Publications
by alumni of
School of Management
Yale University
New Haven, Connecticut (United States)
These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |
Working papers
2024
- William N. Goetzmann & Akiko Watanabe & Masahiro Watanabe, 2024. "Procyclical Stocks Earn Higher Returns," NBER Working Papers 32509, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Dasol Kim & Robert J. Shiller, 2024. "Emotions and Subjective Crash Beliefs," NBER Working Papers 32589, National Bureau of Economic Research, Inc.
- Tobias J. Moskowitz & Chase P. Ross & Sharon Y. Ross & Kaushik Vasudevan, 2024. "Quantities and Covered-Interest Parity," NBER Working Papers 32707, National Bureau of Economic Research, Inc.
2023
- Dong Huang & William N. Goetzmann, 2023. "Selection-Neglect in the NFT Bubble," NBER Working Papers 31498, National Bureau of Economic Research, Inc.
- David Le Bris & William N. Goetzmann & Sébastien Pouget, 2023. "Convergent Evolution Toward the Joint-Stock Company," NBER Working Papers 31821, National Bureau of Economic Research, Inc.
- Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
2022
- William N. Goetzmann & Akiko Watanabe & Masahiro Watanabe, 2022. "Evidence on Retrieved Context: How History Matters," NBER Working Papers 29849, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Akiko Watanabe & Masahiro Watanabe, 2022. "Cohort Effects on Expected Co-Movement," NBER Working Papers 29949, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Dasol Kim & Robert J. Shiller, 2022. "Crash Narratives," NBER Working Papers 30195, National Bureau of Economic Research, Inc.
- Chase P. Ross, 2022. "The Collateral Premium and Levered Safe-Asset Production," Finance and Economics Discussion Series 2022-046, Board of Governors of the Federal Reserve System (U.S.).
- Chase P. Ross & Landon J. Ross, 2022. "Cash-Hedged Stock Returns," Finance and Economics Discussion Series 2022-055, Board of Governors of the Federal Reserve System (U.S.).
- Gary B. Gorton & Chase P. Ross & Sharon Y. Ross, 2022. "Making Money," NBER Working Papers 29710, National Bureau of Economic Research, Inc.
- Gary B. Gorton & Elizabeth C. Klee & Chase P. Ross & Sharon Y. Ross & Alexandros P. Vardoulakis, 2022. "Leverage and Stablecoin Pegs," NBER Working Papers 30796, National Bureau of Economic Research, Inc.
2021
- Van Nieuwerburgh, Stijn & Goetzmann, William & Spaenjers, Christophe, 2021.
"Real and Private Value Assets,"
CEPR Discussion Papers
16083, C.E.P.R. Discussion Papers.
- William N Goetzmann & Christophe Spaenjers & Stijn Van Nieuwerburgh, 2021. "Real and Private-Value Assets [Gendered prices]," The Review of Financial Studies, Society for Financial Studies, vol. 34(8), pages 3497-3526.
- William Goetzmann & Christophe Spaenjers & Stijn van Nieuwerburgh, 2021. "Real and Private-Value Assets," Working Papers hal-03501704, HAL.
- William N. Goetzmann & Christophe Spaenjers & Stijn Van Nieuwerburgh, 2021. "Real and Private-Value Assets," NBER Working Papers 28580, National Bureau of Economic Research, Inc.
- Goetzmann, William N. & Spaenjers, Christophe & Van Nieuwerburgh, Stijn, 2021. "Real and Private-Value Assets," HEC Research Papers Series 1421, HEC Paris.
- Silvia Iorgova, 2021. "Investor Information and Bank Instability During the Euro Crisis," IMF Working Papers 2021/005, International Monetary Fund.
2019
- David Le Bris & William Goetzmann & Sébastien Pouget, 2019.
"The present value relation over six centuries: The case of the Bazacle company,"
Post-Print
hal-02281530, HAL.
- le Bris, David & Goetzmann, William N. & Pouget, Sébastien, 2019. "The present value relation over six centuries: The case of the Bazacle company," Journal of Financial Economics, Elsevier, vol. 132(1), pages 248-265.
- Goetzmann, Will & Le Bris, David & Pouget, Sébastien, 2017. "The Present Value Relation Over Six Centuries: The Case of the Bazacle Company," TSE Working Papers 17-794, Toulouse School of Economics (TSE).
2018
- Li, Ye & Wang, Chen, 2018. "Rediscover Predictability: Information from the Relative Prices of Long-Term and Short-Term Dividends," Working Paper Series 2018-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
2017
- William N. Goetzmann & Dasol Kim, 2017.
"Negative Bubbles: What Happens After a Crash,"
NBER Working Papers
23830, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Dasol Kim, 2018. "Negative bubbles: What happens after a crash," European Financial Management, European Financial Management Association, vol. 24(2), pages 171-191, March.
2016
- William N. Goetzmann & Dasol Kim & Robert J. Shiller, 2016. "Crash Beliefs From Investor Surveys," NBER Working Papers 22143, National Bureau of Economic Research, Inc.
2015
- David Le Bris & William N. Goetzmann & Sébastien Pouget, 2015. "The Development of Corporate Governance in Toulouse: 1372-1946," NBER Working Papers 21335, National Bureau of Economic Research, Inc.
- William N. Goetzmann, 2015. "Bubble Investing: Learning from History," NBER Working Papers 21693, National Bureau of Economic Research, Inc.
- William Goetzmann & Simon Huang, 2015.
"Momentum in Imperial Russia,"
NBER Working Papers
21700, National Bureau of Economic Research, Inc.
- Goetzmann, William N. & Huang, Simon, 2018. "Momentum in Imperial Russia," Journal of Financial Economics, Elsevier, vol. 130(3), pages 579-591.
2014
- Spaenjers , Christophe & Goetzmann , William, 2014.
"The Economics of Aesthetics and Three Centuries of Art Price Records,"
HEC Research Papers Series
1055, HEC Paris.
- William Goetzmann & Elena Mamonova & Christophe Spaenjers, 2014. "The Economics of Aesthetics and Three Centuries of Art Price Records," NBER Working Papers 20440, National Bureau of Economic Research, Inc.
- David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
2012
- William N. Goetzmann & Sharon Oster, 2012.
"Competition Among University Endowments,"
NBER Working Papers
18173, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Sharon Oster, 2013. "Competition among University Endowments," NBER Chapters, in: How the Financial Crisis and Great Recession Affected Higher Education, pages 99-126, National Bureau of Economic Research, Inc.
2011
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2011.
"Art and Money,"
Post-Print
hal-00623450, HAL.
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2011. "Art and Money," American Economic Review, American Economic Association, vol. 101(3), pages 222-226, May.
- Goetzmann, W. & Renneboog, L.D.R. & Spaenjers, C., 2010. "Art and Money," Discussion Paper 2010-08, Tilburg University, Center for Economic Research.
- William Goetzmann & Luc Renneboog & Christophe Spaenjers, 2009. "Art and Money," Yale School of Management Working Papers amz2426, Yale School of Management, revised 01 Jan 2010.
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2009. "Art and Money," NBER Working Papers 15502, National Bureau of Economic Research, Inc.
- Goetzmann, W. & Renneboog, L.D.R. & Spaenjers, C., 2010. "Art and Money," Other publications TiSEM 53563a78-8ed3-49fc-83ec-5, Tilburg University, School of Economics and Management.
- Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "Large Deviation Theory and the Distribution of Price Changes," Working Papers hal-00601869, HAL.
- Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "Multifractality of US Dollar/Deutsche Mark Exchange Rates," Working Papers hal-00601871, HAL.
2010
- William N. Goetzmann & Frank Newman, 2010. "Securitization in the 1920's," NBER Working Papers 15650, National Bureau of Economic Research, Inc.
2009
- Dion Bongaerts & K.J. Martijn Cremers & William N. Goetzmann, 2009.
"Tiebreaker: Certification and Multiple Credit Ratings,"
NBER Working Papers
15331, National Bureau of Economic Research, Inc.
- Dion Bongaerts & K. J. Martijn Cremers & William N. Goetzmann, 2012. "Tiebreaker: Certification and Multiple Credit Ratings," Journal of Finance, American Finance Association, vol. 67(1), pages 113-152, February.
- Rik G.P. Frehen & William N. Goetzmann & K. Geert Rouwenhorst, 2009.
"New Evidence on the First Financial Bubble,"
NBER Working Papers
15332, National Bureau of Economic Research, Inc.
