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William Goetzmann
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- 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.
Mentioned in:
- A hedge on the edge: SAC Capital's insider trading scandal
by Lorenzo Casavecchia, Lecturer in Finance at University of Technology, Sydney in The Conversation on 2013-07-26 01:09:34
- William N. Goetzmann & Alok Kumar, 2004.
"Equity Portfolio Diversification,"
Yale School of Management Working Papers
ysm17, Yale School of Management.
- 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.
Mentioned in:
- Investidor Pessoa FÃsica
by Roberto Ushisima in Empresas e Mercados on 2009-09-22 20:34:00
- 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.
Mentioned in:
- Apple Split
by Jonas Feit in Conscience Warrior on 2014-04-24 21:00:00
- Apple Split
RePEc Biblio mentions
As found on the RePEc Biblio, the curated bibliography of Economics:- 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.
Mentioned in:
Working papers
- William N. Goetzmann & Christophe Spaenjers & Stijn Van Nieuwerburgh, 2021.
"Real and Private-Value Assets,"
NBER Working Papers
28580, National Bureau of Economic Research, Inc.
- William N Goetzmann & Christophe Spaenjers & Stijn Van Nieuwerburgh, 2021. "Real and Private-Value Assets [Gendered prices]," 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.
- Goetzmann, William & Spaenjers, Christophe, 2021. "Real and Private Value Assets," CEPR Discussion Papers 16083, C.E.P.R. Discussion Papers.
Cited by:
- Whitaker, Amy & Kräussl, Roman, 2023. "Art collectors as venture capitalists," CFS Working Paper Series 696, Center for Financial Studies (CFS).
- Arpit Gupta & Vrinda Mittal & Stijn Van Nieuwerburgh, 2022. "Work From Home and the Office Real Estate Apocalypse," NBER Working Papers 30526, National Bureau of Economic Research, Inc.
- Kräussl, Roman & Tugnetti, Alessandro, 2023. "Non-fungible tokens (NFTs): A review of pricing determinants, applications and opportunities," CFS Working Paper Series 693, Center for Financial Studies (CFS).
- 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).
Cited by:
- Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," EconomiX Working Papers 2019-8, University of Paris Nanterre, EconomiX.
- Bartel-Radic, Anne & Reuter, André (ed.), 2020. "Studien zum Strategischen Management und Personalmanagement," EIKV-Schriftenreihe zum Wissens- und Wertemanagement, European Institute for Knowledge & Value Management (EIKV), Luxembourg, volume 35, number 35, March.
- Rebecca Stuart, 2022. "Stock Return Predictability before the First World War," IRENE Working Papers 22-02, IRENE Institute of Economic Research.
- 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.
Cited by:
- Ma, Richie Ruchuan & Xiong, Tao, 2021. "Price explosiveness in nonferrous metal futures markets," Economic Modelling, Elsevier, vol. 94(C), pages 75-90.
- Zaremba, Adam & Umar, Zaghum & Mikutowski, Mateusz, 2021. "Commodity financialisation and price co-movement: Lessons from two centuries of evidence," Finance Research Letters, Elsevier, vol. 38(C).
- Rafiq, Shuddhasattwa, 2022. "How did house and stock prices respond to different crisis episodes since the 1870s?," Economic Modelling, Elsevier, vol. 114(C).
- David Hirshleifer, 2020. "Presidential Address: Social Transmission Bias in Economics and Finance," Journal of Finance, American Finance Association, vol. 75(4), pages 1779-1831, August.
- Rafiq, Shuddhasattwa, 2020. "Projecting post-crisis house and equity prices since the 1870s:not all crises are alike," MPRA Paper 103164, University Library of Munich, Germany.
- John Fender, 2020. "Beyond the efficient markets hypothesis: Towards a new paradigm," Bulletin of Economic Research, Wiley Blackwell, vol. 72(3), pages 333-351, July.
- Djalilov, Abdulaziz & Ülkü, Numan, 2021. "Individual investors’ trading behavior in Moscow Exchange and the COVID-19 crisis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
- Zaremba, Adam & Kizys, Renatas & Raza, Muhammad Wajid, 2020. "The long-run reversal in the long run: Insights from two centuries of international equity returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 177-199.
- Asness, Clifford S. & Liew, John M. & Pedersen, Lasse Heje & Thapar, Ashwin K, 2018. "Deep Value," CEPR Discussion Papers 12685, C.E.P.R. Discussion Papers.
- Sun, Xiaojin & Tsang, Kwok Ping, 2019. "Large price movements in housing markets," Journal of Economic Behavior & Organization, Elsevier, vol. 163(C), pages 1-23.
- Baltussen, Guido & Swinkels, Laurens & Van Vliet, Pim, 2021. "Global factor premiums," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1128-1154.
- Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Zaremba, Adam & Cakici, Nusret & Bianchi, Robert J. & Long, Huaigang, 2023. "Interest rate changes and the cross-section of global equity returns," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
- William N. Goetzmann & Dasol Kim & Robert J. Shiller, 2016.
"Crash Beliefs From Investor Surveys,"
NBER Working Papers
22143, National Bureau of Economic Research, Inc.
Cited by:
- Sergio Consoli & Luca Tiozzo Pezzoli & Elisa Tosetti, 2021.
"Emotions in Macroeconomic News and their Impact on the European Bond Market,"
Papers
2106.15698, arXiv.org.
- Consoli, Sergio & Pezzoli, Luca Tiozzo & Tosetti, Elisa, 2021. "Emotions in macroeconomic news and their impact on the European bond market," Journal of International Money and Finance, Elsevier, vol. 118(C).
- Bertsch, Christoph & Hull, Isaiah & Zhang, Xin, 2021.
"Narrative fragmentation and the business cycle,"
Economics Letters, Elsevier, vol. 201(C).
- Bertsch, Christoph & Hull, Isaiah & Zhang, Xin, 2021. "Narrative Fragmentation and the Business Cycle," Working Paper Series 401, Sveriges Riksbank (Central Bank of Sweden).
- Call, Andrew C. & Emett, Scott A. & Maksymov, Eldar & Sharp, Nathan Y., 2022. "Meet the press: Survey evidence on financial journalists as information intermediaries," Journal of Accounting and Economics, Elsevier, vol. 73(2).
- Stefan Nagel & Zhengyang Xu, 2022.
"Dynamics of Subjective Risk Premia,"
CESifo Working Paper Series
9693, CESifo.
- Xu, Zhengyang, 2022. "Dynamics of Subjective Risk Premia," CEPR Discussion Papers 17064, C.E.P.R. Discussion Papers.
- Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," NBER Working Papers 29803, National Bureau of Economic Research, Inc.
- Steven D. Baker & Burton Hollifield & Emilio Osambela, 2018. "Preventing Controversial Catastrophes," Finance and Economics Discussion Series 2018-052, Board of Governors of the Federal Reserve System (U.S.).
- Sarah Asebedo & Patrick Payne, 2019. "Market Volatility and Financial Satisfaction: The Role of Financial Self-Efficacy," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 20(1), pages 42-52, January.
- Bosman, Ronald & Kräussl, Roman & Mirgorodskaya, Elizaveta, 2017. "Modifier words in the financial press and investor expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 138(C), pages 85-98.
- James J. Choi & Adriana Z. Robertson, 2018.
"What Matters to Individual Investors? Evidence from the Horse’s Mouth,"
NBER Working Papers
25019, National Bureau of Economic Research, Inc.
- James J. Choi & Adriana Z. Robertson, 2020. "What Matters to Individual Investors? Evidence from the Horse's Mouth," Journal of Finance, American Finance Association, vol. 75(4), pages 1965-2020, August.
- Robert J. Shiller, 2017.
"Narrative Economics,"
NBER Working Papers
23075, National Bureau of Economic Research, Inc.
- Robert J. Shiller, 2017. "Narrative Economics," Cowles Foundation Discussion Papers 2069, Cowles Foundation for Research in Economics, Yale University.
- Robert J. Shiller, 2017. "Narrative Economics," American Economic Review, American Economic Association, vol. 107(4), pages 967-1004, April.
- Bu, Di & Hanspal, Tobin & Liao, Yin & Liu, Yong, 2021. "Risk taking, preferences, and beliefs: Evidence from Wuhan," SAFE Working Paper Series 301, Leibniz Institute for Financial Research SAFE.
- Francke, Marc & Korevaar, Matthijs, 2021. "Housing markets in a pandemic: Evidence from historical outbreaks," Journal of Urban Economics, Elsevier, vol. 123(C).
- Lleo, Sebastien & Ziemba, William T., 2017. "A tale of two indexes: predicting equity market downturns in China," LSE Research Online Documents on Economics 85131, London School of Economics and Political Science, LSE Library.
- Sergio Consoli & Luca Tiozzo Pezzoli & Elisa Tosetti, 2021.
"Emotions in Macroeconomic News and their Impact on the European Bond Market,"
Papers
2106.15698, arXiv.org.
- William N. Goetzmann, 2015.
"Bubble Investing: Learning from History,"
NBER Working Papers
21693, National Bureau of Economic Research, Inc.
Cited by:
- Michael D. Bordo, 2017.
"An Historical Perspective on the Quest for Financial Stability and the Monetary Policy Regime,"
NBER Working Papers
24154, National Bureau of Economic Research, Inc.
- Michael D. Bordo, 2017. "An Historical Perspective on the Quest for Financial Stability and the Monetary Policy Regime," Economics Working Papers 17108, Hoover Institution, Stanford University.
- Robin Greenwood & Andrei Shleifer & Yang You, 2017.
"Bubbles for Fama,"
NBER Working Papers
23191, National Bureau of Economic Research, Inc.
- Greenwood, Robin & Shleifer, Andrei & You, Yang, 2019. "Bubbles for Fama," Journal of Financial Economics, Elsevier, vol. 131(1), pages 20-43.
- Robin Greenwood & Andrei Shleifer & Yang You, 2017. "Bubbles for Fama," Working Paper 504391, Harvard University OpenScholar.
- Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare [Some particularities of the financial variables evolution]," MPRA Paper 73481, University Library of Munich, Germany, revised 02 Sep 2016.
- Quinn, William & Turner, John D., 2020. "Bubbles in history," QUCEH Working Paper Series 2020-07, Queen's University Belfast, Queen's University Centre for Economic History.
- Tom Roberts, 2017. "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers 17-38, Bank of Canada.
- Quinn, William & Turner, John D., 2021. "Riding the bubble or taken for a ride? Investors in the British bicycle mania," QUCEH Working Paper Series 2021-07, Queen's University Belfast, Queen's University Centre for Economic History.
- Olivier Blanchard & Lawrence H. Summers, 2019. "Ripensare le politiche macroeconomiche: evoluzione o rivoluzione? (Evolution or Revolution? Rethinking Macroeconomic Policy after the Great Recession)," Moneta e Credito, Economia civile, vol. 72(287), pages 171-195.
- Michael D. Bordo, 2017. "An historical perspective on financial stability and monetary policy regimes: A case for caution in central banks current obsession with financial stability," Working Paper 2018/5, Norges Bank.
- Michael D. Bordo & Christopher M. Meissner, 2016.
"Fiscal and Financial Crises,"
NBER Working Papers
22059, National Bureau of Economic Research, Inc.
- Bordo, M.D. & Meissner, C.M., 2016. "Fiscal and Financial Crises," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 355-412, Elsevier.
- Olivier J. Blanchard & Lawrence H. Summers, 2017. "Rethinking Stabilization Policy: Evolution or Revolution?," NBER Working Papers 24179, National Bureau of Economic Research, Inc.
- Quinn, William, 2016. "Technological revolutions and speculative finance: Evidence from the British Bicycle Mania," QUCEH Working Paper Series 2016-06, Queen's University Belfast, Queen's University Centre for Economic History.
- Michael D. Bordo, 2017.
"An Historical Perspective on the Quest for Financial Stability and the Monetary Policy Regime,"
NBER Working Papers
24154, 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.
Cited by:
- Chaonan Lin & Nien‐Tzu Yang & Robin K. Chou & Kuan‐Cheng Ko, 2022. "A timing momentum strategy," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(S1), pages 1339-1379, April.
- Andrew Y. Chen & Tom Zimmermann, 2022. "Publication Bias in Asset Pricing Research," Papers 2209.13623, arXiv.org, revised Dec 2022.
- Zaremba, Adam & Kizys, Renatas & Raza, Muhammad Wajid, 2020. "The long-run reversal in the long run: Insights from two centuries of international equity returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 177-199.
- Joseph Engelberg & Linh Thompson & Jared Williams, 2020. "Stock market anomalies and baseball cards," The Financial Review, Eastern Finance Association, vol. 55(3), pages 461-479, August.
- Paschke, Raphael & Prokopczuk, Marcel & Wese Simen, Chardin, 2020. "Curve momentum," Journal of Banking & Finance, Elsevier, vol. 113(C).
- Gram, Dennis & Karapanagiotis, Pantelis & Krzyzanowski, Jan & Liebald, Marius & Walz, Uwe, 2021. "An extensible model for historical financial data with an application to German company and stock market data," SAFE Working Paper Series 300, Leibniz Institute for Financial Research SAFE.
