Yale School of Management
Yale School of Management Working Papers
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2011
- amz2675 Anticipated and Repeated Shocks in Liquid Markets
by Hongjun Yan
2010
- amz2668 Securitizations in the 1920's
by William Goetzmann & Frank Newman - amz2667 Do Investment Banks' Relationships with Investors Impact Pricing? The Case of Convertible Bond Issues
by Heather Tookes & Brian Henderson
2009
- amz2662 Institutional Investors’ Investment Durations and Stock Return Anomalies: Momentum, Reversal, Accruals, Share Issuance and R&D Increases
by Martijn Cremers & Ankur Pareek - amz2652 Property Derivatives for Managing European Real-Estate Risk
by Frank Fabozzi & Robert Shiller & Radu Tunaru - amz2587 Understanding Inflation-Indexed Bond Markets
by John Campbell & Robert Shiller & Luis Viceira - amz2569 Computing VAR and AVaR in Infinitely Divisible Distributions
by Young Kim & Svetlozar Rachev & Michele Bianchi & Frank Fabozzi - amz2547 How Does Simplified Disclosure Affect Individuals' Mutual Fund Choices?
by John Beshears & James Choi & David Laibson & Brigitte Madrian - amz2545 Trust and Delegation
by Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz - amz2542 New Evidence on the First Financial Bubble
by Rik P. & William Goetzmann & K. Rouwenhorst - amz2517 The Impact of Earnings Surprises on Stock Returns: Theory and Evidence
by Panos Patatoukas & Hongjun Yan - amz2493 Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings
by Dennis Vink & Frank Fabozzi - amz2492 Possible Macroeconomic Consequences of Large Future Federal Government Deficits
by Ray Fair - amz2485 Thirty Years of Corporate Governance: Firm Valuation & Stock Returns
by Martijn Cremers & Allen Ferrell - amz2443 Analyzing Macroeconomic Forecastability
by Ray Fair - amz2434 A Discretionary Wealth Approach to Investment Policy
by Jarrod Wilcox & Frank Fabozzi - amz2426 Art and Money
by William Goetzmann & Luc Renneboog & Christophe Spaenjers - amz2418 The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation
by Mark Kamstra & Robert Shiller - amz2409 Has Macro Progressed?
by Ray Fair - amz2407 Does the Sarbanes-Oxley Act Have a Future?
by Roberta Romano - amz2395 Haircuts
by Andrew Metrick & Gary Gorton - amz2385 The Market for CEO Talent: Implications for CEO Compensation
by Martijn Cremers & Yaniv Grinstein - amz2383 Uncertainty and Valuations
by Martijn Cremers & Hongjun Yan - amz2365 Convertible Bond Arbitrageurs as Suppliers of Capital
by Darwin Choi & Mila Getmansky & Brian Henderson & Heather Tookes - amz2358 Securitized Banking and the Run on Repo
by Gary Gorton & Andrew Metrick
2008
- ysm86 The Role of Beta and Size in the Cross-Section of European Stock Returns
by Steven Heston & K. Rouwenhorst & Roberto Wessels - ysm34 Offshore Hedge Funds: Survival & Performance 1989-1995
by Stephen Brown & William Goetzmann & Roger Ibbotson - amz2656 Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk
by William Goetzmann & Akiko Watanabe & Masahiro Watanabe - amz2648 Natural Selection in Financial Markets: Does it Work?
by Hongjun Yan - amz2634 Social Identity and Preferences
by Daniel Benjamin & James Choi & A. Strickland - amz2632 Safety First Portfolio Insurance
by Mark Broadie & William Goetzmann - amz2604 Is Noise Trading Cancelled Out by Aggregation?
