
- 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)
- Paolo M. Panteghini, 2008.
"Corporate Debt, Hybrid Securities and the Effective Tax Rate,"
Working Papers
0804, University of Brescia, Department of Economics.
[Downloadable!]
Other versions: - Paolo Panteghini, 2004.
"Wide vs. Narrow Tax Bases under Optimal Investment Timing,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
- Fernandez, Pablo, 2004.
"Are calculated betas good for anything?,"
IESE Research Papers
D/555, IESE Business School.
[Downloadable!]
- 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: - 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!]
Other versions: - 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)
Other versions: - 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!]
- Marie-Eve Lachance & Olivia S. Mitchell, 2002.
"Understanding Individual Account Guarantees,"
NBER Working Papers
9195, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: - 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)
- 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)
- 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)
- Fernandez, Pablo, 2006.
"The equity premium in finance and valuation textbooks,"
IESE Research Papers
D/657, IESE Business School.
[Downloadable!]
Other versions: - 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!]
Other versions:- BEINE, Michel & PREUMONT, Pierre-Yves & SZAFARZ, Ariane, 2006.
"Sector diversification during crises: a European perspective,"
ULB Institutional Repository
06-07, ULB -- Universite Libre de Bruxelles.
[Downloadable!]
- BEINE, Michel & PREUMONT, Pierre-Yves & SZAFARZ, Ariane, 2006.
"Sector diversification during crises: a European perspective,"
ULB Institutional Repository
06-07.RS, ULB -- Universite Libre de Bruxelles.
[Downloadable!]
- 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!]
- 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: - Mark Kamstra, 2003.
"Pricing firms on the basis of fundamentals,"
Economic Review,
Federal Reserve Bank of Atlanta, issue Q1, pages 49-70.
[Downloadable!]
- 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!]
Other versions: - 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: - Fernandez, Pablo, 2004.
"Market risk premium: Required, historical and expected,"
IESE Research Papers
D/574, IESE Business School.
[Downloadable!]
- Fernandez, Pablo, 2008.
"The equity premium in 100 textbooks,"
IESE Research Papers
D/757, IESE Business School.
[Downloadable!]
- 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!]
Other versions: - 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!]
Other versions: - Harris Schlesinger & Christian Gollier, 2001.
"Changes in Risk and Asset Prices,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Other versions: - Francis Longstaff & Monika Piazzesi, 2003.
"Corporate Earnings and the Equity Premium,"
NBER Working Papers
10054, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:- Longstaff, Francis A. & Piazzesi, Monika, 2004.
"Corporate earnings and the equity premium,"
Journal of Financial Economics,
Elsevier, vol. 74(3), pages 401-421, December.
[Downloadable!] (restricted)
- Francis Longstaff & Monika Piazzesi, 2002.
"Corporate Earnings and the Equity Premium,"
University of California at Los Angeles, Anderson Graduate School of Management
1048, Anderson Graduate School of Management, UCLA.
[Downloadable!]
- George M. Constantinides, 2002.
"Rational Asset Prices,"
NBER Working Papers
8826, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: - 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!]
- 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!]
- 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: - Clemens Sialm, 2002.
"Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium,"
NBER Working Papers
9301, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: - 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)
- 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:
- 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)
- 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-.
- Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson, 1998.
"Offshore Hedge Funds: Survival and Performance, 1989-1995,"
Yale School of Management Working Papers
ysm104, Yale School of Management.
[Downloadable!]
See citations under working paper version above.
- 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:
- William N. Goetzmann & Stephen J. Brown & Alok Kumar, 1998.
"The Dow Theory: William Peter Hamilton's Track Record Re-Considered,"
Yale School of Management Working Papers
ysm85, Yale School of Management.
[Downloadable!]
- 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-.
- Stephen J. Brown & William N. Goetzmann & Alok Kumar, 2004.
"The Dow Theory: William Peter Hamilton's Track Record Re-considered,"
Yale School of Management Working Papers
ysm30, Yale School of Management.
[Downloadable!]
See citations under working paper version above.
- 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: See citations under working paper version above.
- 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: See citations under working paper version above.
- 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:
- 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:
- 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.
- 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: See citations under working paper version above.
- 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: See citations under working paper version above.
- 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: See citations under working paper version above.
- 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:
- 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: - 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)
- 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)
- 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: - 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)
- Fernandez, Pablo, 2008.
"The equity premium in finance and valuation textbooks,"
IESE Research Papers
D/745, IESE Business School.
[Downloadable!]
Other versions: - 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)
- 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)
- Livio Stracca & David Fielding, 2003.
"Myopic loss aversion; disappointment aversion; and the equity premium puzzle,"
Working Paper Series
203, European Central Bank.
[Downloadable!]
Other versions:- Fielding, David & Stracca, Livio, 2007.