- Baltussen, Guido & Swinkels, Laurens & Van Vliet, Pim, 2021. "Global factor premiums," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1128-1154.
- Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Shanaev, Savva & Ghimire, Binam, 2019. "Is all politics local? Regional political risk in Russia and the panel of stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 21(C), pages 70-82.
- Cakici, Nusret & Zaremba, Adam & Bianchi, Robert J. & Pham, Nga, 2021. "False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987)," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
- Zaremba, Adam & Cakici, Nusret & Bianchi, Robert J. & Long, Huaigang, 2023. "Interest rate changes and the cross-section of global equity returns," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
- 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.
Cited by:
- 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).
- 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.
- le Bris, David, 2019. "Testing legal origins theory within France: Customary laws versus Roman code," Journal of Comparative Economics, Elsevier, vol. 47(1), pages 1-30.
- Rachelle Belinga & Blanche Segrestin, 2018. "Principals and stewards? An exploration of the role of institutional investors in corporate governance," Post-Print hal-01791931, HAL.
- 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.
- 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.
- Spaenjers , Christophe & Goetzmann , William, 2014. "The Economics of Aesthetics and Three Centuries of Art Price Records," HEC Research Papers Series 1055, HEC Paris.
Cited by:
- Binge, Laurie H. & Boshoff, Willem H., 2021. "Measuring alternative asset prices in an emerging market: The case of the South African art market," Emerging Markets Review, Elsevier, vol. 47(C).
- 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.
Cited by:
- Richard S.Grossman, 2017.
"Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929,"
Wesleyan Economics Working Papers
2017-004, Wesleyan University, Department of Economics.
- Grossman, Richard, 2017. "Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929," CEPR Discussion Papers 12121, C.E.P.R. Discussion Papers.
- Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
- 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.
- Richard S.Grossman, 2017.
"Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929,"
Wesleyan Economics Working Papers
2017-004, Wesleyan University, Department of Economics.
- 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.
Cited by:
- 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.
- Keith C. Brown & Cristian Ioan Tiu, 2013. "The Interaction of Spending Policies, Asset Allocation Strategies, and Investment Performance at University Endowment Funds," NBER Chapters, in: How the Financial Crisis and Great Recession Affected Higher Education, pages 43-98, National Bureau of Economic Research, Inc.
- Buss, Adrian & Uppal, Raman, 2017. "Financial Innovation and Asset Prices," CEPR Discussion Papers 12416, C.E.P.R. Discussion Papers.
- Harvey S. Rosen & Alexander J. W. Sappington, 2015. "What Do University Endowment Managers Worry About? An Analysis of Alternative Asset Investments and Background Income," NBER Working Papers 21271, National Bureau of Economic Research, Inc.
- Harvey S. Rosen & Alexander J.W. Sappington, 2015. "What Do University Endowment Managers Worry About? An Analysis of Alternative Asset Investments and Background Income," Working Papers 244, Princeton University, Department of Economics, Center for Economic Policy Studies..
- Yan Lau & Harvey S. Rosen, 2015. "Are Universities Becoming More Unequal?," NBER Working Papers 21432, National Bureau of Economic Research, Inc.
- John H. Cochrane, 2013.
"Finance: Function Matters, Not Size,"
Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 29-50, Spring.
- John H. Cochrane, 2013. "Finance: Function Matters, not Size," NBER Working Papers 18944, National Bureau of Economic Research, Inc.
- Harvey S. Rosen & Alexander J. W. Sappington, 2016. "What Do University Endowment Managers Worry About? An Analysis of Alternative Asset Investments and Background Income," Education Finance and Policy, MIT Press, vol. 11(4), pages 404-425, Fall.
- Yan Lau & Harvey S. Rosen, 2015. "Are Universities Becoming More Unequal?," Working Papers 245, Princeton University, Department of Economics, Center for Economic Policy Studies..
- Keith Brown & Cristian Tiu, 2013. "The Interaction of Spending Policies, Asset Allocation Strategies, and Investment Performance at University Endowment Funds," NBER Working Papers 19517, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Frank Newman, 2010.
"Securitization in the 1920's,"
NBER Working Papers
15650, National Bureau of Economic Research, Inc.
Cited by:
- Efraim Benmelech & Nittai K. Bergman, 2017.
"Credit Market Freezes,"
NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 493-523,
National Bureau of Economic Research, Inc.
- Efraim Benmelech & Nittai K. Bergman, 2018. "Credit Market Freezes," NBER Macroeconomics Annual, University of Chicago Press, vol. 32(1), pages 493-526.
- Efraim Benmelech & Nittai K. Bergman, 2017. "Credit Market Freezes," NBER Working Papers 23512, National Bureau of Economic Research, Inc.
- Adam B. Ashcraft & Tyler Wiggers, 2012. "Defaults and losses on commercial real estate bonds during the Great Depression era," Staff Reports 544, Federal Reserve Bank of New York.
- Tom Emmerling & Crocker Liu & Yildiray Yildirim, 2017. "The Hybrid Nature of Real Estate Trusts," ERES eres2017_370, European Real Estate Society (ERES).
- Kenneth Snowden, 2014. "A Historiography of Early NBER Housing and Mortgage Research," NBER Chapters, in: Housing and Mortgage Markets in Historical Perspective, pages 15-36, National Bureau of Economic Research, Inc.
- Timothy J. Riddiough, 2011. "Can Securitization Work? Economic, Structural and Policy Considerations," Working Papers 242011, Hong Kong Institute for Monetary Research.
- Andra Ghent & Rossen Valkanov, 2016. "Comparing Securitized and Balance Sheet Loans: Size Matters," Management Science, INFORMS, vol. 62(10), pages 2784-2803, October.
- Edward L. Glaeser, 2013. "A Nation Of Gamblers: Real Estate Speculation And American History," NBER Working Papers 18825, National Bureau of Economic Research, Inc.
- Kenneth Snowden & Eugene N. White & Price Fishback, 2014. "Introduction to "Housing and Mortgage Markets in Historical Perspective"," NBER Chapters, in: Housing and Mortgage Markets in Historical Perspective, pages 1-13, National Bureau of Economic Research, Inc.
- Efraim Benmelech & Nittai K. Bergman, 2017.
"Credit Market Freezes,"
NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 493-523,
National Bureau of Economic Research, Inc.
- 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.
Cited by:
- Gareth Campbell & Richard S.Grossman & John D. Turner, 2019.
"Before the Cult of Equity:New Monthly Indices of the British Share Market, 1829-1929,"
Wesleyan Economics Working Papers
2019-003, Wesleyan University, Department of Economics.
- Campbell, Gareth & Grossman, Richard S. & Turner, John D., 2019. "Before the cult of equity: New monthly indices of the British share market, 1829-1929," QUCEH Working Paper Series 2019-01, Queen's University Belfast, Queen's University Centre for Economic History.
- Campbell, Gareth & Grossman, Richard & Turner, John, 2019. "Before the Cult of Equity: New Monthly Indices of the British Share Market, 1829-1929," CEPR Discussion Papers 13717, C.E.P.R. Discussion Papers.
- Ma, Richie Ruchuan & Xiong, Tao, 2021. "Price explosiveness in nonferrous metal futures markets," Economic Modelling, Elsevier, vol. 94(C), pages 75-90.
- Robert F. Bruner & Scott C. Miller, 2020. "The First Modern Financial Crises: The South Sea and Mississippi Bubbles in Historical Perspective," Journal of Applied Corporate Finance, Morgan Stanley, vol. 32(4), pages 17-33, December.
- Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2015.
"Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins,"
ULB Institutional Repository
2013/226296, ULB -- Universite Libre de Bruxelles.
- Marie Brière & Kim Oosterlinck & Ariane Szafarz, 2015. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoin," Post-Print hal-02315410, HAL.
- Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2013. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoin," Working Papers CEB 13-031, ULB -- Universite Libre de Bruxelles.
- Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2015. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins," Post-Print CEB, ULB -- Universite Libre de Bruxelles, vol. 16(6), pages 365-373.
- Robin Greenwood & Andrei Shleifer & Yang You, 2017.
"Bubbles for Fama,"
NBER Working Papers
23191, National Bureau of Economic Research, Inc.
- Greenwood, Robin & Shleifer, Andrei & You, Yang, 2019. "Bubbles for Fama," Journal of Financial Economics, Elsevier, vol. 131(1), pages 20-43.
- Robin Greenwood & Andrei Shleifer & Yang You, 2017. "Bubbles for Fama," Working Paper 504391, Harvard University OpenScholar.
- Richard S.Grossman, 2017.
"Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929,"
Wesleyan Economics Working Papers
2017-004, Wesleyan University, Department of Economics.
- Grossman, Richard, 2017. "Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929," CEPR Discussion Papers 12121, C.E.P.R. Discussion Papers.
- Grahame Thompson, 2011. "Financial Globalization? History, Conditions and Prospects," Chapters, in: Jonathan Michie (ed.), The Handbook of Globalisation, Second Edition, chapter 2, Edward Elgar Publishing.
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- Santiago Carbó-Valverde & Pedro J. Cuadros-Solas & Francisco Rodríguez-Fernández, 2022. "Entrepreneurial, institutional and financial strategies for FinTech profitability," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-36, December.
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- Yang Hu & Les Oxley, 2017. "Exuberance in Historical Stock Prices during the Mississippi and South Seas Bubble Episodes," Working Papers in Economics 17/08, University of Waikato.
- Quinn, William & Turner, John D., 2021. "Riding the bubble or taken for a ride? Investors in the British bicycle mania," QUCEH Working Paper Series 2021-07, Queen's University Belfast, Queen's University Centre for Economic History.
- Madarász, Aladár, 2011. "Buborékok és legendák. Válságok és válságmagyarázatok - II/2. rész. A Déltengeri Társaság [Bubbles and myths, crises and explanations II/2: the South Sea bubble]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1001-1028.
- Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
- Michael Demmler & Amilcar Orlian Fernández Domínguez, 2021. "Bitcoin and the South Sea Company: A comparative analysis," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 13(1), pages 197-224, March.
- Quinn, William, 2016. "Squeezing the bears: Cornering risk and limits on arbitrage during the 'British Bicycle Mania', 1896-1898," QUCEH Working Paper Series 2016-05, Queen's University Belfast, Queen's University Centre for Economic History.
- Bogle, David A. & Campbell, Gareth & Coyle, Christopher & Turner, John D., 2022. "Why did shareholder liability disappear?," QUCEH Working Paper Series 2022-12, Queen's University Belfast, Queen's University Centre for Economic History.
- Turner, John D., 2017. "The development of English company law before 1900," QUCEH Working Paper Series 2017-01, Queen's University Belfast, Queen's University Centre for Economic History.
- Condorelli, Stefano, 2018. "Price momentum and the 1719-20 bubbles: A method to compare and interpret booms and crashes in asset markets," MPRA Paper 89888, University Library of Munich, Germany.
- Peter Koudijs, 2016. "The Boats That Did Not Sail: Asset Price Volatility in a Natural Experiment," Journal of Finance, American Finance Association, vol. 71(3), pages 1185-1226, June.
- Berardi, Michele, 2021. "Uncertainty, sentiments and time-varying risk premia," MPRA Paper 106922, University Library of Munich, Germany.
- Ozkan Haykir & Ibrahim Yagli, 2022. "Speculative bubbles and herding in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-33, December.
- Condorelli, Stefano, 2014. "The 1719-20 stock euphoria: a pan-European perspective," MPRA Paper 68652, University Library of Munich, Germany, revised Dec 2015.
- Peter Koudijs, 2013. "The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment," NBER Working Papers 18831, National Bureau of Economic Research, Inc.
- Hu, Yang & Oxley, Les, 2018.
"Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?,"
Economics Letters, Elsevier, vol. 162(C), pages 131-134.
- Yang Hu & Les Oxley, 2017. "Do 18th Century 'Bubbles' Survive the Scrutiny of 21st Century Time Series Econometrics?," Working Papers in Economics 17/19, University of Waikato.
- Ma, Yechi & Ahmad, Ferhana & Liu, Miao & Wang, Zilong, 2020. "Portfolio optimization in the era of digital financialization using cryptocurrencies," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
- William N. Goetzmann, 2015. "Bubble Investing: Learning from History," NBER Working Papers 21693, National Bureau of Economic Research, Inc.
- Kyriazis, Nikolaos & Papadamou, Stephanos & Corbet, Shaen, 2020. "A systematic review of the bubble dynamics of cryptocurrency prices," Research in International Business and Finance, Elsevier, vol. 54(C).
- Yang Hu & Les Oxley, 2017. "Exuberance in British Share Prices during the Railway Mania of the 1840s: Evidence from the Phillips, Shi and Yu Test," Working Papers in Economics 17/09, University of Waikato.
- Quinn, William, 2016. "Technological revolutions and speculative finance: Evidence from the British Bicycle Mania," QUCEH Working Paper Series 2016-06, Queen's University Belfast, Queen's University Centre for Economic History.
- 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.