by Hongjun Yan - amz2561 Crises and Hedge Fund Risk
by Monica Billio & Mila Getmansky & Loriana Pelizzon - amz2560 The Flypaper Effect in Individual Investor Asset Allocation
by James Choi & David Laibson & Brigitte Madrian - amz2559 Estimating Operational Risk for Hedge Funds: The ?-Score
by Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz - amz2522 A Theory of Optimal Expropriation, Mergers and Industry Competition
by Arturo Bris & Neil Brisley - amz2519 $100 Bills on the Sidewalk: Suboptimal Investment in 401(K) Plans
by James Choi & David Laibson & Brigitte Madrian - amz2504 The Subprime Panic
by Gary Gorton - amz2500 Dynamic Competition, Innovation and Strategic Financing
by Matthew Spiegel & Heather Tookes - amz2499 Estimating Exchange Rate Equations Using Estimated Expectations
by Ray Fair - amz2466 How are Preferences Revealed?
by John Beshears & James Choi & David Laibson & Brigitte Madrian - amz2464 Internal Capital Markets and Corporate Politics in a Banking Group
by Martijn Cremers & Rocco Huang & Zacharias Sautner - amz2452 Should Benchmark Indices Have Alpha? Revisiting Performance
by Martijn Cremers & Antti Petajisto & Eric Zitzewitz - amz2429 Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors
by Geetesh Bhardwaj & Gary Gorton & K. Rouwenhorst - amz2402 Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion
by Suleyman Basak & Hongjun Yan - amz2394 Tiebreaker: Certification and Multiple Credit Ratings
by Dion Bongaerts & Martijn Cremers & William Goetzmann - amz2392 Simplification and Saving
by John Beshears & James Choi & David Laibson & Brigitte Madrian - amz2387 Estimating Term Structure Equations Using Macroeconomic Variables
by Ray Fair - amz2380 Nickels versus Black Swans: Reputation, Trading Strategies and Asset Prices
by Steven Malliaris & Hongjun Yan - amz2372 The Panic of 2007
by Gary Gorton - amz2369 Why Does the Law of One Price Fail? An Experiment on Index Mutual Funds
by James Choi & David Laibson & Brigitte Madrian
2007
- ysm403 Accounting: Labor, Capital and Product Markets
by Shyam Sunder - amz2660 Institutional Investors and Proxy Voting: The Impact of the 2003 Mutual Fund Voting Disclosure Regulation
by Martijn Cremers & Roberta Romano - amz2657 Reinforcement Learning and Savings Behavior
by James Choi & David Laibson & Brigitte Madrian & Andrew Metrick - amz2614 Heterogeneous Expectations and Bond Markets
by Wei Xiong & Hongjun Yan & Review Financial - amz2605 The Fundamentals of Commodity Futures Returns
by Gary Gorton & Fumio Hayashi & K. Rouwenhorst - amz2582 The Chinese Bond Market: Historical Lessons, Present Challenges and Future Perspectives
by Haizhou Huang & Ning Zhu - amz2575 Auditor Liability Reforms in the UK and the US: A Comparative Review
by Tim Bush & Shyam Sunder & Stella Fearnley - amz2572 Uniform Financial Reporting Standards: Reconsidering the Top-Down Push
by Shyam Sunder - amz2557 Understanding Recent Trends in House Prices and Home Ownership
by Robert Shiller - amz2549 The Benefits of Aggregate Performance Metrics in the Presence of Career Concerns
by Anil Arya & Brian Mittendorf - amz2531 Tax Expense Surprises and Future Returns
by Jacob Thomas & Frank Zhang - amz2524 The Dynamics of Large and Small Chapter 11 Cases: An Empirical Study
by Douglas Baird & Arturo Bris & Ning Zhu - amz2503 Collateralized Debt Obligations and Credit Risk Transfer
by Douglas Lucas & Laurie Goodman & Frank Fabozzi - amz2495 Securitization: The Tool of Financial Transformation
by Frank Fabozzi & Vinod Kothari - amz2491 Takeover Defenses and Competition
by Martijn Cremers & Vinay Nair & Urs Peyer - amz2489 The Promise and Peril of Corporate Governance Indices
by Sanjai Bhagat & Brian Bolton & Roberta Romano - amz2448 An Economy with Personal Currency: Theory and Evidence
by Martin Angerer & Juergen Huber & Martin Shubik & Shyam Sunder - amz2438 Economizing Principle in Accounting Research
by Shyam Sunder - amz2436 Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models
by Robert Shiller - amz2432 Non-Monotonicity of the Tversky-Kahneman Probability-Weighting Function: A Cautionary Note
by Jonathan Ingersoll - amz2389 Presidential and Congressional Vote-Share Equations
by Ray Fair
2006
- ysm280 Liquidity and Financial Market Runs
by Antonio Bernardo & Ivo Welch - amz2643 Interpreting the Predictive Uncertainty of Elections
by Ray Fair & Cowles Discussion & Yale Working - amz2609 Commodity Futures: A Japanese Perspective
by Gary Gorton & Fumio Hayashi & K. Rouwenhorst - amz2602 A Breakdown of the Valuation Effects of International Cross-Listing
by Arturo Bris & Salvatore Cantale & George Nishiotis - amz2590 A Comparison of Five Federal Reserve Chairmen: Was Greenspan the Best?