- Frehen, Rik G.P. & Goetzmann, William N. & Geert Rouwenhorst, K., 2013. "New evidence on the first financial bubble," Journal of Financial Economics, Elsevier, vol. 108(3), pages 585-607.
- Douglas W. Blackburn & William N. Goetzmann & Andrey D. Ukhov, 2009. "Risk Aversion and Clientele Effects," NBER Working Papers 15333, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Liang Peng & Jacqueline Yen, 2009.
"The Subprime Crisis and House Price Appreciation,"
NBER Working Papers
15334, National Bureau of Economic Research, Inc.
- William Goetzmann & Liang Peng & Jacqueline Yen, 2012. "The Subprime Crisis and House Price Appreciation," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 36-66, January.
- Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2009.
"Trust and Delegation,"
NBER Working Papers
15529, National Bureau of Economic Research, Inc.
- Brown, Stephen & Goetzmann, William & Liang, Bing & Schwarz, Christopher, 2012. "Trust and delegation," Journal of Financial Economics, Elsevier, vol. 103(2), pages 221-234.
- Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2009. "Trust and Delegation," Yale School of Management Working Papers amz2545, Yale School of Management, revised 13 Nov 2009.
- A. Fisher & Laurent-Emmanuel Calvet, 2009. "Multifractal Volatility: Theory, Estimation and Forecasting," Post-Print hal-00495925, HAL.
2008
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008.
"Multifrequency jump-diffusions: An equilibrium approach,"
Post-Print
hal-00459681, HAL.
- Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
- Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc.
- Laurent E. Calvet & Adlai Fisher, 2008. "Multifractal Volatility: Theory, Forecasting and Pricing," Post-Print hal-00671877, HAL.
- Gao, Pingyang, 2008. "Disclosure Quality, Cost of Capital, and Investors’ Welfare," MPRA Paper 9478, University Library of Munich, Germany, revised Jun 2008.
2007
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2007.
"Multifrequency news and stock returns,"
Post-Print
hal-00459675, HAL.
- Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011. "Multifrequency News and Stock Returns," Working Papers hal-00591678, HAL.
- Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
- Gao, Pingyang, 2007.
"Keynesian Beauty Contest, Accounting Disclosure, and Market Efficiency,"
MPRA Paper
9480, University Library of Munich, Germany, revised Oct 2007.
- Pingyang Gao, 2008. "Keynesian Beauty Contest, Accounting Disclosure, and Market Efficiency," Journal of Accounting Research, Wiley Blackwell, vol. 46(4), pages 785-807, September.
2006
- Laurent-Emmanuel Calvet & Adlai J. Fisher & Samuel B. Thompson, 2006.
"Volatility Comovement: a multifrequency approach,"
Post-Print
hal-00459667, HAL.
- Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B., 2006. "Volatility comovement: a multifrequency approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 179-215.
- Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004. "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers 0300, National Bureau of Economic Research, Inc.
2005
- William N. Goetzmann & Andrey Ukhov, 2005.
"British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach,"
NBER Working Papers
11266, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Andrey D. Ukhov, 2006. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," Review of Finance, European Finance Association, vol. 10(2), pages 261-300.
- William 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.
- Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management, revised 01 Aug 2006.
- William Goetzmann & Roger Ibbotson, 2005. "History and the Equity Risk Premium," Yale School of Management Working Papers ysm448, Yale School of Management.
- William Goetzmann, 2005. "More Social Security, Not Less," Yale School of Management Working Papers ysm449, Yale School of Management.
- William N. Goetzmann & Stephen J. Brown, 2005.
"Performance Persistence,"
Yale School of Management Working Papers
ysm451, Yale School of Management.
- Brown, Stephen J & Goetzmann, William N, 1995. "Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-698, June.
- 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.
- Jeffrey Fisher & William Goetzmann, 2005. "The Performance of Real Estate Portfolios: A Simulation Approach," Yale School of Management Working Papers ysm456, Yale School of Management, revised 01 Jun 2005.
- Ravi Dhar & William Goetzmann, 2005. "Institutional Perspectives on Real Estate Investing: The Role of Risk and Uncertainty," Yale School of Management Working Papers ysm457, Yale School of Management, revised 01 Jul 2005.
2004
- Goetzmann, William & Massa, Massimo & Simonov, Andrei, 2004.
"Portfolio Diversification, Proximity Investment and City Agglomeration,"
CEPR Discussion Papers
4786, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- William N. Goetzmann & Massimo Massa, 2004. "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale School of Management Working Papers ysm331, Yale School of Management.
- Massimo Massa & William Goetzmann, 2003. "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale School of Management Working Papers ysm333, Yale School of Management, revised 01 Apr 2005.
- William N. Goetzmann & Massimo Massa, 2005. "Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias," Yale School of Management Working Papers ysm447, Yale School of Management.
- William N. Goetzmann & Massimo Massa, 2003. "Disposition Matters: Volume, Volatility and PriceImpact of a Behavioral Bias," Yale School of Management Working Papers ysm14, Yale School of Management.
- Goetzmann, William & Massa, Massimo, 2004.
"Dispersion of Opinion and Stock Returns,"
CEPR Discussion Papers
4819, C.E.P.R. Discussion Papers.
- Goetzmann, William N. & Massa, Massimo, 2005. "Dispersion of opinion and stock returns," Journal of Financial Markets, Elsevier, vol. 8(3), pages 324-349, August.
- William N. Goetzmann & Massimo Massa, 2005. "Dispersion of Opinion and Stock Returns," Yale School of Management Working Papers ysm444, Yale School of Management.
- William N. Goetzmann & Massimo Massa & Andrei Simonov, 2004. "Portfolio Diversification and City Agglomeration," NBER Working Papers 10343, National Bureau of Economic Research, Inc.
- William N. Goetzmann, 2004.
"Fibonacci and the Financial Revolution,"
NBER Working Papers
10352, National Bureau of Economic Research, Inc.
- William N. Goetzmann, 2004. "Fibonacci and the Financial Revolution," Yale School of Management Working Papers ysm19, Yale School of Management.
- William Goetzmann, 2003. "Fibonacci and the Financial Revolution," Yale School of Management Working Papers ysm432, Yale School of Management, revised 01 Mar 2004.
- William N. Goetzmann & Vicente Pons-Sanz & S. Abraham Ravid, 2004. "Soft Information, Hard Sell: The Role of Soft Information in the Pricing of Intellectual Property," NBER Working Papers 10468, National Bureau of Economic Research, Inc.
- 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.
- 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-.
- Stephen Brown & William Goetzmann & James Park, 1998. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," Yale School of Management Working Papers ysm83, Yale School of Management, revised 01 Apr 2008.
- Stephen Brown & William Goetzmann & James Park, 1998. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," Yale School of Management Working Papers ysm83, Yale School of Management, revised 01 Apr 2008.
- William N. Goetzmann & Andrey Ukhov & Ning Zhu, 2004.
"China and the World Financial Markets 1870-1930:Modern Lessons From Historical Globalization (Chinese Version),"
Yale School of Management Working Papers
ysm12, Yale School of Management.
- William N. Goetzmann & Andrey Ukhov & Ning Zhu, 2001. "China and the World Financial Markets 1870-1930: Modern Lessons From Historical Globalization (Chinese Version)," Yale School of Management Working Papers ysm243, Yale School of Management.
- William N. Goetzmann & Matthew I. Spiegel & Andrey Ukhov, 2004.
"Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares (English version),"
Yale School of Management Working Papers
ysm25, Yale School of Management.
- William Goetzmann & Matthew Spiegel & Andrey Ukhov, 2002. "Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares (English Version)," Yale School of Management Working Papers ysm278, Yale School of Management, revised 01 Oct 2002.
- Ravi Dhar & William Goetzmann & Ning Zhu & EFA Moscow, 2004. "The Impact of Clientele Changes: Evidence from Stock Splits," Yale School of Management Working Papers ysm369, Yale School of Management, revised 01 Sep 2009.
- William Goetzmann & Elisabeth Köll, 2004.
"The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control,"
Yale School of Management Working Papers
ysm450, Yale School of Management.
- William N. Goetzmann & Elisabeth Koll, 2005. "The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control," NBER Chapters, in: A History of Corporate Governance around the World: Family Business Groups to Professional Managers, pages 149-184, National Bureau of Economic Research, Inc.
- Arturo Bris & William Goetzmann & Ning Zhu, 2004. "Short-Sales in Global Perspective," Yale School of Management Working Papers ysm453, Yale School of Management, revised 01 Sep 2009.