Cited by:
- Charles Cao & Bing Liang & Andrew W. Lo & Lubomir Petrasek, 2014.
"Hedge fund holdings and stock market efficiency,"
Finance and Economics Discussion Series
2014-36, Board of Governors of the Federal Reserve System (U.S.).
- Charles Cao & Bing Liang & Andrew W Lo & Lubomir Petrasek, 2018. "Hedge Fund Holdings and Stock Market Efficiency," The Review of Asset Pricing Studies, Oxford University Press, vol. 8(1), pages 77-116.
- Kelly, Patrick & Gorovyy, Sergiy, 2020. "Does Secrecy Signal Skill? Characteristics and Performance of Secretive Hedge Funds," CEPR Discussion Papers 14873, C.E.P.R. Discussion Papers.
- Cline, Brandon N. & Walkling, Ralph A. & Yore, Adam S., 2018. "The consequences of managerial indiscretions: Sex, lies, and firm value," Journal of Financial Economics, Elsevier, vol. 127(2), pages 389-415.
- Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2020. "Are hedge funds' charitable donations strategic?," CFR Working Papers 20-14, University of Cologne, Centre for Financial Research (CFR).
- Patton, Andrew J & Ramadorai, Tarun & Streatfield, Michael, 2012.
"Change You Can Believe In? Hedge Fund Data Revisions,"
CEPR Discussion Papers
8898, C.E.P.R. Discussion Papers.
- Andrew J. Patton & Tarun Ramadorai & Michael Streatfield, 2015. "Change You Can Believe In? Hedge Fund Data Revisions," Journal of Finance, American Finance Association, vol. 70(3), pages 963-999, June.
- Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2021. "Are hedge funds' charitable donations strategic?," Journal of Corporate Finance, Elsevier, vol. 66(C).
- Gavin Cassar & Joseph Gerakos, 2017. "Do risk management practices work? Evidence from hedge funds," Review of Accounting Studies, Springer, vol. 22(3), pages 1084-1121, September.
- Chang, Xiaochen & Guo, Songlin & Huang, Junkai, 2022. "Kidnapped mutual funds: Irrational preference of naive investors and fund incentive distortion," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Sovan Mitra & Andreas Karathanasopoulos, 2019. "Firm Value and the Impact of Operational Management," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 61-85, March.
- Quentin Dupont & Jonathan M. Karpoff, 2020. "The Trust Triangle: Laws, Reputation, and Culture in Empirical Finance Research," Journal of Business Ethics, Springer, vol. 163(2), pages 217-238, May.
- Haziza, Mor M. & Kalay, Avner, 2020. "Trust and delegation: A case to consider on broker rebates and investor sophistication," Journal of Financial Markets, Elsevier, vol. 49(C).
- Luca Corazzini & Christopher Cotton & Tommaso Reggiani, 2020.
"Delegation and coordination with multiple threshold public goods: experimental evidence,"
Experimental Economics, Springer;Economic Science Association, vol. 23(4), pages 1030-1068, December.
- Luca Corazzini & Christopher Cotton & Tommaso Reggiani, 2019. "Delegation and Coordination with Multiple Threshold Public Goods: Experimental Evidence," Working Paper 1412, Economics Department, Queen's University.
- Corazzini, Luca & Cotton, Christopher & Reggiani, Tommaso G., 2019. "Delegation and Coordination with Multiple Threshold Public Goods: Experimental Evidence," IZA Discussion Papers 12817, Institute of Labor Economics (IZA).
- Luca Corazzini & Christopher Cotton & Tommaso Reggiani, 2019. "Delegation And Coordination With Multiple Threshold Public Goods: Experimental Evidence," MUNI ECON Working Papers 2019-02, Masaryk University, revised Feb 2023.
- Chernobai, Anna & Ozdagli, Ali & Wang, Jianlin, 2021. "Business complexity and risk management: Evidence from operational risk events in U.S. bank holding companies," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 418-440.
- Olivier Mesly & David W. Shanafelt & Nicolas Huck, 2021.
"Dysfunctional Markets: A Spray of Prey Perspective,"
Journal of Economic Issues, Taylor & Francis Journals, vol. 55(3), pages 797-819, July.
- Olivier Mesly & David W. Shanafelt & Nicolas Huck, 2020. "Dysfunctional markets: A spray of prey perspective," Working Papers of BETA 2020-34, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Olivier Mesly & David Shanafelt & Nicolas Huck, 2021. "Dysfunctional Markets : A Spray of prey perspective," Working Papers hal-03420865, HAL.
- Douglas Cumming & Simona Zambelli, 2017. "Due Diligence and Investee Performance," European Financial Management, European Financial Management Association, vol. 23(2), pages 211-253, March.
- Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2019. "Upside potential of hedge funds as a predictor of future performance," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 212-229.
- Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2014. "Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds," CFR Working Papers 14-13, University of Cologne, Centre for Financial Research (CFR).
- Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR).
- Áron Tóth, 2014. "Reputation Effects In The Market Of Certifiers: Evidence From The Audit Industry," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 505-517, April.
- Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
- Raphael Boleslavsky & Bruce Carlin & Christopher Cotton, 2019. "Disincentive Effects of Evaluation," Working Paper 1410, Economics Department, Queen's University.
- Vikas Agarwal & Yan Lu & Sugata Ray, 2016. "Under One Roof: A Study of Simultaneously Managed Hedge Funds and Funds of Hedge Funds," Management Science, INFORMS, vol. 62(3), pages 722-740, March.
- Joenväärä, Juha & Kosowski, Robert & Tolonen, Pekka, 2018. "The Effect of Investment Constraints on Hedge Fund Investor Returns," CEPR Discussion Papers 12599, C.E.P.R. Discussion Papers.
- Anna Chernobai & Ali Ozdagli & Jianlin Wang, 2018.
"Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies,"
2018 Meeting Papers
1146, Society for Economic Dynamics.
- Anna Chernobai & Ali Ozdagli & Jianlin Wang, 2016. "Business complexity and risk management: evidence from operational risk events in U. S. bank holding companies," Working Papers 16-16, Federal Reserve Bank of Boston.
- Jorion, Philippe & Schwarz, Christopher, 2014. "Are hedge fund managers systematically misreporting? Or not?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 311-327.
- Edwin J. Elton & Martin J. Gruber & Christopher R. Blake, 2014. "The Performance of Separate Accounts and Collective Investment Trusts," Review of Finance, European Finance Association, vol. 18(5), pages 1717-1742.
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2009.
"Art and Money,"
NBER Working Papers
15502, National Bureau of Economic Research, Inc.
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2011. "Art and Money," American Economic Review, American Economic Association, vol. 101(3), pages 222-226, May.
- 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.
- Goetzmann, W. & Renneboog, L.D.R. & Spaenjers, C., 2010. "Art and Money," Discussion Paper 2010-08, Tilburg University, Center for Economic Research.
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2011. "Art and Money," Post-Print hal-00623450, HAL.
- 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.
Cited by:
- Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2013.
"The Price of Wine,"
Working Papers
164656, American Association of Wine Economists.
- Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2015. "The price of wine," Journal of Financial Economics, Elsevier, vol. 118(2), pages 431-449.
- Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2013. "The Price of Wine," HEC Research Papers Series 1019, HEC Paris.
- Luc Renneboog, 2015. "Investing in Diamonds," Business and Economic Research, Macrothink Institute, vol. 5(1), pages 166-195, June.
- David, Géraldine & Li, Yuexin & Oosterlinck, Kim & Renneboog, Luc, 2021.
"Art in Times of Crisis,"
Discussion Paper
2021-026, Tilburg University, Center for Economic Research.
- David, Géraldine & Li, Yuexin & Oosterlinck, Kim & Renneboog, Luc, 2021. "Art in Times of Crisis," Other publications TiSEM 34925083-7378-4691-ba63-6, Tilburg University, School of Economics and Management.
- David, Géraldine & Li, Yuexin & Renneboog, Luc, 2022. "Art in Times of Crisis," CEPR Discussion Papers 16575, C.E.P.R. Discussion Papers.
- Renneboog, L.D.R. & Spaenjers, C., 2011.
"Hard Assets : The Returns on Rare Diamonds and Gems,"
Discussion Paper
2011-056, Tilburg University, Center for Economic Research.
- Christophe Spaenjers & Luc Renneboog, 2012. "Hard assets: The returns on rare diamonds and gems," Post-Print hal-00758542, HAL.
- Renneboog, Luc & Spaenjers, Christophe, 2012. "Hard assets: The returns on rare diamonds and gems," Finance Research Letters, Elsevier, vol. 9(4), pages 220-230.
- Renneboog, L.D.R. & Spaenjers, C., 2011. "Hard Assets : The Returns on Rare Diamonds and Gems," Other publications TiSEM 2312b4fe-233c-44a4-82a1-5, Tilburg University, School of Economics and Management.
- Graddy, Kathryn & Loewenstein, Lara & Mei, Jianping & Moses, Mike & Pownall, Rachel A J, 2014.
"Anchoring or Loss Aversion? Empirical Evidence from Art Auctions,"
CEPR Discussion Papers
10048, C.E.P.R. Discussion Papers.
- Kathryn Graddy & Lara Loewenstein & Jianping Mei & Mike Moses & Rachel A J Pownall, 2014. "Anchoring or Loss Aversion? Empirical Evidence from Art Auctions," ACEI Working Paper Series AWP-04-2014, Association for Cultural Economics International, revised Jun 2014.
- Spaenjers, C., 2011. "Essays in alternative investments," Other publications TiSEM 8c51041f-6a63-451f-b7f4-8, Tilburg University, School of Economics and Management.
- Ma, Marshall (Xiaoyin) & Noussair, Charles & Renneboog, Luc, 2019.
"Colors, Emotions, and the Auction Value of Paintings,"
Discussion Paper
2019-006, Tilburg University, Center for Economic Research.
- Ma, X. & Noussair, C.N. & Renneboog, Luc, 2022. "Colors, emotions, and the auction value of paintings," Other publications TiSEM 6e02bd92-e90d-4b93-a066-4, Tilburg University, School of Economics and Management.
- Ma, Marshall (Xiaoyin) & Noussair, Charles & Renneboog, Luc, 2019. "Colors, Emotions, and the Auction Value of Paintings," Other publications TiSEM b628fa65-83cf-41c8-b321-d, Tilburg University, School of Economics and Management.
- Ma, Marshall Xiaoyin & Noussair, Charles N. & Renneboog, Luc, 2022. "Colors, Emotions, and the Auction Value of Paintings," European Economic Review, Elsevier, vol. 142(C).
- Julien Pénasse & Luc Renneboog & Christophe Spaenjers, 2014.
"Sentiment and art prices,"
Post-Print
hal-00982427, HAL.
- Pénasse, Julien & Renneboog, Luc & Spaenjers, Christophe, 2014. "Sentiment and art prices," Economics Letters, Elsevier, vol. 122(3), pages 432-434.
- Arthur Korteweg & Roman Kräussl & Patrick Verwijmeren, 2016.
"Does it Pay to Invest in Art? A Selection-Corrected Returns Perspective,"
Review of Financial Studies, Society for Financial Studies, vol. 29(4), pages 1007-1038.
- Arthur Korteweg & Roman Kräussl & Patrick Verwijmeren, 2013. "Does it pay to invest in Art? A Selection-corrected Returns Perspective," Tinbergen Institute Discussion Papers 13-152/IV/DSF61, Tinbergen Institute.
- Roman Kraussl & Arthur Korteweg & Patrick Verwijmeren, 2013. "Does it Pay to Invest in Art? A Selection-corrected Returns Perspective," LSF Research Working Paper Series 13-7, Luxembourg School of Finance, University of Luxembourg.
- Korteweg, Arthur & Kräussl, Roman & Verwijmeren, Patrick, 2013. "Does it pay to invest in art? A selection-corrected returns perspective," CFS Working Paper Series 2013/18, Center for Financial Studies (CFS).
- Ünsal Özdilek, 2013. "Visual autocorrelation of prices," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 37(2), pages 203-223, May.
- Menconi, Denise, 2022. "Art as investment," Textos para discussão 557, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Lasse Steiner & Bruno S. Frey & Magnus Resch, 2014. "Who Collects Art? An International Empirical Assessment," CREMA Working Paper Series 2014-03, Center for Research in Economics, Management and the Arts (CREMA).
- Renneboog, L.D.R. & Spaenjers, C., 2014.
"Investment Returns and Economic Fundamentals in International Art Markets,"
Discussion Paper
2014-018, Tilburg University, Center for Economic Research.
- Renneboog, L.D.R. & Spaenjers, C., 2014. "Investment Returns and Economic Fundamentals in International Art Markets," Other publications TiSEM a93f84dd-2411-4b7d-ad58-6, Tilburg University, School of Economics and Management.
- Ma, X., 2019. "Essays on alternative investments," Other publications TiSEM 7f4d5b36-96cb-4eac-ae91-f, Tilburg University, School of Economics and Management.
- 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.
- Dimson, Elroy & Spaenjers, Christophe, 2011.