by Ray Fair - amz2578 Regulation, Competition and Independence in a Certification Society: Financial Reports Vs. Baseball Cards
by Shyam Sunder & Karim Jamal - amz2523 Multifactor Efficiency and Bayesian Inference
by Martijn Cremers - amz2483 Evaluating Inflation Targeting Using a Macroeconometric Model
by Ray Fair - amz2476 Simulating Real Estate in the Investment Portfolio: Model Uncertainty and Inflation Hedging
by William Goetzmann & Eduardas Valaitis - amz2472 Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
by Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz - amz2445 How do Conflicting Theories about Financial Markets Coexist?
by Wesley Phoa & Sergio Focardi & Frank Fabozzi - amz2370 How Active is Your Fund Manager? A New Measure That Predicts Performance
by Martijn Cremers & Antti Petajisto - amz2357 Will the Smart Institutional Investor Always Drive Prices to Fundamental Value?
by Wentworth Boynton & Steven Jordan
2005
- ysm457 Institutional Perspectives on Real Estate Investing: The Role of Risk and Uncertainty
by Ravi Dhar & William Goetzmann - ysm456 The Performance of Real Estate Portfolios: A Simulation Approach
by Jeffrey Fisher & William Goetzmann - ysm454 Why Do Individual Investors Hold Under-Diversified Portfolios?
by William N. Goetzmann & Alok Kumar - ysm452 Portfolio Diversification, Proximity Investment and City Agglomeration
by William N. Goetzmann & Massimo Massa & Andrei Simonov - ysm451 Performance Persistence
by William N. Goetzmann & Stephen J. Brown - ysm449 More Social Security, Not Less
by William Goetzmann - ysm448 History and the Equity Risk Premium
by William Goetzmann & Roger Ibbotson - ysm447 Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias
by William N. Goetzmann & Massimo Massa - ysm446 Bubble Investors: What Were They Thinking?
by Ravi Dhar & William Goetzmann - ysm445 British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach
by William Goetzmann & Andrey Ukhov - ysm444 Dispersion of Opinion and Stock Returns
by William N. Goetzmann & Massimo Massa - ysm367 How Did Japanese Investments Influence International Art Prices?
by Takato Hiraki & Akitoshi Ito & Darius Spieth & Naoya Takezawa - ysm353 Estimating the Dynamics of Mutual Fund Alphas and Betas
by Matthew Spiegel & Harry Mamaysky & Hong Zhang - amz2658 Good Stewards, Cheap Talkers, or Family Men? The Impact of Mutual Fund Closures on Fund Managers, Flows, Fees, and Performance
by Arturo Bris & Huseyin Gulen & Padmaja Kadiyala & Raghavendra Rau - amz2640 A Textbook Example of International Price Discrimination
by Christos Cabolis & Sofronis Clerides & Ioannis Ioannou & Daniel Senft - amz2638 Pricing Electronic Mail to Solve the Problem of Spam
by Robert Kraut & Shyam Sunder & Rahul Telang & James Morris - amz2633 Stock Return Dynamics Under Earnings Management
by Xiaotong Wang - amz2629 Policy Effects in the Post Boom U.S. Economy
by Ray Fair - amz2625 The States as a Laboratory: Legal Innovation and State Competition for Corporate Charters
by Roberta Romano - amz2601 Is Regulatory Competition a Problem or Irrelevant for Corporate Governance?