- William Goetzmann, 2004. "Will History Rhyme? The Past as Financial Future," Yale School of Management Working Papers ysm455, Yale School of Management, revised 01 Jul 2004.
- William N. Goetzmann & Andrey Ukhov & Ning Zhu, 2004. "China and the World Financial Markets 1870-1930:," Yale School of Management Working Papers ysm9, Yale School of Management.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2004.
"How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes,"
Post-Print
hal-00478472, HAL.
- Laurent E. Calvet, 2004. "How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 49-83.
- Ron Giammarino & Murray Carlson & Adlai Fisher, 2004. "Corporate Investment and Asset Price Dynamics: Implications for Post-SEO Performance," 2004 Meeting Papers 812, Society for Economic Dynamics.
2003
- 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.
- Stephen J. Brown & William N. Goetzmann & Bing Liang, 2005. "Fees On Fees In Funds Of Funds," World Scientific Book Chapters, in: H Gifford Fong (ed.), The World Of Hedge Funds Characteristics and Analysis, chapter 7, pages 141-160, World Scientific Publishing Co. Pte. Ltd..
- Stephen J. Brown & William N. Goetzmann & Bing Liang, 2004. "Fees on Fees in Funds of Funds," Yale School of Management Working Papers ysm18, Yale School of Management.
- Stephen Brown & William Goetzmann & Bing Liang, 2002. "Fees on Fees in Funds of Funds," Yale School of Management Working Papers ysm309, Yale School of Management, revised 01 Sep 2009.
- Stephen Brown & William Goetzmann & Bing Liang, 2002. "Fees on Fees in Funds of Funds," Yale School of Management Working Papers ysm309, Yale School of Management, revised 01 Sep 2009.
- William N. Goetzmann & Ning Zhu, 2003.
"Rain or Shine: Where is the Weather Effect?,"
NBER Working Papers
9465, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Ning Zhu, 2005. "Rain or Shine: Where is the Weather Effect?," European Financial Management, European Financial Management Association, vol. 11(5), pages 559-578, November.
- 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.
- William Goetzmann & Ning Zhu, 2002. "Rain or Shine: Where is the Weather Effect?," Yale School of Management Working Papers ysm296, Yale School of Management, revised 01 Sep 2009.
- 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.
- 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, June.
- 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.
- 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.
- 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, revised 01 Feb 2005.
- 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.
- 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.
- Steven J. Brown & William N. Goetzmann & Takato Hiraki & Niroyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm24, Yale School of Management.
- Stephen Brown & William Goetzmann & Takato Hiraki & Noriyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm274, Yale School of Management, revised 01 Apr 2008.
- Stephen Brown & William Goetzmann & Takato Hiraki & Noriyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm274, Yale School of Management, revised 01 Apr 2008.
- William Goetzmann & Liang Peng, 2003. "Estimating Indices in the Presence of Seller Reservation Prices," Yale School of Management Working Papers ysm352, Yale School of Management, revised 01 May 2003.
- Andrew Caplin & William Goetzmann & Eric Hangen & Barry Nalebuff & Elisabeth Prentice & John Rodkin & Matthew Spiegel & Tom Skinner, 2003. "Home Equity Insurance: A Pilot Project," Yale School of Management Working Papers ysm372, Yale School of Management, revised 23 Jan 2006.
- William Goetzmann & Matthew Spiegel & Andrey Ukhov, 2003. "Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares (Russian Version)," Yale School of Management Working Papers ysm402, Yale School of Management.
- 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.
- Laurent Calvet & Adlai Fisher, 2003.
"Regime-Switching and the Estimation of Multifractal Processes,"
Harvard Institute of Economic Research Working Papers
1999, Harvard - Institute of Economic Research.
- Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers 9839, National Bureau of Economic Research, Inc.
2002
- William Goetzmann & Jonathan Ingersoll & Matthew I. Spiegel & Ivo Welch, 2002.
"Sharpening Sharpe Ratios,"
NBER Working Papers
9116, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Jonathan E. Ingersoll Jr. & Matthew I. Spiegel & Ivo Welch, 2002. "Sharpening Sharpe Ratios," Yale School of Management Working Papers ysm273, Yale School of Management.
- William N. Goetzmann & Jonathan E. Ingersoll, Jr. & Matthew I. Spiegel & Ivo Welch, 2002. "Sharpening Sharpe Ratios," Yale School of Management Working Papers ysm29, Yale School of Management.
- William N. Goetzmann & Stephen J. Brown & Takato Hiraki & Noriyoshi Shiraishi, 2002.
"An Analysis of the Relative Performance of Japanese and Foreign Money Management,"
Yale School of Management Working Papers
ysm306, Yale School of Management.
- Brown, Stephen J. & Goetzmann, William N. & Hiraki, Takato & Shiraishi, Noriyoshi, 2003. "An analysis of the relative performance of Japanese and foreign money management," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 393-412, September.
- Stephen Brown & William Goetzmann & Takato Hiraki & Noriyoshi Shiraishi, 2002. "An Analysis of the Relative Performance of Japanese and Foreign Money Management," Yale School of Management Working Papers ysm6, Yale School of Management, revised 01 Apr 2008.
- William N. Goetzmann & Stephen J. Brown & Takato Hiraki & Noriyoshi Shiraishi, 2004. "An Analysis of the Relative Performance of Japanese and Foreign Money Management," Yale School of Management Working Papers ysm6, Yale School of Management.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2002.
"Multifractality in Asset Returns: Theory and Evidence,"
Post-Print
hal-00478175, HAL.
- Laurent Calvet & Adlai Fisher, 2002. "Multifractality In Asset Returns: Theory And Evidence," The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 381-406, August.
2001
- 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.
- 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.
- William Goetzmann & Liang Peng, 2001. "The Bias of the RSR Estimator and the Accuracy of Some Alternatives," Yale School of Management Working Papers ysm174, Yale School of Management, revised 01 Mar 2001.
- Stephen J. Brown & William N. Goetzmann, 2001.
"Hedge Funds With Style,"
NBER Working Papers
8173, National Bureau of Economic Research, Inc.
- Stephen Brown & William Goetzmann, 2001. "Hedge Funds With Style," Yale School of Management Working Papers ysm21, Yale School of Management, revised 01 Apr 2008.
- Stephen J. Brown & William N. Goetzmann, 2001. "Hedge Funds With Style," Yale School of Management Working Papers ysm177, Yale School of Management.
- Stephen Brown & William Goetzmann, 2001. "Hedge Funds With Style," Yale School of Management Working Papers ysm21, Yale School of Management, revised 01 Apr 2008.
- William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2001.
"Long-Term Global Market Correlations,"
NBER Working Papers
8612, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005. "Long-Term Global Market Correlations," The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
- William Goetzmann & Lingfeng Li & K. Rouwenhorst, 2001. "Long-Term Global Market Correlations," Yale School of Management Working Papers ysm237, Yale School of Management, revised 01 Jan 2008.
- William N. Goetzmann & Alok Kumar, 2001.
"Equity Portfolio Diversification,"
NBER Working Papers
8686, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Alok Kumar, 2008. "Equity Portfolio Diversification," Review of Finance, European Finance Association, vol. 12(3), pages 433-463.
- Alok Kumar & William N. Goetzmann, 2001. "Equity Portfolio Diversification," Yale School of Management Working Papers ysm236, Yale School of Management.
- William N. Goetzmann & Alok Kumar, 2004. "Equity Portfolio Diversification," Yale School of Management Working Papers ysm17, Yale School of Management.
- William N. Goetzmann & Andrey Ukhov, 2001. "China and the World Financial Markets 1870-1930: Modern Lessons From Historical Globalization," Center for Financial Institutions Working Papers 01-30, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Massimo Massa & William Goetzmann, 2001. "Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors," Yale School of Management Working Papers ysm176, Yale School of Management, revised 01 Nov 2001.
- 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.
- 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, August.
- William Goetzmann & Jonathan Ingersoll & Stephen Ross, 1998. "High-Water Marks and Hedge Fund Management Contracts," Yale School of Management Working Papers ysm81, Yale School of Management, revised 01 Aug 2001.
- William Goetzmann & Jonathan Ingersoll & Stephen Ross, 1998. "High-Water Marks and Hedge Fund Management Contracts," Yale School of Management Working Papers ysm81, Yale School of Management, revised 01 Aug 2001.