"Ex post: The investment performance of collectible stamps,"
Journal of Financial Economics, Elsevier, vol. 100(2), pages 443-458, May.
- Dimson, E. & Spaenjers, C., 2009. "Ex-Post : The Investment Performance of Collectible Stamps," Other publications TiSEM 68b9952c-21e0-45b0-aeb7-d, Tilburg University, School of Economics and Management.
- Elroy Dimson & Christophe Spaenjers, 2011. "Ex post: The investment performance of collectible stamps," Post-Print hal-00623442, HAL.
- Dimson, E. & Spaenjers, C., 2009. "Ex-Post : The Investment Performance of Collectible Stamps," Discussion Paper 2009-64, Tilburg University, Center for Economic Research.
- Dobrynskaya, Victoria & Kishilova, Julia, 2022.
"Lego: The Toy Of Smart Investors,"
Research in International Business and Finance, Elsevier, vol. 59(C).
- Victoria Dobrynskaya & Julia Kishilova, 2020. "Lego - The Toy Of Smart Investors," HSE Working papers WP BRP 80/FE/2020, National Research University Higher School of Economics.
- Emrah Çevik & Erdal Atukeren & Turhan Korkmaz, 2013. "Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests," Empirical Economics, Springer, vol. 45(2), pages 675-695, October.
- Shi, Yang & Xu, Hui & Wang, Mancang & Conroy, Paul, 2017. "Home bias in domestic art markets: Evidence from China," Economics Letters, Elsevier, vol. 159(C), pages 201-203.
- Coslor, Erica & Spaenjers, Christophe, 2016. "Organizational and epistemic change: The growth of the art investment field," Accounting, Organizations and Society, Elsevier, vol. 55(C), pages 48-62.
- Savva Shanaev & Nikita Shimkus & Binam Ghimire & Satish Sharma, 2020. "Children’s toy or grown-ups’ gamble? LEGO sets as an alternative investment," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 21(5), pages 577-620, November.
- David Chambers & Elroy Dimson & Christophe Spaenjers, 0.
"Art as an Asset: Evidence from Keynes the Collector,"
The Review of Asset Pricing Studies, Oxford University Press, vol. 10(3), pages 490-520.
- , & Spaenjers, Christophe, 2020. "Art as an Asset: Evidence from Keynes the Collector," CEPR Discussion Papers 14357, C.E.P.R. Discussion Papers.
- Jianping Mei & Michael A. Moses & Zur B. Shapira & Lawrence J. White, 2010. "Loss Aversion? What Loss Aversion? Some Surprising Evidence from the Art Market," Working Papers 10-10, New York University, Leonard N. Stern School of Business, Department of Economics.
- Li, Yuexin & Ma, X. & Renneboog, Luc, 2021.
"Pricing Art and the Art of Pricing : On Returns and Risk in Art Auction Markets,"
Other publications TiSEM
8d25ec25-78dc-4cdc-b054-f, Tilburg University, School of Economics and Management.
- Li, Yuexin & Ma, X. & Renneboog, Luc, 2021. "Pricing Art and the Art of Pricing : On Returns and Risk in Art Auction Markets," Discussion Paper 2021-018, Tilburg University, Center for Economic Research.
- Heinrich Ursprung, 2020. "Jane Beats Them All: Price Formation and Financial Returns to Investing in Rare Books," CESifo Working Paper Series 8302, CESifo.
- Fedderke, Johannes W. & Li, Kaini, 2020. "Art in Africa: Hedonic price analysis of the South African fine art auction market, 2009–2014," Economic Modelling, Elsevier, vol. 84(C), pages 88-101.
- Régis Blazy & Marie Blum, 2022. "Horizontal and vertical differentiation in comic art auctions," Economic Inquiry, Western Economic Association International, vol. 60(3), pages 1382-1415, July.
- Binge, Laurie H. & Boshoff, Willem H., 2021. "Measuring alternative asset prices in an emerging market: The case of the South African art market," Emerging Markets Review, Elsevier, vol. 47(C).
- Anne-Sophie V. Radermecker, 2021. "Art and culture in the COVID-19 era: for a consumer-oriented approach," SN Business & Economics, Springer, vol. 1(1), pages 1-14, January.
- Kompa Krzysztof & Witkowska Dorota, 2014. "Construction Of Hedonic Price Index For The “Most Liquid” Polish Painters," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 76-100, December.
- Le Fur, Eric, 2020. "Dynamics of the global fine art market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 167-180.
- Hellmanzik, Christiane, 2016. "Historic art exhibitions and modern - day auction results," Research in Economics, Elsevier, vol. 70(3), pages 421-430.
- Fabian Bocart & Ken Bastiaensen & Peter Cauwels, 2011. "The 1980s Price Bubble on (Post) Impressionism," ACEI Working Paper Series AWP-03-2011, Association for Cultural Economics International, revised Nov 2011.
- Laurs, DK & Renneboog, Luc, 2018.
"My Kingdom for a Horse (or a Classic Car),"
Other publications TiSEM
8f244bbd-b78b-491b-9021-d, Tilburg University, School of Economics and Management.
- Laurs, DK & Renneboog, Luc, 2018. "My Kingdom for a Horse (or a Classic Car)," Discussion Paper 2018-037, Tilburg University, Center for Economic Research.
- Laurs, Dries & Renneboog, Luc, 2019. "My kingdom for a horse (or a classic car)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 184-207.
- Alessia Crotta & Filip Vermeylen, 2020. "Does nudity sell? An econometric analysis of the value of female nudity in Modigliani portraits," ACEI Working Paper Series AWP-02-2020, Association for Cultural Economics International, revised Dec 2020.
- David, Geraldine, 2016. "Art as an investment in a historical perspective," Other publications TiSEM 2361da4b-d827-4cae-91ce-1, Tilburg University, School of Economics and Management.
- Kathryn Graddy & Lara Loewenstein & Jianping Mei & Mike Moses & Rachel Pownall, 2014. "Empirical Evidence of Anchoring and Loss Aversion from Art Auctions," Working Papers 73, Brandeis University, Department of Economics and International Businesss School, revised Apr 2015.
- Fur, Eric Le, 2021. "Fine Wines in a Diversified Portfolio of Collectibles," 2021 Conference, August 17-31, 2021, Virtual 315852, International Association of Agricultural Economists.
- Garay, Urbi, 2021. "Determinants of art prices and performance by movements: Long-run evidence from an emerging market," Journal of Business Research, Elsevier, vol. 127(C), pages 413-426.
- Helen Higgs & John Forster, 2014. "The auction market for artworks and their physical dimensions: Australia—1986 to 2009," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 38(1), pages 85-104, February.
- Li, Yuexin, 2021. "Pricing art: Returns, trust, and crises," Other publications TiSEM 8832c172-83dd-4ed9-8215-0, Tilburg University, School of Economics and Management.
- Dorota Witkowska, 2014. "An Application of Hedonic Regression to Evaluate Prices of Polish Paintings," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(3), pages 281-293, August.
- 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.
Cited by:
- Tima T. Moldogaziev & Tatyana Guzman, 2015. "Economic Crises, Economic Structure, and State Credit Quality Through-the-Cycle," Public Budgeting & Finance, Wiley Blackwell, vol. 35(4), pages 42-67, December.
- John A. Ruddy, 2021. "An Analysis of Bank Financial Strength Ratings and Credit Rating Data," Risks, MDPI, vol. 9(9), pages 1-16, August.
- Marcelo Rezende, 2014. "The Effects of Bank Charter Switching on Supervisory Ratings," Finance and Economics Discussion Series 2014-20, Board of Governors of the Federal Reserve System (U.S.).
- Kladakis, George & Chen, Lei & Bellos, Sotirios K., 2022. "Multiple credit ratings and liquidity creation," Finance Research Letters, Elsevier, vol. 46(PA).
- Gil Cohen, 2014. "On the Impact of Bond's Rating Changes on the Firm's Stock Price," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(1), pages 64-70, January.
- Morkoetter, Stefan & Stebler, Roman & Westerfeld, Simone, 2017.
"Competition in the credit rating Industry: Benefits for investors and issuers,"
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"Portfolio Diversification, Proximity Investment and City Agglomeration,"
Yale School of Management Working Papers
ysm452, Yale School of Management.
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Cited by:
- Sengupta, Atri & Deb, Soumya Guha & Mittal, Shashank, 2021. "The underlying motivational process behind portfolio diversification choice decisions of individual investors: An experimental design," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
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"Agglomeration Economies and Local Comovement of Stock Returns,"
MPRA Paper
31887, University Library of Munich, Germany.
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"Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements,"
MPRA Paper
28216, University Library of Munich, Germany.
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"Do More Economists Hold Stocks?,"
Finance Research Group Working Papers
F-2005-02, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Charlotte Christiansen & Juanna Shröter Joensen & Jesper Rangvid, 2005. "Do More Economists Hold Stocks?," Economics Working Papers 2005-06, Department of Economics and Business Economics, Aarhus University.
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"Home Country Bias: Does Domestic Experience Help Investors Enter Foreign Markets?,"
Working Papers Department of Economics
2010/02, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
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"Dispersion of Opinion and Stock Returns,"
Yale School of Management Working Papers
ysm444, Yale School of Management.
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Cited by:
- Cabrera, Juan & Gousgounis, Eleni, 2021. "The dynamics of short sales constraints and market quality: An experimental approach," Journal of Financial Markets, Elsevier, vol. 53(C).
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- Wang, Hailong & Hu, Duni, 2022. "Heterogenous beliefs with sentiments and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
- Dan Li & Geng Li, 2021. "Whose Disagreement Matters? Household Belief Dispersion and Stock Trading Volume [Belief dispersion in the stock market]," Review of Finance, European Finance Association, vol. 25(6), pages 1859-1900.
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"Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach,"
Working Papers
201668, University of Pretoria, Department of Economics.
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"Social Networks and Housing Markets,"
CEPR Discussion Papers
11272, C.E.P.R. Discussion Papers.
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"Belief Dispersion in the Stock Market,"
Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
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- Afees A. Salisu & Riza Demirer & Rangan Gupta, 2022. "Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality," Working Papers 202232, University of Pretoria, Department of Economics.
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- Dan Li & Geng Li, 2014. "Are Household Investors Noise Traders: Evidence from Belief Dispersion and Stock Trading Volume," Finance and Economics Discussion Series 2014-35, Board of Governors of the Federal Reserve System (U.S.).
- Xiaoquan Jiang, 2010. "Return dispersion and expected returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(2), pages 107-135, June.
- Hibbert, Ann Marie & Kang, Qiang & Kumar, Alok & Mishra, Suchi, 2020. "Heterogeneous beliefs and return volatility around seasoned equity offerings," Journal of Financial Economics, Elsevier, vol. 137(2), pages 571-589.
- Saskia ter Ellen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2016.
"Agreeing on disagreement: heterogeneity or uncertainty?,"
Working Paper
2016/4, Norges Bank.
- ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2019. "Agreeing on disagreement: Heterogeneity or uncertainty?," Journal of Financial Markets, Elsevier, vol. 44(C), pages 17-30.
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- Ling Cen & K. C. John Wei & Liyan Yang, 2017. "Disagreement, Underreaction, and Stock Returns," Management Science, INFORMS, vol. 63(4), pages 1214-1231, April.
- Iuliia Brushko & Stephen P. Ferris & Jan Hanousek & Jiri Tresl, 2020. "Intra-Industry Transfer of Information Inferred From Trading Volume," CERGE-EI Working Papers wp663, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Li, Wei & Rhee, Ghon & Wang, Steven Shuye, 2017. "Differences in herding: Individual vs. institutional investors," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 174-185.
- Paul Fischer & Chongho Kim & Frank Zhou, 2022. "Disagreement about fundamentals: measurement and consequences," Review of Accounting Studies, Springer, vol. 27(4), pages 1423-1456, December.
- Jeffrey Hobbs & Hei Wai Lee & Vivek Singh, 2017. "New evidence on the effect of belief heterogeneity on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 289-309, February.
- William Goetzmann, 2005.
"More Social Security, Not Less,"
Yale School of Management Working Papers
ysm449, Yale School of Management.
Cited by:
- Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross, 2008.
"The True Cost of Social Security,"
NBER Working Papers
14427, National Bureau of Economic Research, Inc.
- Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross & Sergio Villar Vallenas, 2019. "The True Cost of Social Security," Tax Policy and the Economy, University of Chicago Press, vol. 33(1), pages 131-163.
- Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross & Sergio Villar Vallenas, 2018. "The True Cost of Social Security," NBER Chapters, in: Tax Policy and the Economy, Volume 33, National Bureau of Economic Research, Inc.
- John Geanakoplos & Stephen P. Zeldes, 2009.
"Reforming Social Security with Progressive Personal Accounts,"
NBER Chapters, in: Social Security Policy in a Changing Environment, pages 73-121,
National Bureau of Economic Research, Inc.
- John Geanakoplos & Stephen P. Zeldes, 2008. "Reforming Social Security with Progressive Personal Accounts," Cowles Foundation Discussion Papers 1664, Cowles Foundation for Research in Economics, Yale University.