by Roberta Romano - amz2597 The A,B,Cs of Hedge Funds: Alphas, Betas, and Costs
by Roger Ibbotson & Peng Chen - amz2595 A Note on Erb and Harvey (2005)
by Gary Gorton & K. Rouwenhorst - amz2581 Sign Tests for Dependent Observations and Bounds for Path-Dependent Options
by Donald Brown & Rustam Ibragimov - amz2564 Behavioral Economics and Institutional Innovation
by Robert Shiller - amz2540 Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk
by Matthew Spiegel & Xiaotong Wang - amz2538 Extraterritorial Courts for Corporate Law
by Henry Hansmann & Jens Dammann - amz2535 The Life-Cycle Personal Accounts Proposal for Social Security: An Evaluation
by Robert Shiller - amz2527 Natural Concepts in Macroeconomics
by Ray Fair - amz2525 Social Norms versus Standards of Accounting
by Shyam Sunder - amz2520 Empirical Studies of Corporate Law
by Sanjai Bhagat & Roberta Romano & Yale Working - amz2514 Accounting and Litigation Risk
by Zhiyan Cao & Ganapathi Narayanamoorthy - amz2513 Human Capital, Asset Allocation, and Life Insurance
by Roger Ibbotson & Peng Chen & Moshe Milevsky & Xingnong Zhu - amz2470 Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry
by Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum - amz2455 The Value of Investor Protection: Firm Evidence from Cross-Border Mergers
by Arturo Bris & Christos Cabolis - amz2393 Takeovers and the Cross-Section of Returns
by Martijn Cremers & Vinay Nair & Kose John - amz2390 Branch Rickey's Equation Fifty Years Later
by Ray Fair & Danielle Catambay - amz2386 Portfolio Diversification and Value At Risk Under Thick-Tailedness
by Rustam Ibragimov - amz2379 The Effect of Litigation Risk on Management Earnings Forecasts
by Zhiyan Cao & Ganapathi Narayanamoorthy - amz2375 The Costs of Bankruptcy
by Arturo Bris & Ivo Welch & Ning Zhu - amz2361 Improved Forecasting of Mutual Fund Alphas and Betas
by Matthew Spiegel & Harry Mamaysky & Hong Zhang - amz2360 Information Asymmetry and the Problem of Transfers in Trade Negotiations and International Agencies
by Koichi Hamada & Shyam Sunder
2004
- ysm9 China and the World Financial Markets 1870-1930:
by William N. Goetzmann & Andrey Ukhov & Ning Zhu - ysm7 An Emerging Market: The NYSE From 1815 to 1871
by William N. Goetzmann & Roger G. Ibbotson - ysm6 An Analysis of the Relative Performance of Japanese and Foreign Money Management
by William N. Goetzmann & Stephen J. Brown & Takato Hiraki & Noriyoshi Shiraishi - ysm5 A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability
by William N. Goetzmann & ROGER G. IBBOTSON & LIANG PENG - ysm455 Will History Rhyme? The Past as Financial Future
by William Goetzmann - ysm453 Short-Sales in Global Perspective
by Arturo Bris & William Goetzmann & Ning Zhu - ysm450 The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control
by William Goetzmann & Elisabeth Köll - ysm443 The Role of the Market Maker in International Capital Markets: Challenges and Benefits of Implementation in Emerging Markets
by Marios Panayides & Andreas Charitou - ysm442 The Specialist`s Participation in Quoted Prices and the NYSE`s Price Continuity Rule
by Marios Panayides - ysm435 Families, Human Capital, and Small Business: Evidence from the Characteristics of Business Owners Survey
by Robert W. Fairlie & Alicia Robb - ysm434 Is Dualism Worth Revisiting?