- Massimo Massa & William Goetzmann, 2001. "Dispersion of Opinion and Stock Returns: Evidence from Index Fund Investors," Yale School of Management Working Papers ysm227, Yale School of Management, revised 01 May 2003.
- William Goetzmann & Andrey Ukhov & Ning Zhu, 2001. "China and the World Financial Markets 1870-1930: Modern Lessons From Historical Globalization (English Version)," Yale School of Management Working Papers ysm242, Yale School of Management, revised 01 Sep 2009.
2000
- 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.
- William N. Goetzmann & Bradford Case & K. Geert Rouwenhorst, 1999. "Global Real Estate Markets: Cycles And Fundamentals," Yale School of Management Working Papers ysm116, Yale School of Management.
- Bradford Case & William Goetzmann & K. Rouwenhorst, 1999. "Global Real Estate Markets: Cycles And Fundamentals," Yale School of Management Working Papers ysm20, Yale School of Management, revised 01 Jan 2001.
- 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.
- Goetzmann, William N. & Massa, Massimo, 2002. "Daily Momentum and Contrarian Behavior of Index Fund Investors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(3), pages 375-389, September.
- William N. Goetzmann & Massimo Massa, 1999. "Daily Momentum And Contrarian Behavior Of Index Fund Investors," Yale School of Management Working Papers ysm13, Yale School of Management.
- Massimo Massa & William Goetzmann, 2000. "Daily Momentum And Contrarian Behavior Of Index Fund Investors," Yale School of Management Working Papers ysm134, Yale School of Management, revised 01 Apr 2001.
- 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.
- Massimo Massa & William Goetzmann & K. Rouwenhorst, 2000. "Behavioral Factors in Mutual Fund Flows," Yale School of Management Working Papers ysm8, Yale School of Management, revised 01 Jan 2001.
- William Goetzmann & Zoran Ivkovich & K. Rouwenhorst, 2000.
"Day Trading International Mutual Funds: Evidence And Policy Solutions,"
Yale School of Management Working Papers
ysm138, Yale School of Management, revised 01 Jun 2001.
- Goetzmann, William N. & Ivković, Zoran & Rouwenhorst, K. Geert, 2001. "Day Trading International Mutual Funds: Evidence and Policy Solutions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(3), pages 287-309, September.
- William N. Goetzmann & Roger G. Ibbotson & Liang Peng, 2000.
"A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability,"
Yale School of Management Working Papers
ysm154, Yale School of Management.
- 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.
- 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.
- William Goetzmann & Matthew Spiegel, 2000. "The Policy Implications of Portfolio Choice in Underserved Mortgage Markets," Yale School of Management Working Papers ysm161, Yale School of Management, revised 01 Mar 2001.
1999
- Evan G. Gatev & 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.
- Evan Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 2006. "Pairs Trading: Performance of a Relative-Value Arbitrage Rule," The Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 797-827.
- 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.
- 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.
- 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.
- William N. Goetzmann & Massimo Massa, 1999.
"Index Funds and Stock Market Growth,"
NBER Working Papers
7033, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Massimo Massa, 2003. "Index Funds and Stock Market Growth," The Journal of Business, University of Chicago Press, vol. 76(1), pages 1-28, January.
- Massimo Massa & William N. Goetzmann, 1999. "Index Funds and Stock Market Growth," Yale School of Management Working Papers ysm23, Yale School of Management.
- Massimo Massa & William N. Goetzmann, 1998. "Index Funds and Stock Market Growth," Yale School of Management Working Papers ysm99, Yale School of Management.
- William Goetzmann & Matthew Spiegel & Susan Wachter, 1999.
"Do Cities and Suburbs Cluster?,"
Yale School of Management Working Papers
ysm115, Yale School of Management, revised 01 May 1999.
- William Goetzmann & Matthew Spiegel & Susan Wachter, 1999. "Do Cities and Suburbs Cluster?," Yale School of Management Working Papers ysm115, Yale School of Management, revised 01 May 1999.
- Stanley Garstka & William Goetzmann, 1999. "The Development Of Corporate Performance Measures: Benchmarks Before EVA," Yale School of Management Working Papers ysm121, Yale School of Management, revised 01 Jan 2001.
- Laurent Calvet & Adlai Fisher, 1999.
"Forecasting Multifractal Volatility,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-017, New York University, Leonard N. Stern School of Business-.
- Calvet, Laurent & Fisher, Adlai, 2001. "Forecasting multifractal volatility," Journal of Econometrics, Elsevier, vol. 105(1), pages 27-58, November.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2001. "Forecasting multifractal volatility," Post-Print hal-00477952, HAL.
- Laurent Calvet, 2000. "Forecasting Multifractal Volatility," Harvard Institute of Economic Research Working Papers 1902, Harvard - Institute of Economic Research.
- Adlai Fisher, 1999. "Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-071, New York University, Leonard N. Stern School of Business-.
1998
- Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson, 1998.
"Offshore Hedge Funds: Survival & Performance 1989-1995,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
98-011, New York University, Leonard N. Stern School of Business-.
- Stephen Brown & William Goetzmann & Roger Ibbotson, 2008. "Offshore Hedge Funds: Survival & Performance 1989-1995," Yale School of Management Working Papers ysm34, Yale School of Management, revised 16 Dec 2008.
- Stephen Brown & William Goetzmann & Roger Ibbotson, 2008. "Offshore Hedge Funds: Survival & Performance 1989-1995," Yale School of Management Working Papers ysm34, Yale School of Management, revised 16 Dec 2008.
- 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-.
- Brown, Stephen J & Goetzmann, William N & Hiraki, Takato & Otsuki, Toshiyuki & Shiraishi, Noriyoshi, 2001. "The Japanese Open-End Fund Puzzle," The Journal of Business, University of Chicago Press, vol. 74(1), pages 59-77, January.
- Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Toshiyuki Otsuki & Noriyoshi Shiraishi, 1998. "The Japanese Open-End Fund Puzzle," NBER Working Papers 6347, National Bureau of Economic Research, Inc.
- 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 Brown & William Goetzmann & 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, revised 01 Apr 2008.
- Stephen Brown & William Goetzmann & 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, revised 01 Apr 2008.
- 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.
- 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-.
- Stephen Brown & William Goetzmann & James Park, 1998. "Hedge Funds and the Asian Currency Crisis of 1997," Yale School of Management Working Papers ysm84, Yale School of Management, revised 01 Apr 2008.
- Stephen Brown & William Goetzmann & James Park, 1998. "Hedge Funds and the Asian Currency Crisis of 1997," Yale School of Management Working Papers ysm84, Yale School of Management, revised 01 Apr 2008.
- Stephen J. Brown & William N. Goetzmann & James Park, 1998. "Hedge Funds and the Asian Currency Crisis of 1997," NBER Working Papers 6427, National Bureau of Economic Research, Inc.
- Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 1998.
"Positive Portfolio Factors,"
NBER Working Papers
6412, National Bureau of Economic Research, Inc.
- Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 2004. "Positive Portfolio Factors," Yale School of Management Working Papers ysm27, Yale School of Management.
- Stephen Brown & William Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," Yale School of Management Working Papers ysm87, Yale School of Management, revised 01 Apr 2008.
- Stephen Brown & William Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," Yale School of Management Working Papers ysm87, Yale School of Management, revised 01 Apr 2008.
- William N. Goetzmann & Jonathan Ingersoll, Jr. & Stephen A. Ross, 1998.
"High Water Marks,"
NBER Working Papers
6413, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Jonathan E. Ingersoll, Jr. & Stephen A. Ross, 2004. "High Water Marks," Yale School of Management Working Papers ysm22, Yale School of Management.
- William N. Goetzmann & Stephen J. Brown, 1998.
"Mutual Fund Styles,"
Yale School of Management Working Papers
ysm40, Yale School of Management.
- Brown, Stephen J. & Goetzmann, William N., 1997. "Mutual fund styles," Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March.
- Philippe Jorion & William N. Goetzmann, 1998.
"A Longer Look at Dividend Yields,"
Yale School of Management Working Papers
ysm41, Yale School of Management.
- Goetzmann, William N & Jorion, Philippe, 1995. "A Longer Look at Dividend Yields," The Journal of Business, University of Chicago Press, vol. 68(4), pages 483-508, October.
- William N. Goetzmann & Roger G. Ibbotson, 1998.
"An Emerging Market: The NYSE From 1815 to 1871,"
Yale School of Management Working Papers
ysm49, Yale School of Management.
- 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.
- William N. Goetzmann & Susan M. Wachter, 1998.