- John Geanakoplos & Stephen P. Zeldes, 2008. "Reforming Social Security with Progressive Personal Accounts," NBER Working Papers 13979, National Bureau of Economic Research, Inc.
- John Geanakoplos & Stephen P Zeldes, 2008. "Reforming Social Security with Progressive Personal Accounts," Levine's Working Paper Archive 122247000000002230, David K. Levine.
- John Geanakoplos & Stephen P. Zeldes, 2009.
"Market Valuation of Accrued Social Security Benefits,"
Cowles Foundation Discussion Papers
1711, Cowles Foundation for Research in Economics, Yale University.
- John Geanokoplos & Stephen P. Zeldes, 2010. "Market Valuation of Accrued Social Security Benefits," NBER Chapters, in: Measuring and Managing Federal Financial Risk, pages 213-233, National Bureau of Economic Research, Inc.
- John Geanakoplos & Stephen P. Zeldes, 2009. "Market Valuation of Accrued Social Security Benefits," NBER Working Papers 15170, National Bureau of Economic Research, Inc.
- Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross, 2008.
"The True Cost of Social Security,"
NBER Working Papers
14427, National Bureau of Economic Research, Inc.
- William Goetzmann & Roger Ibbotson, 2005.
"History and the Equity Risk Premium,"
Yale School of Management Working Papers
ysm448, Yale School of Management.
Cited by:
- Alexander Harin, 2005. "Gains and losses: the same or different choices? A “non-ideal” economics approach," International Finance 0509002, University Library of Munich, Germany.
- Harin, Alexander, 2006. "Scientific Revolution? A Farewell to EconWPA. MPRA is welcome," MPRA Paper 71, University Library of Munich, Germany.
- Andrés Mauricio Gómez Sánchez & José Gabriel Astaiza Gómez, 2015. "Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 7(1), pages 109-129, January.
- Christophe, Faugere, 2003. "A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination," MPRA Paper 15579, University Library of Munich, Germany, revised 04 Jun 2009.
- Till, Gábor, 2021. "Az árfolyam-nyereség arány szerepe a német tőzsdei kereskedésben [The role of the P/E ratio in trading on the German stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 815-846.
- Alexander Harin, 2005. "Scientific Revolution. A Farewell to EconWPA," Method and Hist of Econ Thought 0512003, University Library of Munich, Germany.
- Alexander Harin, 2005. "A Rational Irrational Man," Public Economics 0511005, University Library of Munich, Germany.
- Alexander Harin, 2005. "Gains and losses. The same or different choices?," International Finance 0508004, University Library of Munich, Germany.
- 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.
- 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.
Cited by:
- Braggion, Fabio & Moore, Lyndon, 2013.
"The Economic Benefits of Political Connections in Late Victorian Britain,"
The Journal of Economic History, Cambridge University Press, vol. 73(1), pages 142-176, March.
- Braggion, F. & Moore, L., 2011. "The Economic Benefits of Political Connections in Late Victorian Britain," Discussion Paper 2011-039, Tilburg University, Center for Economic Research.
- Braggion, F. & Moore, L., 2011. "The Economic Benefits of Political Connections in Late Victorian Britain," Other publications TiSEM 0f305e3a-a699-4697-9679-5, Tilburg University, School of Economics and Management.
- Oscar Bernal Diaz & Kim Oosterlinck & Ariane Szafarz, 2009.
"Observing bailout expectations during a total eclipse of the sun,"
DULBEA Working Papers
09-01.RS, ULB -- Universite Libre de Bruxelles.
- Oscar Bernal Diaz & Kim Oosterlinck & Ariane Szafarz, 2008. "Observing bailout expectations during a total eclipse of the sun," Working Papers CEB 08-015.RS, ULB -- Universite Libre de Bruxelles.
- Bernal, Oscar & Oosterlinck, Kim & Szafarz, Ariane, 2010. "Observing bailout expectations during a total eclipse of the sun," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1193-1205, November.
- Crafts, Nicholas, 2020.
"British Relative Economic Decline in the Aftermath of German Unification,"
The Warwick Economics Research Paper Series (TWERPS)
1295, University of Warwick, Department of Economics.
- Crafts, Nicholas, 2020. "British Relative Economic Decline in the Aftermath of German Unification," CAGE Online Working Paper Series 501, Competitive Advantage in the Global Economy (CAGE).
- Richard S. Grossman, 2015. "Bloody foreigners! Overseas equity on the London Stock Exchange, 1869–1929," Economic History Review, Economic History Society, vol. 68(2), pages 471-521, May.
- David Chambers, 2009. "Gentlemanly capitalism revisited: a case study of the underpricing of initial public offerings on the London Stock Exchange, 1946–861," Economic History Review, Economic History Society, vol. 62(s1), pages 31-56, August.
- Richard S.Grossman, 2017.
"Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929,"
Wesleyan Economics Working Papers
2017-004, Wesleyan University, Department of Economics.
- Grossman, Richard, 2017. "Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929," CEPR Discussion Papers 12121, C.E.P.R. Discussion Papers.
- Brian Mitchell & David Chambers & Nick Crafts, 2011.
"How good was the profitability of British railways, 1870–1912?,"
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Economic History Review, Economic History Society, vol. 61(4), pages 842-866, November.
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Yale School of Management Working Papers
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Cited by:
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"The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control,"
Yale School of Management Working Papers
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"The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control,"
Yale School of Management Working Papers
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- 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
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"Never Waste a Good Crisis: An Historical Perspective on Comparative Corporate Governance,"
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"China and the World Financial Markets 1870-1930:Modern Lessons From Historical Globalization (Chinese Version),"
Yale School of Management Working Papers
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Cited by:
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- 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.
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"A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability,"
Yale School of Management Working Papers
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- 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.
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- 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.
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"Investor Psychology and Asset Pricing,"
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1950, Cowles Foundation for Research in Economics, Yale University.
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"Returns To Investors In Stocks In New Industries,"
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- William Goetzmann & Roger Ibbotson, 2005. "History and the Equity Risk Premium," Yale School of Management Working Papers ysm448, Yale School of Management.
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Working Paper Series
WP-2014-27, Federal Reserve Bank of Chicago.
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"Momentum in Imperial Russia,"
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- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2009.
"Art and Money,"
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- 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.
- Goetzmann, W. & Renneboog, L.D.R. & Spaenjers, C., 2010. "Art and Money," Discussion Paper 2010-08, Tilburg University, Center for Economic Research.
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2011. "Art and Money," Post-Print hal-00623450, HAL.
- 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.
- William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2011. "Art and Money," American Economic Review, American Economic Association, vol. 101(3), pages 222-226, May.
- Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
- Turner, John D., 2014. "Financial history and financial economics," QUCEH Working Paper Series 14-03, Queen's University Belfast, Queen's University Centre for Economic History.
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- Victor Court & Florian Fizaine, 2015. "Estimations of very long-term time series of global energy return-on-investment (EROI) of coal, oil and gas productions," Working Papers 1510, Chaire Economie du climat.
- David Le Bris & Pierre-Cyrille Hautcoeur, 2009. "A Challenge to Triumphant Optimists? A New Index for the Paris Stock-Exchange (1854-2007)," Working Papers 09-02, Association Française de Cliométrie (AFC).
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"Economic policy uncertainty and stock markets: Long-run evidence from the US,"
Finance Research Letters, Elsevier, vol. 18(C), pages 136-141.
- Mohamed Arouri & Christophe Estay & Christophe Rault & David Roubaud, 2016. "Economic policy uncertainty and stock markets: Long-run evidence from the US," Post-Print hal-02009137, HAL.
- J. Isaac Miller, 2010. "Cointegrating regressions with messy regressors and an application to mixed‐frequency series," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 255-277, July.
- Gram, Dennis & Karapanagiotis, Pantelis & Krzyzanowski, Jan & Liebald, Marius & Walz, Uwe, 2021. "An extensible model for historical financial data with an application to German company and stock market data," SAFE Working Paper Series 300, Leibniz Institute for Financial Research SAFE.
- Gareth Campbell & Meeghan Rogers, 2017. "Integration between the London and New York Stock Exchanges, 1825–1925," Economic History Review, Economic History Society, vol. 70(4), pages 1185-1218, November.
- Davies, Richard & Haldane, Andrew G. & Nielsen, Mette & Pezzini, Silvia, 2014. "Measuring the costs of short-termism," Journal of Financial Stability, Elsevier, vol. 12(C), pages 16-25.
- Annaert, Jan & Verdickt, Gertjan, 2021. "Go active or stay passive: Investment trust, financial innovation and diversification in Belgium's early days," Explorations in Economic History, Elsevier, vol. 79(C).
- Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2009. "Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets," NBER Working Papers 15591, National Bureau of Economic Research, Inc.
- Annaert, Jan & Mensah, Lord, 2014. "Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)," Explorations in Economic History, Elsevier, vol. 52(C), pages 22-43.
- Bernstein, Asaf & Hughson, Eric & Weidenmier, Marc D., 2010. "Identifying the effects of a lender of last resort on financial markets: Lessons from the founding of the fed," Journal of Financial Economics, Elsevier, vol. 98(1), pages 40-53, October.
- Levy, Haim & Levy, Moshe, 2021. "Stocks versus bonds for the long run when a riskless asset is available," Journal of Banking & Finance, Elsevier, vol. 133(C).
- David le Bris, 2018. "What is a market crash?," Economic History Review, Economic History Society, vol. 71(2), pages 480-505, May.
- Rebecca Stuart, 2022. "Stock Return Predictability before the First World War," IRENE Working Papers 22-02, IRENE Institute of Economic Research.
- Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
- William N. Goetzmann & Massimo Massa & Andrei Simonov, 2004.
"Portfolio Diversification and City Agglomeration,"
NBER Working Papers
10343, National Bureau of Economic Research, Inc.
Cited by:
- Fu, Shihe & Shan, Liwei, 2011.
"Agglomeration Economies and Local Comovement of Stock Returns,"
MPRA Paper
31887, University Library of Munich, Germany.
- Shihe Fu & Liwei Shan, 2013. "Agglomeration Economies and Local Comovement of Stock Returns," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Leung, Charles Ka Yui & Teo, Wing Leong, 2010.
"Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements,"
MPRA Paper
28216, University Library of Munich, Germany.
- Leung, Charles Ka Yui & Teo, Wing Leong, 2011. "Should the optimal portfolio be region-specific? A multi-region model with monetary policy and asset price co-movements," Regional Science and Urban Economics, Elsevier, vol. 41(3), pages 293-304, May.
- Christiansen, Charlotte & Joensen, Juanna Schröter & Rangvid, Jesper, 2005.
"Do More Economists Hold Stocks?,"
Finance Research Group Working Papers
F-2005-02, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Charlotte Christiansen & Juanna Shröter Joensen & Jesper Rangvid, 2005. "Do More Economists Hold Stocks?," Economics Working Papers 2005-06, Department of Economics and Business Economics, Aarhus University.
- Michael Firth & Shihe Fu & Liwei Shan, 2017. "Do agglomeration economies affect the local comovement of stock returns? Evidence from China," Urban Studies, Urban Studies Journal Limited, vol. 54(5), pages 1142-1161, April.
- Hoechle, Daniel & Zimmermann, Heinz, 2007. "A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors," Working papers 2007/14, Faculty of Business and Economics - University of Basel.
- Morse, Adair & Shive, Sophie, 2011. "Patriotism in your portfolio," Journal of Financial Markets, Elsevier, vol. 14(2), pages 411-440, May.
- Marion Kohler & Kylie Smith, 2005. "Housing and the Household Wealth Portfolio: The Role of Location," RBA Research Discussion Papers rdp2005-10, Reserve Bank of Australia.
- Margarida Abreu & Victor Mendes & João A. Santos, 2010.
"Home Country Bias: Does Domestic Experience Help Investors Enter Foreign Markets?,"
Working Papers Department of Economics
2010/02, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Abreu, Margarida & Mendes, Victor & Santos, João A.C., 2011. "Home country bias: Does domestic experience help investors enter foreign markets?," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2330-2340, September.
- Bruce Kogut & Pietro Urso & Gordon Walker, 2007. "Emergent Properties of a New Financial Market: American Venture Capital Syndication, 1960-2005," Management Science, INFORMS, vol. 53(7), pages 1181-1198, July.
- Bodnaruk, Andriy & Ostberg, Per, 2009. "Does investor recognition predict returns?," Journal of Financial Economics, Elsevier, vol. 91(2), pages 208-226, February.
- Fu, Shihe & Shan, Liwei, 2011.
"Agglomeration Economies and Local Comovement of Stock Returns,"
MPRA Paper
31887, University Library of Munich, Germany.
- 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 & Roger G. Ibbotson, 1998. "An Emerging Market: The NYSE From 1815 to 1871," Yale School of Management Working Papers ysm49, Yale School of Management.
Cited by:
- Lubos Pastor & Robert F. Stambaugh, "undated".
"The Equity Premium and Structural Breaks,"
Rodney L. White Center for Financial Research Working Papers
11-00, Wharton School Rodney L. White Center for Financial Research.