by Gustav Ranis - ysm433 The Edgeworth, Cournot and Walrasian Cores
by Martin Shubik - ysm429 Turning Over Turnover
by Martijn Cremers & Jianping Mei - ysm428 Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence
by Peter C.B. Phillips & Donggyu Sul - ysm427 Long Run Variance Estimation Using Steep Origin Kernels Without Truncation
by Peter C.B. Phillips & Sainan Jin & Yixiao Sun - ysm426 Prewhitening Bias in HAC Estimation
by Peter C.B. Phillips & Chi-Young Choi & Donggyu Sul - ysm425 Liquidity Black Holes
by Stephen Morris & Hyun Song Shin - ysm424 Risk and Wealth in a Model of Self-Fulfilling Currency Attacks
by Stephen Morris & Bernardo Guimaraes - ysm423 Two Statistical Problems in the Princeton Project on the European Fertility Transition
by Timothy W. Guinnane & John Christopher Brown - ysm421 On the Empirical Content of Quantal Response Equilibrium
by Philip A. Haile & Ali Hortacsu & Grigory Kosenok - ysm420 Wage Rentals for Reproducible Human Capital: Evidence from Ghana and the Ivory Coast
by T. Paul Schultz - ysm419 Fertility, Child Work and Schooling Consequences of Family Planning Programs: Evidence from an Experiment in Rural Bangladesh
by Nistha Sinha - ysm418 Building Criminal Capital Behind Bars: Social Learning in Juvenile Corrections
by Patrick J. Bayer & Randi Pintoff & David Emanuel Pozen - ysm417 Privatizing Highways in Latin America: Is it Possible to Fix What Went Wrong?
by Eduardo M. Engel & Ronald D. Fischer & Alexander Galetovic - ysm415 Estimating Equilibrium Models of Sorting Across Locations
by Patrick J. Bayer & Christopher D. Timmins - ysm414 Incidental Trends and the Power of Panel Unit Root Tests
by Peter C.B. Phillips & Hyungsik Roger Moon & Benoit Perron - ysm412 Pouring Money Down the Drain? How Sunk Investments and Signing Bonuses can Improve Employee Incentives
by Anil Arya & Hans Frimor & Brian Mittendorf - ysm411 A Note on the Equilibrium Properties of Locational Sorting Models
by Patrick J. Bayer & Christopher D. Timmins - ysm410 An Equilibrium Model of Sorting in an Urban Housing Market: The Causes and Consequences of Residential Segregation
by Patrick J. Bayer & Robert McMillan & Kim Rueben - ysm409 What Drives Racial Segregation? New Evidence Using Census Microdata
by Patrick J. Bayer & Robert McMillan & Kim Rueben - ysm408 Could Higher Taxes Increase the Long-Run Demand for Capital?: Theory and Evidence for Chile
by Eduardo M. Engel & Alvaro Bustos & Alexander Galetovic - ysm407 Intrahousehold Resource Allocation in Cote D'Ivoire: Social Norms, Separate Accounts and Consumption Choices
by Christopher R. Udry & Esther Duflo - ysm406 The Ideal Inflation Indexed Bond and Irving Fisher's Impatience Theory of Interest in an Overlapping Generations World
by John Geanakoplos - ysm405 Monotone Preferences Over Information
by Juan Dubra & Federico Echenique - ysm404 Expected Utility Without the Completeness Axiom
by Juan Dubra & Fabio Maccheroni & Efe A. Ok - ysm401 Cross-section Regression with Common Shocks
by Donald W.K. Andrews - ysm400 Real Determinacy with Nominal Assets
by John Geanakoplos & Pradeep K. Dubey - ysm399 Child Labor
by Christopher R. Udry - ysm391 Disagreement about Inflation Expectations
by N. Gregory Mankiw & Ricardo Augusto Marc Rocha Reis & Justin Wolfers - ysm389 Fundamental R&D Spillovers and the Internationalization of a Firm's Research Activities