"Clustering Methods for Real Estate Portfolios,"
Yale School of Management Working Papers
ysm59, Yale School of Management.
- 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, September.
- William Goetzmann, 1998. "The Effect of Seller Reserves on Market Index Estimation," Yale School of Management Working Papers ysm61, Yale School of Management, revised 01 Aug 2000.
- David Geltner & William Goetzmann, 1998. "Two Decades Of Commercial Property Returns: A NCREIF Index Using Independent Appraisals," Yale School of Management Working Papers ysm82, Yale School of Management, revised 01 Jan 2001.
- William Goetzmann & Jonathan Ingersoll & Zoran Ivkovich, 1998.
"Monthly Measurement of Daily Timers,"
Yale School of Management Working Papers
ysm88, Yale School of Management, revised 01 Oct 2000.
- Goetzmann, William N. & Ingersoll, Jonathan & Ivković, Zoran, 2000. "Monthly Measurement of Daily Timers," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(3), pages 257-290, September.
- Stephen Brown & William Goetzmann & Takato Hiraki & Toshiyuki Otsuki & Noriyoshi Shiraishi, 1998.
"The Open-End Japanese Mutual Fund Puzzle,"
Yale School of Management Working Papers
ysm89, Yale School of Management, revised 01 Apr 2008.
- Stephen Brown & William Goetzmann & Takato Hiraki & Toshiyuki Otsuki & Noriyoshi Shiraishi, 1998. "The Open-End Japanese Mutual Fund Puzzle," Yale School of Management Working Papers ysm89, Yale School of Management, revised 01 Apr 2008.
1997
- 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.
- 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.
- William N. Goetzmann & Philippe Jorion, 1997.
"A Century of Global Stock Markets,"
NBER Working Papers
5901, National Bureau of Economic Research, Inc.
- William Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," Yale School of Management Working Papers ysm53, Yale School of Management, revised 01 Aug 2000.
- Philippe Jorion & William N. Goetzmann, 2000. "A Century of Global Stock Markets," NBER Working Papers 7565, National Bureau of Economic Research, Inc.
- William Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," Yale School of Management Working Papers ysm53, Yale School of Management, revised 01 Aug 2000.
- William N. Goetzmann & Philippe Jorion, 2004. "A Century of Global Stock Markets," Yale School of Management Working Papers ysm16, Yale School of Management.
- William N. Goetzmann & Philippe Jorion, 1997.
"Re-emerging Markets,"
NBER Working Papers
5906, National Bureau of Economic Research, Inc.
- Goetzmann, William N. & Jorion, Philippe, 1999. "Re-Emerging Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(1), pages 1-32, March.
- William Goetzmann & Philippe Jorion, 1998. "Re-emerging Markets," Yale School of Management Working Papers ysm50, Yale School of Management, revised 01 Aug 2000.
- Philippe Jorion & William N. Goetzmann, 1998. "Re-Emerging Markets," Yale School of Management Working Papers ysm111, Yale School of Management.
- William Goetzmann & Philippe Jorion, 1998. "Re-emerging Markets," Yale School of Management Working Papers ysm50, Yale School of Management, revised 01 Aug 2000.
- Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997.
"A Multifractal Model of Asset Returns,"
Cowles Foundation Discussion Papers
1164, Cowles Foundation for Research in Economics, Yale University.
- Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "A Multifractal Model of Asset Returns," Working Papers hal-00601870, HAL.
- Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1999. "A Multifractal Model of Assets Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-072, New York University, Leonard N. Stern School of Business-.
- Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1997. "Large Deviations and the Distribution of Price Changes," Cowles Foundation Discussion Papers 1165, Cowles Foundation for Research in Economics, Yale University.
- Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.
1996
- William N. Goetzmann & Brent W. Ambrose, 1996.
"Risks and Incentives in Underserved Mortgage Markets,"
Yale School of Management Working Papers
ysm62, Yale School of Management.
- Ambrose, Brent W. & Goetzmann, William N., 1998. "Risks and Incentives in Underserved Mortgage Markets," Journal of Housing Economics, Elsevier, vol. 7(3), pages 274-285, September.
- William N. Goetzmann & Matthew I. Spiegel & Susan M. Wachter, 1996. "Suburbs and Cities," Yale School of Management Working Papers ysm63, Yale School of Management.
1995
- 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.
- 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.
- William N. Goetzmann & Matthew I. Spiegel, 1997. "A Spatial Model of Housing Returns and Neighborhood Substitutability," Yale School of Management Working Papers ysm64, Yale School of Management.
1993
- Goetzmann, W.N., 1993. "Attrition and Mutual Fund Performance," Papers 93-01, Columbia - Graduate School of Business.
- Edwards, F. & Goetzmann, W., 1993. "Commodity Funds as an Investment Asset," Papers 93-19, Columbia - Graduate School of Business.
1992
- Goetzmann, W.N. & Spiegel, M., 1992.
"Non-temporal Components of Residential Real Estate Appreciation,"
Papers
92-20, Columbia - Graduate School of Business.
- 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.
- Broadie, M. & Goetzmann, W., 1992. "Safety First Portfolio Choice," Papers 92-23, Columbia - Graduate School of Business.
- Goetzmann, W.N. & Greenward, B. & Huberman, G., 1992. "Market Response to Mutual Fund Performance," Papers 92-25, Columbia - Graduate School of Business.
- Goetzman, W.N. & Jorion, P., 1992.
"Testing the Predictive Power of Dividend Yields,"
Papers
93-03, Columbia - Graduate School of Business.
- Goetzmann, William Nelson & Jorion, Philippe, 1993. "Testing the Predictive Power of Dividend Yields," Journal of Finance, American Finance Association, vol. 48(2), pages 663-679, June.
- Goetzmann, W.N., 1990. "Testing The Predictive Power Of Dividend Yields," Papers fb-_90-12, Columbia - Graduate School of Business.
1991
- Goetzmann, W.N. & Wachter, S., 1991. "Clustering Methods and Commercial Rents," Papers fb-22, Columbia - Graduate School of Business.
1990
- Goetzmann, W.N., 1990. "Accounting For Taste: An Analysis Of Art Returns Over Three Centuries," Papers fb-_90-11, Columbia - Graduate School of Business.
- Goetzmann, W.N., 1990. "Bootstrapping Tests Of Long-Term Stock Market Efficiency," Papers fb-_90-14, Columbia - Graduate School of Business.
- Goetzmann, W.N., 1990.
"The Single Family Home In The Investment Portfolio,"
Papers
fb-_90-15, Columbia - Graduate School of Business.
- 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 201-222, May.
- Goetzmann, W.N., 1990.
"The Accuracy Of Real Estimate Indices: Repeat Sale Estimators,"
Papers
fb-_90-17, Columbia - Graduate School of Business.
- 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.
- Goetzmann, W.N. & Ibbotson, R.G., 1990. "Do Winners Repeat? Patterns in Mutual Fund Behavior," Papers fb-_91-04, Columbia - Graduate School of Business.
Journal articles
2022
- Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
2020
- Gary B. Gorton & Andrew Metrick & Chase P. Ross, 2020.
"Who Ran on Repo?,"
AEA Papers and Proceedings, American Economic Association, vol. 110, pages 487-492, May.
- Gary B. Gorton & Andrew Metrick, 2012. "Who Ran on Repo?," NBER Working Papers 18455, National Bureau of Economic Research, Inc.
2019
- le Bris, David & Goetzmann, William N. & Pouget, Sébastien, 2019.
"The present value relation over six centuries: The case of the Bazacle company,"
Journal of Financial Economics, Elsevier, vol. 132(1), pages 248-265.
- David Le Bris & William Goetzmann & Sébastien Pouget, 2019. "The present value relation over six centuries: The case of the Bazacle company," Post-Print hal-02281530, HAL.
- Goetzmann, Will & Le Bris, David & Pouget, Sébastien, 2017. "The Present Value Relation Over Six Centuries: The Case of the Bazacle Company," TSE Working Papers 17-794, Toulouse School of Economics (TSE).
- Laurie Cameron & William N. Goetzmann & Milad Nozari, 2019. "Art and gender: market bias or selection bias?," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 43(2), pages 279-307, June.
- Metrick, Andrew, 2019. "European Central Bank Tools and Policy Actions A: Open Market Operations, Collateral Expansion and Standing Facilities," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 1(3), pages 57-81, March.
- Metrick, Andrew, 2019. "European Central Bank Tools and Policy Actions B: Asset Purchase Programs," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 1(3), pages 82-112, March.