- Ľluboš Pástor & Robert F. Stambaugh, 2001. "The Equity Premium and Structural Breaks," Journal of Finance, American Finance Association, vol. 56(4), pages 1207-1239, August.
- Lubos Pástor & Robert F. Stambaugh, "undated". "The Equity Premium and Structural Breaks," Rodney L. White Center for Financial Research Working Papers 21-98, Wharton School Rodney L. White Center for Financial Research.
- Luboš Pástor & Robert F. Stambaugh, 2000. "The Equity Premium and Structural Breaks," CRSP working papers 519, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2000. "The Equity Premium and Structural Breaks," NBER Working Papers 7778, 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 & 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, 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.
Cited by:
- Francisca Richter & B. Wade Brorsen, 2000. "Estimating fees for managed futures: a continuous-time model with a knockout feature," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(2), pages 115-125.
- Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005.
"Systemic Risk and Hedge Funds,"
NBER Working Papers
11200, National Bureau of Economic Research, Inc.
- Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
- Nicole Boyson & Robert Mooradian, 2011. "Corporate governance and hedge fund activism," Review of Derivatives Research, Springer, vol. 14(2), pages 169-204, July.
- Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003.
"An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns,"
NBER Working Papers
9571, National Bureau of Economic Research, Inc.
- Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
- Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Gaurav S. Amin & Harry M. Kat, 2001. "Welcome to the Dark Side - Hedge Fund Attrition and Survivorship Bias over the period 1994-2001," ICMA Centre Discussion Papers in Finance icma-dp2002-02, Henley Business School, University of Reading, revised Jan 2002.
- Franklin R. Edward, 1999. "Hedge Funds and the Collapse of Long-Term Capital Management," Journal of Economic Perspectives, American Economic Association, vol. 13(2), pages 189-210, Spring.
- Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y., 2007. "Hedge funds for retail investors? An examination of hedged mutual funds," CFR Working Papers 07-04, University of Cologne, Centre for Financial Research (CFR).
- Thomas Gimbel & Francis Gupta & Dan Pines, 2004. "Entry & Exit: The Lifecyle of a Hedge Fund," Industrial Organization 0407002, University Library of Munich, Germany.
- William N. Goetzmann, 2004.
"Fibonacci and the Financial Revolution,"
Yale School of Management Working Papers
ysm19, Yale School of Management.
- William N. Goetzmann, 2004. "Fibonacci and the Financial Revolution," NBER Working Papers 10352, National Bureau of Economic Research, Inc.
- William Goetzmann, 2003. "Fibonacci and the Financial Revolution," Yale School of Management Working Papers ysm432, Yale School of Management, revised 01 Mar 2004.
Cited by:
- Stefan Behringer, 2016. "The Development of the Net Present Value (NPV) Rule ¨C Religious Prohibitions and Its Evolution," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 74-87, August.
- Diana A. Filip & Cyrille Piatecki, 2014. "In defense of a non-newtonian economic analysis," Working Papers hal-00945782, HAL.
- Laeven, Luc & Levine, Ross & Michalopoulos, Stelios, 2015.
"Financial innovation and endogenous growth,"
Journal of Financial Intermediation, Elsevier, vol. 24(1), pages 1-24.
- Stelios Michalopoulos & Luc Laeven & Ross Levine, 2009. "Financial Innovation and Endogenous Growth," NBER Working Papers 15356, National Bureau of Economic Research, Inc.
- Stelios Michalopoulos & Luc Lueven & Ross Levine, 2010. "Financial Innovation and Endogenous Growth," Discussion Papers Series, Department of Economics, Tufts University 0746, Department of Economics, Tufts University.
- Stelios Michalopoulos & Luc Laeven & Ross Levine, 2011. "Financial Innovation and Endogenous Growth," Economics Working Papers 0097, Institute for Advanced Study, School of Social Science.
- Laeven, Luc & Levine, Ross & Michalopoulos, Stelios, 2009. "Financial Innovation and Endogenous Growth," CEPR Discussion Papers 7465, C.E.P.R. Discussion Papers.
- Balbir S. Sihag, 2017. "Kautilya, Fibonacci and Samuelson on Discounting," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 7(2), pages 1-3.
- Timothy C. Johnson, 2013. "Reciprocity as the foundation of Financial Economics," Papers 1310.2798, arXiv.org.
- Mark Koyama, 2008. "Evading the 'Taint of Usury' Complex Contracts and Segmented Capital Markets," Economics Series Working Papers 412, University of Oxford, Department of Economics.
- Timothy Johnson, 2015. "Reciprocity as a Foundation of Financial Economics," Journal of Business Ethics, Springer, vol. 131(1), pages 43-67, September.
- Hrvoje Josic & Berislav Zmuk, 2020. "Can Croatian Urban Hierarchy Be Approximated With The Fibonacci Sequence? An Analysis On Historical Population Data," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 29(1), pages 3-28, june.
- Fragiskos Archontakis & Evan Osborne, 2007. "Playing It Safe? A Fibonacci Strategy for Soccer Betting," Journal of Sports Economics, , vol. 8(3), pages 295-308, June.
- Timothy C. Johnson, 2012. "Ethics and Finance: the role of mathematics," Papers 1210.5390, arXiv.org.
- 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.
Cited by:
- James Angel & Douglas McCabe, 2009. "The Business Ethics of Short Selling and Naked Short Selling," Journal of Business Ethics, Springer, vol. 85(1), pages 239-249, February.
- Ghosh, Swati & Revilla, Ernesto, 2007.
"Enhancing the efficiency of securities markets in East Asia,"
Policy Research Working Paper Series
4129, The World Bank.
- Swati Ghosh & Ernesto Revilla, 2008. "Enhancing the efficiency of securities markets in East Asia," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 1(2), pages 249-268.
- 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.
Cited by:
- Desai, Mihir A. & Dyck, Alexander & Gonzales, Luigi, 2006. "Theft and Taxes," Working Papers 207, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
- Igor Goncharov & Sander Triest, 2014. "Unintended Consequences of Changing Accounting Standards: The Case of Fair Value Accounting and Mandatory Dividends," Abacus, Accounting Foundation, University of Sydney, vol. 50(3), pages 341-367, September.
- Mihir A. Desai & Alexander Dyck & Luigi Zingales, 2004.
"Theft and Taxes,"
NBER Working Papers
10978, National Bureau of Economic Research, Inc.
- Desai, Mihir A. & Dyck, Alexander & Zingales, Luigi, 2007. "Theft and taxes," Journal of Financial Economics, Elsevier, vol. 84(3), pages 591-623, June.
- Desai, Mihir & Dyck, Alexander & Zingales, Luigi, 2004. "Theft and Taxes," CEPR Discussion Papers 4816, C.E.P.R. Discussion Papers.
- Black, Bernard S. & Love, Inessa & Rachinsky, Andrei, 2006. "Corporate governance indices and firms' market values: Time series evidence from Russia," Emerging Markets Review, Elsevier, vol. 7(4), pages 361-379, December.
- Inoue, Kotaro & Kato, Hideaki Kiyoshi & James Schallheim, 2008. "Parent company puzzle in Japan : another case of the limits of arbitrage," Hitotsubashi Journal of commerce and management, Hitotsubashi University, vol. 42(1), pages 67-85, October.
- Bernard S. Black & Inessa Love & Andrei Rachinsky, 2005.
"Corporate Governance and Firms' Market Values: Time Series Evidence from Russia,"
Working Papers
w0053, New Economic School (NES).
- Bernard S. Black & Inessa Love & Andrei Rachinsky, 2005. "Corporate Governance and Firms' Market Values: Time Series Evidence from Russia," Working Papers w0053, Center for Economic and Financial Research (CEFIR).
- Ilya Okhmatovskiy & Robert J. David, 2012. "Setting Your Own Standards: Internal Corporate Governance Codes as a Response to Institutional Pressure," Organization Science, INFORMS, vol. 23(1), pages 155-176, February.
- Odegaard, Bernt Arne, 2007. "Price differences between equity classes. Corporate control, foreign ownership or liquidity?," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3621-3645, December.
- Caprio, Lorenzo & Croci, Ettore, 2008. "The determinants of the voting premium in Italy: The evidence from 1974 to 2003," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2433-2443, November.
- 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.
Cited by:
- Jördis Hengelbrock & Erik Theissen & Christian Westheide, 2013.
"Market Response to Investor Sentiment,"
Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 901-917, September.
- Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian, 2011. "Market response to investor sentiment," CFS Working Paper Series 2011/02, Center for Financial Studies (CFS).
- Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian, 2011. "Market response to investor sentiment," CFR Working Papers 11-01, University of Cologne, Centre for Financial Research (CFR).
- Jim Clayton & David Ling & Andy Naranjo, 2009. "Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment," The Journal of Real Estate Finance and Economics, Springer, vol. 38(1), pages 5-37, January.
- Hirshleifer, David & Jiang, Danling, 2007.
"A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns,"
MPRA Paper
20636, University Library of Munich, Germany, revised 10 Feb 2010.
- David Hirshleifer & Danling Jiang, 2010. "A Financing-Based Misvaluation Factor and the Cross-Section of Expected Returns," Review of Financial Studies, Society for Financial Studies, vol. 23(9), pages 3401-3436.
- Malcolm Baker & Jeffrey Wurgler, 2007.
"Investor Sentiment in the Stock Market,"
Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 129-152, Spring.
- Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," NBER Working Papers 13189, National Bureau of Economic Research, Inc.
- 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 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, 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.
- Bathia, Deven & Bredin, Don, 2018. "Investor sentiment: Does it augment the performance of asset pricing models?," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 290-303.
- French, Joseph J. & Li, Wei-Xuan, 2017. "Sentiment, foreign equity flows, and returns: Evidence from Thailand’s stock markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 816-831.
- Muhammad Zia Ur Rehman & Zain ul Abidin & Faisal Rizwan & Zaheer Abbas & Sajjad Ahmad Baig, 2017. "How investor sentiments spillover from developed countries to developing countries?," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1309096-130, January.
- Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
- Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael, 2013. "Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 572-591.
- Ahmed Salhin & Mo Sherif & Edward Jones, 2016. "Investor Sentiment and Sector Returns," CFI Discussion Papers 1602, Centre for Finance and Investment, Heriot Watt University.
- Cha, Heung-Joo & Kim, Jaebeom, 2010. "Stock returns and investment trust flows in the Japanese financial market: A system approach," Journal of Asian Economics, Elsevier, vol. 21(4), pages 327-332, August.
- Siganos, Antonios & Vagenas-Nanos, Evangelos & Verwijmeren, Patrick, 2017. "Divergence of sentiment and stock market trading," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 130-141.
- Venezia, Itzhak & Shapira, Zur, 2007. "On the behavioral differences between professional and amateur investors after the weekend," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1417-1426, May.
- Mohamed Ayadi & Hatem Ben-Ameur & Skander Lazrak & Yue Wang, 2013. "Canadian Investors and the Discount on Closed-End Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 69-98, February.
- Hirshleifer, David & Jiang, Danling, 2007. "Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns," MPRA Paper 16134, University Library of Munich, Germany, revised 08 Jul 2009.
- Siganos, Antonios & Vagenas-Nanos, Evangelos & Verwijmeren, Patrick, 2014. "Facebook's daily sentiment and international stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 730-743.
- 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.
- 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, 2003. "Disposition Matters: Volume, Volatility and PriceImpact of a Behavioral Bias," Yale School of Management Working Papers ysm14, 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.
- 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, 2005. "Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias," Yale School of Management Working Papers ysm447, Yale School of Management.
- Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012.
"Global, local, and contagious investor sentiment,"
Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
- Malcolm Baker & Jeffrey Wurgler & Yu Yuan, 2009. "Global, local, and contagious investor sentiment," Globalization Institute Working Papers 37, Federal Reserve Bank of Dallas.
- 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.
- Yang, Yan & Copeland, Laurence, 2014. "The Effects of Sentiment on Market Return and Volatility and The Cross-Sectional Risk Premium of Sentiment-affected Volatility," Cardiff Economics Working Papers E2014/12, Cardiff University, Cardiff Business School, Economics Section.
- David C. Ling & Andy Naranjo & Benjamin Scheick, 2014. "Investor Sentiment, Limits to Arbitrage and Private Market Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 531-577, September.
- Arthur Charpentier & Emilios C. C Galariotis & Christophe Villa, 2009. "Category-based Tail Comovement," Working Papers hal-00550330, HAL.
- Kim, Sei-Wan & Lee, Bong-Soo & Kim, Young-Min, 2014. "Who mimics whom in the equity fund market? Evidence from the Korean equity fund market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 199-218.
- 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.
- Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo, 2016.
"Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-In-Mean Analysis,"
Discussion Papers of DIW Berlin
1583, DIW Berlin, German Institute for Economic Research.
- Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo, 2021. "Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis," Empirical Economics, Springer, vol. 60(2), pages 539-555, February.
- Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo, 2016. "Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-in-mean Analysis," CESifo Working Paper Series 5932, CESifo.