"Myopic loss aversion, disappointment aversion, and the equity premium puzzle,"
Journal of Economic Behavior & Organization,
Elsevier, vol. 64(2), pages 250-268, October.
[Downloadable!] (restricted)
- 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:
- 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!]
- 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)
- 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.
- 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.
- 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:
- 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!]
Other versions: - 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!]
- Earl A. Thompson & Jonathan Treussard & Charles R. Hickson, 2004.
"Predicting Bubbles and Bubbles-Substitutes,"
UCLA Economics Working Papers
836, UCLA Department of Economics.
[Downloadable!]
- 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!]
- 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)
- 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:- Philippe Jorion & William N. Goetzmann, 2000.
"A Century of Global Stock Markets,"
NBER Working Papers
7565, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- William N. Goetzmann & Philippe Jorion, 1997.
"A Century of Global Stock Markets,"
Yale School of Management Working Papers
ysm53, Yale School of Management.
[Downloadable!]
- William N. Goetzmann & Philippe Jorion, 2004.
"A Century of Global Stock Markets,"
Yale School of Management Working Papers
ysm16, Yale School of Management.
[Downloadable!]
- 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:
- 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!]
- Kerr, Suzi & Sanchirico, James & Newell, Richard, 2002.
"Fishing Quota Markets,"
Discussion Papers
dp-02-20, Resources For the Future.
[Downloadable!]
Other versions: - 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)
- 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!]
- 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!]
Other versions:- Barbosa, Renata Leite & Campos, Nauro F, 2008.
"Paintings and Numbers: An Econometric Investigation of Sales Rates, Prices and Returns in Latin American Art Auctions,"
CEPR Discussion Papers
6806, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Nauro F. Campos & Renata Leite Barbosa, 2009.
"Paintings and numbers: an econometric investigation of sales rates, prices, and returns in Latin American art auctions,"
Oxford Economic Papers,
Oxford University Press, vol. 61(1), pages 28-51, January.
[Downloadable!] (restricted)
- 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)
- 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!]
- 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)
- 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: - 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)
- 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:- Ashenfelter, Orley C & Graddy, Kathryn, 2002.
"Art Auctions: A Survey of Empirical Studies,"
CEPR Discussion Papers
3387, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Orley Ashenfelter & Kathryn Graddy, 2002.
"Art Auctions: A Survey of Empirical Studies,"
Working Papers
121, Princeton University, Department of Economics, Center for Economic Policy Studies..
[Downloadable!]
- Sanning, Lee W. & Shaffer, Sherrill & Sharratt, Jo Marie, 2007.
"Alternative investments: the case of wine,"
Working Papers
37322, American Association of Wine Economists.
[Downloadable!]
- G. Candela & P. Figini & A. E. Scorcu, 2003.
"Price indices for artists - A proposal,"
Working Papers
491, Dipartimento Scienze Economiche, Universita' di Bologna.
[Downloadable!]
Other versions: - Corinna Czujack, 1997.
"Picasso Paintings at Auction, 1963–1994,"
Journal of Cultural Economics,
Springer, vol. 21(3), pages 229-247, September.
[Downloadable!] (restricted)
- 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!]
- 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)
- Bruno Frey, 1997.
"Art Markets and Economics: Introduction,"
Journal of Cultural Economics,
Springer, vol. 21(3), pages 165-173, September.
[Downloadable!] (restricted)
- 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)
- 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)
- 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: - 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)
- 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: - 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)
- Leslie Singer & Gary Lynch, 1997.
"Are Multiple Art Markets Rational?,"
Journal of Cultural Economics,
Springer, vol. 21(3), pages 197-218, September.
[Downloadable!] (restricted)
- 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!]
- 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!]
Other versions: - 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!]
- 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!]
- 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)
- 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!]
- 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.
- 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:
- 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)
- 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!]
- Fuad Hasanov & Douglas Dacy, 2005.
"Measuring and Analyzing Returns on Aggregate Residential Housing,"
Finance
0510005, EconWPA.
[Downloadable!]
- 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:- Pelizzon, Loriana & Weber, Guglielmo, 2008.
"Are Household Portfolios Efficient? an Analysis Conditional on Housing,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 43(02), pages 401-431, June.
[Downloadable!]
- Pelizzon, Loriana & Weber, Guglielmo, 2003.
"Are Household Portfolios Efficient? An Analysis Conditional on Housing,"
CEPR Discussion Papers
3890, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Loriana Pelizzon & Guglielmo Weber, 2006.
"Are Household Portfolios Efficient? An Analysis Conditional on Housing,"
"Marco Fanno" Working Papers
0021, Dipartimento di Scienze Economiche "Marco Fanno".
[Downloadable!]
- 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)
- 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!]
Other versions: - 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)
- 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)
- 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!]
- 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!]
- 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!]