2018
- Andrew Ang & Andrés Ayala & William N. Goetzmann, 2018. "Investment beliefs of endowments," European Financial Management, European Financial Management Association, vol. 24(1), pages 3-33, January.
- William N. Goetzmann & Dasol Kim, 2018.
"Negative bubbles: What happens after a crash,"
European Financial Management, European Financial Management Association, vol. 24(2), pages 171-191, March.
- William N. Goetzmann & Dasol Kim, 2017. "Negative Bubbles: What Happens After a Crash," NBER Working Papers 23830, National Bureau of Economic Research, Inc.
- Andrew Ang & Bingxu Chen & William N. Goetzmann & Ludovic Phalippou, 2018. "Estimating Private Equity Returns from Limited Partner Cash Flows," Journal of Finance, American Finance Association, vol. 73(4), pages 1751-1783, August.
- David Le Bris & William N. Goetzmann & Sébastien Pouget, 2018. "Les compagnies de moulins en Occitanie : émergence et gouvernance de sociétés par actions multiséculaires," Revue d'économie financière, Association d'économie financière, vol. 0(2), pages 55-69.
- Goetzmann, William N. & Huang, Simon, 2018.
"Momentum in Imperial Russia,"
Journal of Financial Economics, Elsevier, vol. 130(3), pages 579-591.
- William Goetzmann & Simon Huang, 2015. "Momentum in Imperial Russia," NBER Working Papers 21700, National Bureau of Economic Research, Inc.
- Calvet, Laurent E. & Fisher, Adlai J. & Wu, Liuren, 2018. "Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(2), pages 937-963, April.
2016
- Goetzmann, William N. & Jones, Peter W. & Maggioni, Mauro & Walden, Johan, 2016. "Beauty is in the bid of the beholder: An empirical basis for style," Research in Economics, Elsevier, vol. 70(3), pages 388-402.
- Oliver Boguth & Murray Carlson & Adlai Fisher & Mikhail Simutin, 2016. "Horizon Effects in Average Returns: The Role of Slow Information Diffusion," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2241-2281.
2015
- Spaenjers, Christophe & Goetzmann, William N. & Mamonova, Elena, 2015. "The economics of aesthetics and record prices for art since 1701," Explorations in Economic History, Elsevier, vol. 57(C), pages 79-94.
- William N. Goetzmann & Dasol Kim & Alok Kumar & Qin Wang, 2015. "Weather-Induced Mood, Institutional Investors, and Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 28(1), pages 73-111.
- Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015.
"What is beneath the surface? Option pricing with multifrequency latent states,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 498-511.
- Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold, 2013. "What's Beneath the Surface? Option Pricing with Multifrequency Latent States," HEC Research Papers Series 969, HEC Paris.
2014
- Douglas W. Blackburn & William N. Goetzmann & Andrey D. Ukhov, 2014. "Is trading behavior stable across contexts? Evidence from style and multi-style investors," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 605-627, April.
- Carlson, Murray & Dockner, Engelbert J. & Fisher, Adlai & Giammarino, Ron, 2014. "Leaders, Followers, and Risk Dynamics in Industry Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(2), pages 321-349, April.
2013
- Frehen, Rik G.P. & Goetzmann, William N. & Geert Rouwenhorst, K., 2013.
"New evidence on the first financial bubble,"
Journal of Financial Economics, Elsevier, vol. 108(3), pages 585-607.
- Rik G.P. Frehen & William N. Goetzmann & K. Geert Rouwenhorst, 2009. "New Evidence on the First Financial Bubble," NBER Working Papers 15332, National Bureau of Economic Research, Inc.
- William Goetzmann & S. Ravid & Ronald Sverdlove, 2013. "The pricing of soft and hard information: economic lessons from screenplay sales," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 37(2), pages 271-307, May.
- Gao, Pingyang, 2013. "A measurement approach to conservatism and earnings management," Journal of Accounting and Economics, Elsevier, vol. 55(2), pages 251-268.
- Pingyang Gao & Pierre Jinghong Liang, 2013. "Informational Feedback, Adverse Selection, and Optimal Disclosure Policy," Journal of Accounting Research, Wiley Blackwell, vol. 51(5), pages 1133-1158, December.
2012
- Dion Bongaerts & K. J. Martijn Cremers & William N. Goetzmann, 2012.
"Tiebreaker: Certification and Multiple Credit Ratings,"
Journal of Finance, American Finance Association, vol. 67(1), pages 113-152, February.
- Dion Bongaerts & K.J. Martijn Cremers & William N. Goetzmann, 2009. "Tiebreaker: Certification and Multiple Credit Ratings," NBER Working Papers 15331, National Bureau of Economic Research, Inc.
- Brown, Stephen & Goetzmann, William & Liang, Bing & Schwarz, Christopher, 2012.
"Trust and delegation,"
Journal of Financial Economics, Elsevier, vol. 103(2), pages 221-234.
- Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2009. "Trust and Delegation," NBER Working Papers 15529, National Bureau of Economic Research, Inc.
- Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2009. "Trust and Delegation," Yale School of Management Working Papers amz2545, Yale School of Management, revised 13 Nov 2009.
- William Goetzmann & Liang Peng & Jacqueline Yen, 2012.
"The Subprime Crisis and House Price Appreciation,"
The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 36-66, January.
- William N. Goetzmann & Liang Peng & Jacqueline Yen, 2009. "The Subprime Crisis and House Price Appreciation," NBER Working Papers 15334, National Bureau of Economic Research, Inc.
2011
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2011.
"Art and Money,"
American Economic Review, American Economic Association, vol. 101(3), pages 222-226, May.
- Goetzmann, W. & Renneboog, L.D.R. & Spaenjers, C., 2010. "Art and Money," Discussion Paper 2010-08, Tilburg University, Center for Economic Research.
- William Goetzmann & Luc Renneboog & Christophe Spaenjers, 2009. "Art and Money," Yale School of Management Working Papers amz2426, Yale School of Management, revised 01 Jan 2010.
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2011. "Art and Money," Post-Print hal-00623450, HAL.
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2009. "Art and Money," NBER Working Papers 15502, National Bureau of Economic Research, Inc.
- Goetzmann, W. & Renneboog, L.D.R. & Spaenjers, C., 2010. "Art and Money," Other publications TiSEM 53563a78-8ed3-49fc-83ec-5, Tilburg University, School of Economics and Management.
- Ang, Andrew & Goetzmann, William N. & Schaefer, Stephen M., 2011. "The Efficient Market Theory and Evidence: Implications for Active Investment Management," Foundations and Trends(R) in Finance, now publishers, vol. 5(3), pages 157-242, June.
- Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
- Bhamra, Harjoat S. & Fisher, Adlai J. & Kuehn, Lars-Alexander, 2011. "Monetary policy and corporate default," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 480-494.
2010
- Murray Carlson & Adlai Fisher & Ron Giammarino, 2010. "SEO Risk Dynamics," The Review of Financial Studies, Society for Financial Studies, vol. 23(11), pages 4026-4077, November.
2008
- Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008.
"Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration,"
Journal of Finance, American Finance Association, vol. 63(6), pages 2785-2815, December.
- Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2006. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Yale School of Management Working Papers amz2472, Yale School of Management, revised 11 Sep 2009.
- William N. Goetzmann & Alok Kumar, 2008.
"Equity Portfolio Diversification,"
Review of Finance, European Finance Association, vol. 12(3), pages 433-463.
- William N. Goetzmann & Alok Kumar, 2001. "Equity Portfolio Diversification," NBER Working Papers 8686, National Bureau of Economic Research, Inc.
- Alok Kumar & William N. Goetzmann, 2001. "Equity Portfolio Diversification," Yale School of Management Working Papers ysm236, Yale School of Management.
- William N. Goetzmann & Alok Kumar, 2004. "Equity Portfolio Diversification," Yale School of Management Working Papers ysm17, Yale School of Management.
- Adlai Fisher & Robert Heinkel, 2008. "Reputation and Managerial Truth‐Telling as Self‐Insurance," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 17(2), pages 489-540, June.
- Calvet, Laurent E. & Fisher, Adlai J., 2008.
"Multifrequency jump-diffusions: An equilibrium approach,"
Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008. "Multifrequency jump-diffusions: An equilibrium approach," Post-Print hal-00459681, HAL.
- Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc.
- Pingyang Gao, 2008.
"Keynesian Beauty Contest, Accounting Disclosure, and Market Efficiency,"
Journal of Accounting Research, Wiley Blackwell, vol. 46(4), pages 785-807, September.