by Robert Owen & Bernard Franck - ysm388 The Harmonic Fisher Equation and the Inflationary Bias of Real Uncertainty
by John Geanakoplos & Ioannis Karatzas & Martin Shubik & William D. Sudderth - ysm387 Multidimensional Private Value Auctions
by Stephen Morris & Hanming Fang - ysm386 Morale Hazard
by Hanming Fang & Giuseppe Moscarini - ysm380 Robust Mechanism Design
by Stephen Morris & Dirk Bergemann - ysm379 Strategic Freedom, Constraint, and Symmetry in One-period Markets with Cash and Credit Payment
by Martin Shubik & David Eric Smith - ysm378 Structure, Clearinghouses and Symmetry
by Martin Shubik & David Eric Smith - ysm377 Two New Proofs of Afriat's Theorem
by Herbert E. Scarf & Ana Fostel & Michael J. Todd - ysm375 Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction
by John C. Chao & Norman Rasmus Swanson - ysm374 Consistent Estimation with a Large Number of Weak Instruments
by John C. Chao & Norman Rasmus Swanson - ysm373 On Houseswapping, the Strict Core, Segmentation, and Linear Programming
by Thomas Quint & Jun Wako - ysm369 The Impact of Clientele Changes: Evidence from Stock Splits
by Ravi Dhar & William Goetzmann & Ning Zhu & EFA Moscow - ysm366 Human Resources in China: The Birth Quota, Returns to Schooling, and Migration
by T. Paul Schultz - ysm364 Buying Fields and Marrying Daughters: An Empirical Analysis of Rosca Auctions in a South Indian Village
by Stefan Klonner - ysm361 On Local and Network Games
by Martin Shubik & Thomas Quint - ysm360 Dynamic Price Competition
by Dirk Bergemann & Juuso Valimaki - ysm358 Human Capital, Schooling and Health Returns
by T. Paul Schultz - ysm351 Committee Design in the Presence of Communication
by Dino Gerardi & Leeat Yariv - ysm350 Indeterminacy of Citizen-candidate Equilibrium
by John E. Roemer - ysm349 Political Equilibrium with Private or/and Public Campaign Finance: A Comparison of Institutions
by John E. Roemer - ysm348 Eclectic Distributional Ethics
by John E. Roemer - ysm347 Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
by Peter C.B. Phillips & Sainan Jin & Yixiao Sun - ysm346 Beauty Contests, Bubbles and Iterated Expectations in Asset Markets
by Stephen Morris & Franklin Allen & Hyun Song Shin - ysm345 Communication and Monetary Policy
by Stephen Morris & Jeffery D. Amato & Hyun Song Shin - ysm344 End-of-Sample Cointegration Breakdown Tests
by Donald W.K. Andrews & Jae-Young Kim - ysm342 The Elusive Empirical Shadow of Growth Convergence
by Peter C.B. Phillips & Donggyu Sul - ysm341 Heterogeneity and Uniqueness in Interaction Games
by Stephen Morris & Hyun Song Shin - ysm340 Coordination, Communication and Common Knowledge: A Retrospective on the Electronic Mail Game
by Stephen Morris - ysm339 Catalytic Finance: When Does It Work?
by Stephen Morris & Hyun Song Shin - ysm338 China's Capital and Productivity Measurement Using Financial Resources
by Kui-Wai Li - ysm336 The Strong Law of Demand
by Donald J. Brown & Caterina Calsamiglia - ysm332 Who Refers To Whom: A Study of Research References and the Relationship between Research Reports and Final Publication
by Martin Shubik & Samuel McCarthy & Jianfeng Yu - ysm331 Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias
by William N. Goetzmann & Massimo Massa - ysm329 Tests of Independence in Separable Econometric Models
by Donald J. Brown - ysm327 Efficiency and the Bear: Short Sales and Markets around the World
by Arturo Bris & William Goetzmann & Ning Zhu