- Gao, Pingyang, 2007. "Keynesian Beauty Contest, Accounting Disclosure, and Market Efficiency," MPRA Paper 9480, University Library of Munich, Germany, revised Oct 2007.
2007
- William N. Goetzmann & Andrey D. Ukhov & Ning Zhu, 2007. "China and the world financial markets 1870–1939: Modern lessons from historical globalization1," Economic History Review, Economic History Society, vol. 60(2), pages 267-312, May.
- 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, June.
- 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.
- 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.
- 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.
- 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, revised 01 Feb 2005.
- Calvet, Laurent E. & Fisher, Adlai J., 2007.
"Multifrequency news and stock returns,"
Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2007. "Multifrequency news and stock returns," Post-Print hal-00459675, HAL.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011. "Multifrequency News and Stock Returns," Working Papers hal-00591678, HAL.
- Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
2006
- William N. Goetzmann & Andrey D. Ukhov, 2006.
"British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach,"
Review of Finance, European Finance Association, vol. 10(2), pages 261-300.
- William N. Goetzmann & Andrey Ukhov, 2005. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," NBER Working Papers 11266, National Bureau of Economic Research, Inc.
- William 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.
- Evan Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 2006.
"Pairs Trading: Performance of a Relative-Value Arbitrage Rule,"
The Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 797-827.
- 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.
- 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.
- 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.
- Evan G. Gatev & 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.
- 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, February.
- Murray Carlson & Adlai Fisher & Ron Giammarino, 2006. "Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long‐Run Performance," Journal of Finance, American Finance Association, vol. 61(3), pages 1009-1034, June.
- Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B., 2006.
"Volatility comovement: a multifrequency approach,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 179-215.
- Laurent-Emmanuel Calvet & Adlai J. Fisher & Samuel B. Thompson, 2006. "Volatility Comovement: a multifrequency approach," Post-Print hal-00459667, HAL.
- Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004. "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers 0300, National Bureau of Economic Research, Inc.
2005
- William N. Goetzmann & Ning Zhu, 2005.
"Rain or Shine: Where is the Weather Effect?,"
European Financial Management, European Financial Management Association, vol. 11(5), pages 559-578, November.
- William N. Goetzmann & Ning Zhu, 2003. "Rain or Shine: Where is the Weather Effect?," NBER Working Papers 9465, National Bureau of Economic Research, Inc.
- 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.
- William Goetzmann & Ning Zhu, 2002. "Rain or Shine: Where is the Weather Effect?," Yale School of Management Working Papers ysm296, Yale School of Management, revised 01 Sep 2009.
- Goetzmann, William N. & Massa, Massimo, 2005.
"Dispersion of opinion and stock returns,"
Journal of Financial Markets, Elsevier, vol. 8(3), pages 324-349, August.
- Goetzmann, William & Massa, Massimo, 2004. "Dispersion of Opinion and Stock Returns," CEPR Discussion Papers 4819, C.E.P.R. Discussion Papers.
- William N. Goetzmann & Massimo Massa, 2005. "Dispersion of Opinion and Stock Returns," Yale School of Management Working Papers ysm444, Yale School of Management.
- William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005.
"Long-Term Global Market Correlations,"
The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
- William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2001. "Long-Term Global Market Correlations," NBER Working Papers 8612, National Bureau of Economic Research, Inc.
- William Goetzmann & Lingfeng Li & K. Rouwenhorst, 2001. "Long-Term Global Market Correlations," Yale School of Management Working Papers ysm237, Yale School of Management, revised 01 Jan 2008.
2003
- 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, August.
- William Goetzmann & Jonathan Ingersoll & Stephen Ross, 1998. "High-Water Marks and Hedge Fund Management Contracts," Yale School of Management Working Papers ysm81, Yale School of Management, revised 01 Aug 2001.
- William Goetzmann & Jonathan Ingersoll & Stephen Ross, 1998. "High-Water Marks and Hedge Fund Management Contracts," Yale School of Management Working Papers ysm81, Yale School of Management, revised 01 Aug 2001.
- 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.
- Brown, Stephen J. & Goetzmann, William N. & Hiraki, Takato & Shiraishi, Noriyoshi, 2003.
"An analysis of the relative performance of Japanese and foreign money management,"
Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 393-412, September.
- Stephen Brown & William Goetzmann & Takato Hiraki & Noriyoshi Shiraishi, 2002. "An Analysis of the Relative Performance of Japanese and Foreign Money Management," Yale School of Management Working Papers ysm6, Yale School of Management, revised 01 Apr 2008.
- William N. Goetzmann & Stephen J. Brown & Takato Hiraki & Noriyoshi Shiraishi, 2004. "An Analysis of the Relative Performance of Japanese and Foreign Money Management," Yale School of Management Working Papers ysm6, Yale School of Management.
- William N. Goetzmann & Stephen J. Brown & Takato Hiraki & Noriyoshi Shiraishi, 2002. "An Analysis of the Relative Performance of Japanese and Foreign Money Management," Yale School of Management Working Papers ysm306, Yale School of Management.
- William N. Goetzmann & Massimo Massa, 2003.
"Index Funds and Stock Market Growth,"
The Journal of Business, University of Chicago Press, vol. 76(1), pages 1-28, January.
- Massimo Massa & William N. Goetzmann, 1999. "Index Funds and Stock Market Growth," Yale School of Management Working Papers ysm23, Yale School of Management.
- Massimo Massa & William N. Goetzmann, 1998. "Index Funds and Stock Market Growth," Yale School of Management Working Papers ysm99, Yale School of Management.
- William N. Goetzmann & Massimo Massa, 1999. "Index Funds and Stock Market Growth," NBER Working Papers 7033, National Bureau of Economic Research, Inc.
2002
- 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.
- 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.
- William Goetzmann & Liang Peng, 2001. "The Bias of the RSR Estimator and the Accuracy of Some Alternatives," Yale School of Management Working Papers ysm174, Yale School of Management, revised 01 Mar 2001.
- Goetzmann, William N. & Massa, Massimo, 2002.
"Daily Momentum and Contrarian Behavior of Index Fund Investors,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(3), pages 375-389, September.
- William N. Goetzmann & Massimo Massa, 1999. "Daily Momentum And Contrarian Behavior Of Index Fund Investors," Yale School of Management Working Papers ysm13, Yale School of Management.
- 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.
- Massimo Massa & William Goetzmann, 2000. "Daily Momentum And Contrarian Behavior Of Index Fund Investors," Yale School of Management Working Papers ysm134, Yale School of Management, revised 01 Apr 2001.
- Laurent Calvet & Adlai Fisher, 2002.
"Multifractality In Asset Returns: Theory And Evidence,"
The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 381-406, August.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2002. "Multifractality in Asset Returns: Theory and Evidence," Post-Print hal-00478175, HAL.
2001
- Stephen J. Brown & William N. Goetzmann & James Park, 2001. "Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry," Journal of Finance, American Finance Association, vol. 56(5), pages 1869-1886, October.
- Goetzmann, William N. & Ivković, Zoran & Rouwenhorst, K. Geert, 2001.
"Day Trading International Mutual Funds: Evidence and Policy Solutions,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(3), pages 287-309, September.
- William Goetzmann & Zoran Ivkovich & K. Rouwenhorst, 2000. "Day Trading International Mutual Funds: Evidence And Policy Solutions," Yale School of Management Working Papers ysm138, Yale School of Management, revised 01 Jun 2001.
- 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.
- William N. Goetzmann & Roger G. Ibbotson & Liang Peng, 2000. "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers ysm154, Yale School of Management.
- 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.
- Brown, Stephen J & Goetzmann, William N & Hiraki, Takato & Otsuki, Toshiyuki & Shiraishi, Noriyoshi, 2001.
"The Japanese Open-End Fund Puzzle,"
The Journal of Business, University of Chicago Press, vol. 74(1), pages 59-77, January.
- Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Toshiyuki Otsuki & Noriyoshi Shiraishi, 1998. "The Japanese Open-End Fund Puzzle," NBER Working Papers 6347, National Bureau of Economic Research, Inc.
- 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-.
- Calvet, Laurent & Fisher, Adlai, 2001.
"Forecasting multifractal volatility,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 27-58, November.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2001. "Forecasting multifractal volatility," Post-Print hal-00477952, HAL.
- Laurent Calvet & Adlai Fisher, 1999. "Forecasting Multifractal Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-017, New York University, Leonard N. Stern School of Business-.
- Laurent Calvet, 2000. "Forecasting Multifractal Volatility," Harvard Institute of Economic Research Working Papers 1902, Harvard - Institute of Economic Research.
2000
- Goetzmann, William N. & Ingersoll, Jonathan & Ivković, Zoran, 2000.
"Monthly Measurement of Daily Timers,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(3), pages 257-290, September.
- William Goetzmann & Jonathan Ingersoll & Zoran Ivkovich, 1998. "Monthly Measurement of Daily Timers," Yale School of Management Working Papers ysm88, Yale School of Management, revised 01 Oct 2000.
- 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.
1999
- 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, June.
- Goetzmann, William N. & Jorion, Philippe, 1999.
"Re-Emerging Markets,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(1), pages 1-32, March.
- William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc.
- William Goetzmann & Philippe Jorion, 1998. "Re-emerging Markets," Yale School of Management Working Papers ysm50, Yale School of Management, revised 01 Aug 2000.
- Philippe Jorion & William N. Goetzmann, 1998. "Re-Emerging Markets," Yale School of Management Working Papers ysm111, Yale School of Management.
- William Goetzmann & Philippe Jorion, 1998. "Re-emerging Markets," Yale School of Management Working Papers ysm50, Yale School of Management, revised 01 Aug 2000.
- Brown, Stephen J & Goetzmann, William N & Ibbotson, Roger G, 1999. "Offshore Hedge Funds: Survival and Performance, 1989-95," The Journal of Business, University of Chicago Press, vol. 72(1), pages 91-117, January.
1998
- Ambrose, Brent W. & Goetzmann, William N., 1998.
"Risks and Incentives in Underserved Mortgage Markets,"
Journal of Housing Economics, Elsevier, vol. 7(3), pages 274-285, September.
- William N. Goetzmann & Brent W. Ambrose, 1996. "Risks and Incentives in Underserved Mortgage Markets," Yale School of Management Working Papers ysm62, Yale School of Management.
1997
- William N. Goetzmann & Nadav Peles, 1997. "Cognitive Dissonance And Mutual Fund Investors," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(2), pages 145-158, June.
- Brown, Stephen J. & Goetzmann, William N., 1997.
"Mutual fund styles,"
Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March.
- William N. Goetzmann & Stephen J. Brown, 1998. "Mutual Fund Styles," Yale School of Management Working Papers ysm40, Yale School of Management.
- 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.
- William N. Goetzmann & Matthew I. Spiegel, 1997. "A Spatial Model of Housing Returns and Neighborhood Substitutability," Yale School of Management Working Papers ysm64, Yale School of Management.
- 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.
- 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.
1995
- Brown, Stephen J & Goetzmann, William N, 1995.
"Performance Persistence,"
Journal of Finance, American Finance Association, vol. 50(2), pages 679-698, June.
- William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management.
- Brown, Stephen J & Goetzmann, William N & Ross, Stephen A, 1995. "Survival," Journal of Finance, American Finance Association, vol. 50(3), pages 853-873, July.
- 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, September.
- William N. Goetzmann & Susan M. Wachter, 1998. "Clustering Methods for Real Estate Portfolios," Yale School of Management Working Papers ysm59, Yale School of Management.
- 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.
- Goetzmann, W.N. & Spiegel, M., 1992. "Non-temporal Components of Residential Real Estate Appreciation," Papers 92-20, Columbia - Graduate School of Business.
- Goetzmann, William N & Jorion, Philippe, 1995.
"A Longer Look at Dividend Yields,"
The Journal of Business, University of Chicago Press, vol. 68(4), pages 483-508, October.
- Philippe Jorion & William N. Goetzmann, 1998. "A Longer Look at Dividend Yields," Yale School of Management Working Papers ysm41, Yale School of Management.
1994
- 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.
1993
- 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 1370-1376, December.
- Goetzmann, William Nelson & Jorion, Philippe, 1993.
"Testing the Predictive Power of Dividend Yields,"
Journal of Finance, American Finance Association, vol. 48(2), pages 663-679, June.
- Goetzman, W.N. & Jorion, P., 1992. "Testing the Predictive Power of Dividend Yields," Papers 93-03, Columbia - Graduate School of Business.
- Goetzmann, W.N., 1990. "Testing The Predictive Power Of Dividend Yields," Papers fb-_90-12, Columbia - Graduate School of Business.
- 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 201-222, May.
- Goetzmann, W.N., 1990. "The Single Family Home In The Investment Portfolio," Papers fb-_90-15, Columbia - Graduate School of Business.
- Goetzmann, William Nelson, 1993. "Patterns in Three Centuries of Stock Market Prices," The Journal of Business, University of Chicago Press, vol. 66(2), pages 249-270, April.
1992
- 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.
- Goetzmann, W.N., 1990. "The Accuracy Of Real Estimate Indices: Repeat Sale Estimators," Papers fb-_90-17, Columbia - Graduate School of Business.
1990
- 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, March.
1988
- Steven P. Feinstein & William N. Goetzmann, 1988. "The effect of the \"triple witching hour\" on stock market volatility," Economic Review, Federal Reserve Bank of Atlanta, issue Sep, pages 2-18.
Books
2016
- William N. Goetzmann, 2016. "Money Changes Everything: How Finance Made Civilization Possible," Economics Books, Princeton University Press, edition 1, number 10662.
2008
- Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifractal Volatility," Elsevier Monographs, Elsevier, edition 1, number 9780121500139.
2006
- Goetzmann, William N. & Ibbotson, Roger G., 2006. "The Equity Risk Premium: Essays and Explorations," OUP Catalogue, Oxford University Press, number 9780195148145, Decembrie.
2005
- Goetzmann, William N. & Rouwenhorst, K. Geert (ed.), 2005. "The Origins of Value: The Financial Innovations that Created Modern Capital Markets," OUP Catalogue, Oxford University Press, number 9780195175714, Decembrie.
Chapters
2016
- William N. Goetzmann, 2016. "Introduction," Introductory Chapters, in: Money Changes Everything: How Finance Made Civilization Possible, Princeton University Press.
2014
- Rik Frehen & William N. Goetzmann & K. Geert Rouwenhorst, 2014. "Dutch Securities for American Land Speculation in the Late Eighteenth Century," NBER Chapters, in: Housing and Mortgage Markets in Historical Perspective, pages 287-304, National Bureau of Economic Research, Inc.
2013
- William N. Goetzmann & Sharon Oster, 2013.
"Competition among University Endowments,"
NBER Chapters, in: How the Financial Crisis and Great Recession Affected Higher Education, pages 99-126,
National Bureau of Economic Research, Inc.
- William N. Goetzmann & Sharon Oster, 2012. "Competition Among University Endowments," NBER Working Papers 18173, National Bureau of Economic Research, Inc.
2011
- William N. Goetzmann & Sebastien Pouget, 2011. "A Shareholder Lawsuit in Fourteenth-Century Toulouse," Palgrave Macmillan Books, in: Jonathan G S Koppell (ed.), Origins of Shareholder Advocacy, chapter 0, pages 215-229, Palgrave Macmillan.
2005
- William N. Goetzmann & Elisabeth Koll, 2005.
"The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control,"
NBER Chapters, in: A History of Corporate Governance around the World: Family Business Groups to Professional Managers, pages 149-184,
National Bureau of Economic Research, Inc.
- William Goetzmann & Elisabeth Köll, 2004. "The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control," Yale School of Management Working Papers ysm450, Yale School of Management.
- Stephen J. Brown & William N. Goetzmann & Bing Liang, 2005.
"Fees On Fees In Funds Of Funds,"
World Scientific Book Chapters, in: H Gifford Fong (ed.), The World Of Hedge Funds Characteristics and Analysis, chapter 7, pages 141-160,
World Scientific Publishing Co. Pte. Ltd..
- Stephen J. Brown & William N. Goetzmann & Bing Liang, 2004. "Fees on Fees in Funds of Funds," Yale School of Management Working Papers ysm18, Yale School of Management.
- Stephen Brown & William Goetzmann & Bing Liang, 2002. "Fees on Fees in Funds of Funds," Yale School of Management Working Papers ysm309, Yale School of Management, revised 01 Sep 2009.
- 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.
- Stephen Brown & William Goetzmann & Bing Liang, 2002. "Fees on Fees in Funds of Funds," Yale School of Management Working Papers ysm309, Yale School of Management, revised 01 Sep 2009.
2003
- 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.