- Fabian Irek & Thorsten Lehnert, 2013. "Do Fund Investors Know that Risk is Sometimes not Priced?," LSF Research Working Paper Series 13-1, Luxembourg School of Finance, University of Luxembourg.
- Anthony Richards, 2004.
"Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets,"
RBA Research Discussion Papers
rdp2004-05, Reserve Bank of Australia.
- Richards, Anthony, 2005. "Big Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign Investors in Asian Emerging Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(1), pages 1-27, March.
- Kai Li, 2004. "The Growth of Global Equity Markets: A Closer Look," Econometric Society 2004 North American Winter Meetings 54, Econometric Society.
- 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.
- Eric Zitzewitz, 2003.
"Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds,"
The Journal of Law, Economics, and Organization, Oxford University Press, vol. 19(2), pages 245-280, October.
- Zitzewitz, Eric, 2002. "Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds," Research Papers 1749, Stanford University, Graduate School of Business.
- Schmitz, Philipp & Glaser, Markus & Weber, Martin, 2006.
"Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?,"
Sonderforschungsbereich 504 Publications
06-12, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Schmitz, Philipp & Glaser, Markus & Weber, Martin, 2006. "Individual investor sentiment and stock returns - what do we learn from warrant traders?," Papers 06-12, Sonderforschungsbreich 504.
- Sanjay Sehgal & G. S. Sood & Namita Rajput, 2009. "Investor Sentiment in India: A Survey," Vision, , vol. 13(2), pages 13-23, April.
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- Brown, Stephen J. & Hiraki, Takato & Arakawa, Kiyoshi & Ohno, Saburo, 2009. "Risk premia in international equity markets revisited," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 295-318, June.
- Jiang, Xiong-Fei & Xiong, Long & Cen, Tao & Bai, Ling & Zhao, Na & Zhang, Jiu & Zheng, Chang-Juan & Jiang, Tian-Ying, 2022. "Analyst sentiment and earning forecast bias in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
- Erik Kole & Reza Brink, "undated". "Constructing and Using Double-adjusted Alphas to Analyze Mutual Fund Performance," Tinbergen Institute Discussion Papers 19-029/IV, Tinbergen Institute.
- Barber, Brad M. & Odean, Terrance & Zhu, Ning, 2009. "Systematic noise," Journal of Financial Markets, Elsevier, vol. 12(4), pages 547-569, November.
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- 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.
- Andrea Frazzini & Owen A. Lamont, 2005.
"Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns,"
NBER Working Papers
11526, National Bureau of Economic Research, Inc.
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- Itzhak Venezia, 2018. "Lecture Notes in Behavioral Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10751, June.
- Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Chen, Wen, 2021. "Equity investor sentiment and bond market reaction: Test of overinvestment and capital flow hypotheses," Journal of Financial Markets, Elsevier, vol. 55(C).
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- 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.
Cited by:
- Gina Nicolosi & Liang Peng & Ning Zhu, 2003.
"Do Individual Investors Learn from Their Trading Experience?,"
Yale School of Management Working Papers
ysm439, Yale School of Management, revised 01 Sep 2009.
- Gina Nicolosi & Liang Peng, 2004. "Do individual investors learn from their trading experience," Econometric Society 2004 North American Summer Meetings 532, Econometric Society.
- Nicolosi, Gina & Peng, Liang & Zhu, Ning, 2009. "Do individual investors learn from their trading experience?," Journal of Financial Markets, Elsevier, vol. 12(2), pages 317-336, May.
- Bose, Udichibarna & MacDonald, Ronald & Tsoukas, Serafeim, 2015.
"Education and the local equity bias around the world,"
SIRE Discussion Papers
2015-76, Scottish Institute for Research in Economics (SIRE).
- Bose, Udichibarna & MacDonald, Ronald & Tsoukas, Serafeim, 2015. "Education and the local equity bias around the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 65-88.
- Udichibarna Bose & Ronald MacDonald & Serafeim Tsoukas, 2015. "Education and the local equity bias around the world," Working Papers 2015_13, Business School - Economics, University of Glasgow.
- Gina Nicolosi & Liang Peng & Ning Zhu, 2003. "Do Individual Investors Learn from Their Trading Experience?," Yale School of Management Working Papers ysm439, Yale School of Management, revised 01 Sep 2009.
- Laura Veldkamp & Stijn Van Nieuwerburgh, 2008.
"Information Acquisition and Under-Diversification,"
Working Papers
08-21, New York University, Leonard N. Stern School of Business, Department of Economics.
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2010. "Information Acquisition and Under-Diversification," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 779-805.
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2008. "Information Acquisition and Under-Diversification," NBER Working Papers 13904, National Bureau of Economic Research, Inc.
- Bruce Mizrach & Susan Weerts, 2004.
"Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room,"
Departmental Working Papers
200412, Rutgers University, Department of Economics.
- Mizrach, Bruce & Weerts, Susan, 2009. "Experts online: An analysis of trading activity in a public Internet chat room," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 266-281, May.
- Gina Nicolosi & Liang Peng & Ning Zhu, 2003.
"Do Individual Investors Learn from Their Trading Experience?,"
Yale School of Management Working Papers
ysm439, Yale School of Management, revised 01 Sep 2009.
- 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.
Cited by:
- Victor Ginsburgh & Jianping Mei & Michael Moses, 2006. "On the computation of art indices in art," ULB Institutional Repository 2013/7290, ULB -- Universite Libre de Bruxelles.
- 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, 2003. "Disposition Matters: Volume, Volatility and PriceImpact of a Behavioral Bias," Yale School of Management Working Papers ysm14, Yale School of Management.
- 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.
- 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, 2005. "Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias," Yale School of Management Working Papers ysm447, Yale School of Management.
Cited by:
- Hirshleifer, David & Jiang, Danling, 2007.
"A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns,"
MPRA Paper
20636, University Library of Munich, Germany, revised 10 Feb 2010.
- David Hirshleifer & Danling Jiang, 2010. "A Financing-Based Misvaluation Factor and the Cross-Section of Expected Returns," Review of Financial Studies, Society for Financial Studies, vol. 23(9), pages 3401-3436.
- Petri Kyröläinen, 2008. "Day trading and stock price volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(1), pages 75-89, January.
- Grinblatt, Mark & Han, Bing, 2001.
"The Disposition Effect and Momentum,"
University of California at Los Angeles, Anderson Graduate School of Management
qt6qg5d62p, Anderson Graduate School of Management, UCLA.
- Grinblatt, Mark & Han, Bing, 2003. "The Disposition Effect and Momentum," Working Paper Series 2004-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Bing NMI1 Han & Mark Grinblatt, 2001. "The Disposition Effect and Momentum," Yale School of Management Working Papers ysm239, Yale School of Management.
- Mark Grinblatt & Bing Han, 2002. "The Disposition Effect and Momentum," NBER Working Papers 8734, National Bureau of Economic Research, Inc.
- Weber, Martin & Welfens, Frank, 2007.
"How do markets react to fundamental shocks? : An experimental analysis on underreaction and momentum,"
Papers
07-42, Sonderforschungsbreich 504.
- Weber, Martin & Welfens, Frank, 2007. "How do Markets React to Fundamental Shocks? An Experimental Analysis on Underreaction and Momentum," Sonderforschungsbereich 504 Publications 07-42, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Soleman Alsabban & Omar Alarfaj, 2020. "An Empirical Analysis of Behavioral Finance in the Saudi Stock Market: Evidence of Overconfidence Behavior," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 73-86.
- Brad M. Barber & Yi‐Tsung Lee & Yu‐Jane Liu & Terrance Odean, 2007. "Is the Aggregate Investor Reluctant to Realise Losses? Evidence from Taiwan," European Financial Management, European Financial Management Association, vol. 13(3), pages 423-447, June.
- Zeeshan Ahmed & Shahid Rasool & Qasim Saleem & Mubashir Ali Khan & Shamsa Kanwal, 2022. "Mediating Role of Risk Perception Between Behavioral Biases and Investor’s Investment Decisions," SAGE Open, , vol. 12(2), pages 21582440221, May.
- Sarmiento, Julio & Rendón, Jairo & Sandoval, Juan S. & Cayon, Edgardo, 2019. "The disposition effect and the relevance of the reference period: Evidence among sophisticated investors," Journal of Behavioral and Experimental Finance, Elsevier, vol. 24(C).
- Kumar, Alok, 2007. "Do the diversification choices of individual investors influence stock returns?," Journal of Financial Markets, Elsevier, vol. 10(4), pages 362-390, November.
- Lan Yi & Jianping Tao & Caifeng Tan & Zhongkun Zhu, 2019. "Avian Influenza, Public Opinion, and Risk Spillover: Measurement, Theory, and Evidence from China’s Broiler Market," Sustainability, MDPI, vol. 11(8), pages 1-44, April.
- Hirshleifer, David & Jiang, Danling, 2007. "Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns," MPRA Paper 16134, University Library of Munich, Germany, revised 08 Jul 2009.
- Margarida Abreu, 2017. "How Biased is the Behavior of the Individual Investor in Warrants?," Working Papers REM 2017/07, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Mark Grinblatt & Bing Han, 2001. "Prospect Theory, Mental Accounting, and Momentum," Yale School of Management Working Papers amz2533, Yale School of Management, revised 01 May 2007.
- Margaria Abreu, 2017. "HOW Biased is the Behavior of the Individual Investor in Warrants?," Working Papers Department of Economics 2017/18, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Kliger, Doron & Kudryavtsev, Andrey, 2008. "Reference point formation by market investors," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1782-1794, September.
- Arthur Charpentier & Emilios C. C Galariotis & Christophe Villa, 2009. "Category-based Tail Comovement," Working Papers hal-00550330, HAL.
- Suman Gupta & Vinay Goyal & Vinay Kumar Kalakbandi & Sankarshan Basu, 2018. "Overconfidence, trading volume and liquidity effect in Asia’s Giants: evidence from pre-, during- and post-global recession," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(3), pages 235-257, September.
- 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.
- 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.
- 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.
- Andrey Kudryavtsev & Gil Cohen & Shlomit Hon-Snir, 2013. "“Rational” or “Intuitive”: Are Behavioral Biases Correlated Across Stock Market Investors?," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 7(2), June.
- Grinblatt, Mark & Han, Bing, 2005. "Prospect theory, mental accounting, and momentum," Journal of Financial Economics, Elsevier, vol. 78(2), pages 311-339, November.
- 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.
Cited by:
- Harris, Robert S. & Jenkinson, Tim & Kaplan, Steven N. & Stucke, Ruediger, 2018.
"Financial intermediation in private equity: How well do funds of funds perform?,"
Journal of Financial Economics, Elsevier, vol. 129(2), pages 287-305.
- Robert S. Harris & Tim Jenkinson & Steven N. Kaplan & Ruediger Stucke, 2017. "Financial Intermediation in Private Equity: How Well Do Funds of Funds Perform?," NBER Working Papers 23428, National Bureau of Economic Research, Inc.
- Taylor D. Nadauld & Berk A. Sensoy & Keith Vorkink & Michael S. Weisbach, 2016.
"The Liquidity Cost of Private Equity Investments: Evidence from Secondary Market Transactions,"
NBER Working Papers
22404, National Bureau of Economic Research, Inc.
- Nadauld, Taylor D. & Sensoy, Berk A. & Vorkink, Keith & Weisbach, Michael S., 2019. "The liquidity cost of private equity investments: Evidence from secondary market transactions," Journal of Financial Economics, Elsevier, vol. 132(3), pages 158-181.
- Nadauld, Taylor & Sensoy, Berk A. & Vorkink, Keith & Weisbach, Michael S., 2016. "The Liquidity Cost of Private Equity Investments: Evidence from Secondary Market Transactions," Working Paper Series 2016-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Agarwal, Vikas & Nada, Vikram & Ray, Sugata, 2013. "Institutional investment and intermediation in the hedge fund industry," CFR Working Papers 13-03, University of Cologne, Centre for Financial Research (CFR).
- Andonov, Aleksandar & Kräussl, Roman & Rauh, Joshua, 2018.
"The subsidy to infrastructure as an asset class,"
CFS Working Paper Series
599, Center for Financial Studies (CFS).
- Andonov, Aleksandar & Kraussl, Roman & Rauh, Joshua D., 2018. "The Subsidy to Infrastructure as an Asset Class," Research Papers 3737, Stanford University, Graduate School of Business.
- Aleksandar Andonov & Roman Kräussl & Joshua Rauh, 2018. "The Subsidy to Infrastructure as an Asset Class," NBER Working Papers 25045, National Bureau of Economic Research, Inc.
- Shawky, Hany A. & Dai, Na & Cumming, Douglas, 2012. "Diversification in the hedge fund industry," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 166-178.
- Daniel P. J. Capocci, 2009. "The persistence in hedge fund performance: extended analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 233-255.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022.
"Hedge Fund Performance: A Quantitative Survey,"
EconStor Preprints
260612, ZBW - Leibniz Information Centre for Economics.
- Yang, Fan & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," CEPR Discussion Papers 17417, C.E.P.R. Discussion Papers.
- Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022. "Hedge Fund Performance: A Quantitative Survey," Working Papers IES 2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
- Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005.
"Systemic Risk and Hedge Funds,"
NBER Working Papers
11200, National Bureau of Economic Research, Inc.
- Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
- Sy, Wilson, 2010. "Cost, performance and portfolio composition of small pension funds in Australia," Journal of Pension Economics and Finance, Cambridge University Press, vol. 9(3), pages 345-368, July.
- Ding, Bill & Shawky, Hany A. & Tian, Jianbo, 2009. "Liquidity shocks, size and the relative performance of hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 883-891, May.
- Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003.
"An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns,"
NBER Working Papers
9571, National Bureau of Economic Research, Inc.
- Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
- Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Zhe Chen & F. Douglas Foster & David R. Gallagher & Adrian D. Lee & Steven Cahan, 2015. "A model of emulation funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(3), pages 717-748, September.
- Alessandro Carretta & Gianluca Mattarocci, 2009.
"Funds of Funds Portfolio Composition and its Impact on Performance: Evidence from the Italian Market,"
Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Franco Fiordelisi & Gianluca Mattarocci (ed.), New Drivers of Performance in a Changing Financial World, chapter 5, pages 69-88,
Palgrave Macmillan.
- Carretta, Alessandro & Mattarocci, Gianluca, 2005. "Funds of funds portfolio composition and its impact on the performance: evidence from the Italian market," MPRA Paper 4293, University Library of Munich, Germany, revised Jan 2007.
- Bill Ding & Hany A. Shawky, 2007. "The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions," European Financial Management, European Financial Management Association, vol. 13(2), pages 309-331, March.
- Marko Rikato & Ales Berk, 2015. "Costliness of Placement Agents," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(3), pages 263-287, December.
- Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015.
"Hedge Funds: A Dynamic Industry in Transition,"
Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
- Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
- Michael Stein & Svetlozar T Rachev, 2011. "Style-neutral funds of funds: Diversification or deadweight?," Journal of Asset Management, Palgrave Macmillan, vol. 11(6), pages 417-434, February.
- Zeno Adams & Roland Füss & Volker Wohlschieß, 2012. "Investment choice and performance potential in the mutual fund industry," Journal of Asset Management, Palgrave Macmillan, vol. 13(2), pages 84-101, April.
- Adam L. Aiken & Christopher P. Clifford & Jesse Ellis, 2015. "The Value of Funds of Hedge Funds: Evidence from Their Holdings," Management Science, INFORMS, vol. 61(10), pages 2415-2429, October.
- Agarwal, Vikas & Kale, Jayant R., 2007. "On the relative performance of multi-strategy and funds of hedge funds," CFR Working Papers 07-11, University of Cologne, Centre for Financial Research (CFR).
- Teresa Corzo Santamaría & Carlos Martinez de Ibarreta & Juan Rodriguez Calvo, 2018. "Timid performance fees in mutual funds," Journal of Asset Management, Palgrave Macmillan, vol. 19(1), pages 64-77, January.
- Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2014. "Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds," CFR Working Papers 14-13, University of Cologne, Centre for Financial Research (CFR).
- Andonov, Aleksandar & Eichholtz, Piet & Kok, Nils, 2015. "Intermediated investment management in private markets: Evidence from pension fund investments in real estate," Journal of Financial Markets, Elsevier, vol. 22(C), pages 73-103.
- Heidorn, Thomas & Kaiser, Dieter G. & Roder, Christoph, 2009. "Empirische Analyse der Drawdowns von Dach-Hedgefonds," Frankfurt School - Working Paper Series 109, Frankfurt School of Finance and Management.
- Yang CAO & Joseph P. OGDEN & Cristian I. TIU, 2012. "Who Benefits From Funds Of Hedge Funds? A Critique Of Alternative Organizational Structures In The Hedge Fund Industry (Ii)," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 2(1), pages 5-20, March.
- Xiangyu Cui & Jianjun Gao & Yun Shi, 2021. "Multi-period mean–variance portfolio optimization with management fees," Operational Research, Springer, vol. 21(2), pages 1333-1354, June.
- Agarwal, Vikas & Aragon, George O. & Shi, Zhen, 2015. "Funding liquidity risk of funds of hedge funds: Evidence from their holdings," CFR Working Papers 15-12, University of Cologne, Centre for Financial Research (CFR).
- Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc.
- Bertin, William J. & Prather, Laurie, 2009. "Management structure and the performance of funds of mutual funds," Journal of Business Research, Elsevier, vol. 62(12), pages 1364-1369, December.
- Vikas Agarwal & Yan Lu & Sugata Ray, 2016. "Under One Roof: A Study of Simultaneously Managed Hedge Funds and Funds of Hedge Funds," Management Science, INFORMS, vol. 62(3), pages 722-740, March.
- Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012.
"Survival of Hedge Funds : Frailty vs Contagion,"
Working Papers
2012-36, Center for Research in Economics and Statistics.
- Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2013. "Survival of Hedge Funds: Frailty vs Contagion," Post-Print hal-01632897, HAL.
- Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y., 2007. "Hedge funds for retail investors? An examination of hedged mutual funds," CFR Working Papers 07-04, University of Cologne, Centre for Financial Research (CFR).
- Simone Brands & David R. Gallagher, 2005. "Portfolio selection, diversification and fund‐of‐funds: a note," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(2), pages 185-197, July.
- Clemens Sialm & Zheng Sun & Lu Zheng, 2020.
"Home Bias and Local Contagion: Evidence from Funds of Hedge Funds,"
Review of Financial Studies, Society for Financial Studies, vol. 33(10), pages 4771-4810.
- Clemens Sialm & Zheng Sun & Lu Zheng, 2013. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," NBER Working Papers 19570, National Bureau of Economic Research, Inc.
- Nadège Ribau-Peltre & Pascal Damel & An Lethi, 2018. "A methodology to avoid over-diversification of funds of equity funds An implementation case study for equity funds of funds in bull markets," Post-Print hal-03027770, HAL.
- Zhe Chen & F Douglas Foster & David R Gallagher & Adrian D Lee, 2013. "Does portfolio emulation outperform its target funds?," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 401-427, August.
- 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.
Cited by:
- Muravyev Alexander, 2004.
"The Puzzle of Dual Class Stock in Russia. Explaining the Price Differential between Common and Preferred Shares,"
EERC Working Paper Series
04-07e, EERC Research Network, Russia and CIS.
- Muravyev, Alexander, 2004. "The puzzle of dual class stock in Russia: Explaining the price differential between common and preferred shares," MPRA Paper 27726, University Library of Munich, Germany.
- Muravyev, Alexander & Berezinets, Irina & Ilina, Yulia, 2014.
"The structure of corporate boards and private benefits of control: Evidence from the Russian stock exchange,"
International Review of Financial Analysis, Elsevier, vol. 34(C), pages 247-261.
- Muravyev, Alexander A. & Berezinets, Irina V. & Ilina, Yulia B., 2013. "The Structure of Corporate Boards and Private Benefits of Control: Evidence from the Russian Stock Exchange," Working Papers 789, Graduate School of Management, St. Petersburg State University.
- Muravyev, Alexander, 2017.
"Boards of directors in Russian publicly traded companies in 1998–2014: Structure, dynamics and performance effects,"
Economic Systems, Elsevier, vol. 41(1), pages 5-25.
- Muravyev, Alexander, 2016. "Boards of Directors in Russian Publicly Traded Companies in 1998-2014: Structure, Dynamics and Performance Effects," IZA Discussion Papers 10436, Institute of Labor Economics (IZA).
- Muravyev, Alexander, 2009. "Investor Protection and the Value of Shares: Evidence from Statutory Rules Governing Variations of Shareholders' Class Rights in Russia," IZA Discussion Papers 4669, Institute of Labor Economics (IZA).
- Berezinets Irina & Ilina Yulia & Muravyev Alexander, 2011. "Owners, Boards, Managers and the Private Benefits of Control: A Study of Dual Class Stock Firms in an Emerging Market," EERC Working Paper Series 11/12e, EERC Research Network, Russia and CIS.
- Muravyev, Alexander & Berezinets, Irina & Ilina, Yulia, 2012. "Корпоративные Конфликты И Политика Фирм В Области Занятости И Заработной Платы [Corporate Governance Conflicts and Employment and Wage Policies of Companies]," MPRA Paper 40215, University Library of Munich, Germany.
- Alexander Muravyev, 2007. "Dual Class Stock in Russia: What Explains the Price Differential between Common and Preferred Shares?," Discussion Papers of DIW Berlin 680, DIW Berlin, German Institute for Economic Research.
- Muravyev, Alexander, 2009.
"Investor protection and share prices: Evidence from statutory rules governing variations of shareholders’ class rights in Russia,"
MPRA Paper
13678, University Library of Munich, Germany.
- Alexander Muravyev, 2009. "Investor Protection and Share Prices: Evidence from Statutory Rules Governing Variations of Shareholders' Class Rights in Russia," Discussion Papers of DIW Berlin 865, DIW Berlin, German Institute for Economic Research.
- Bernard S. Black & Inessa Love & Andrei Rachinsky, 2005.
"Corporate Governance and Firms' Market Values: Time Series Evidence from Russia,"
Working Papers
w0053, New Economic School (NES).
- Bernard S. Black & Inessa Love & Andrei Rachinsky, 2005. "Corporate Governance and Firms' Market Values: Time Series Evidence from Russia," Working Papers w0053, Center for Economic and Financial Research (CEFIR).
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"Creative destruction and firm-specific performance heterogeneity,"
Journal of Financial Economics, Elsevier, vol. 89(1), pages 109-135, July.
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"Price Efficiency and Short Selling,"
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"Home Equity Insurance: A Pilot Project,"
Yale School of Management Working Papers
ysm372, Yale School of Management, revised 23 Jan 2006.
Cited by:
- Jan Rouwendal, 2009. "Housing Wealth and Household Portfolios in an Ageing Society," De Economist, Springer, vol. 157(1), pages 1-48, March.
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"Index Revision, House Price Risk, and the Market for House Price Derivatives,"
Berkeley Program on Housing and Urban Policy, Working Paper Series
qt4sw0x30t, Berkeley Program on Housing and Urban Policy.
- Yongheng Deng & John Quigley, 2008. "Index Revision, House Price Risk, and the Market for House Price Derivatives," The Journal of Real Estate Finance and Economics, Springer, vol. 37(3), pages 191-209, October.
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"Was There a British House Price Bubble? Evidence from a Regional Panel,"
CEPR Discussion Papers
5619, C.E.P.R. Discussion Papers.
- Gavin Cameron & John Muellbauer & Anthony Murphy, 2006. "Was There A British House Price Bubble? Evidence From A Regional Panel," ERES eres2006_150, European Real Estate Society (ERES).
- John Muellbauer & Gavin Cameron & John Muellbauer, 2006. "Was There A British House Price Bubble? Evidence from a Regional Panel," Economics Series Working Papers 276, University of Oxford, Department of Economics.
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13962, National Bureau of Economic Research, Inc.
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- 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.
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"The Puzzle of Dual Class Stock in Russia. Explaining the Price Differential between Common and Preferred Shares,"
EERC Working Paper Series
04-07e, EERC Research Network, Russia and CIS.
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- Muravyev, Alexander & Berezinets, Irina & Ilina, Yulia, 2014.
"The structure of corporate boards and private benefits of control: Evidence from the Russian stock exchange,"
International Review of Financial Analysis, Elsevier, vol. 34(C), pages 247-261.
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"Boards of directors in Russian publicly traded companies in 1998–2014: Structure, dynamics and performance effects,"
Economic Systems, Elsevier, vol. 41(1), pages 5-25.
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- Muravyev, Alexander, 2009. "Investor Protection and the Value of Shares: Evidence from Statutory Rules Governing Variations of Shareholders' Class Rights in Russia," IZA Discussion Papers 4669, Institute of Labor Economics (IZA).
- Berezinets Irina & Ilina Yulia & Muravyev Alexander, 2011. "Owners, Boards, Managers and the Private Benefits of Control: A Study of Dual Class Stock Firms in an Emerging Market," EERC Working Paper Series 11/12e, EERC Research Network, Russia and CIS.
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- Alexander Muravyev, 2007. "Dual Class Stock in Russia: What Explains the Price Differential between Common and Preferred Shares?," Discussion Papers of DIW Berlin 680, DIW Berlin, German Institute for Economic Research.
- Muravyev, Alexander, 2009.
"Investor protection and share prices: Evidence from statutory rules governing variations of shareholders’ class rights in Russia,"
MPRA Paper
13678, University Library of Munich, Germany.
- Alexander Muravyev, 2009. "Investor Protection and Share Prices: Evidence from Statutory Rules Governing Variations of Shareholders' Class Rights in Russia," Discussion Papers of DIW Berlin 865, DIW Berlin, German Institute for Economic Research.
- Bernard S. Black & Inessa Love & Andrei Rachinsky, 2005.
"Corporate Governance and Firms' Market Values: Time Series Evidence from Russia,"
Working Papers
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- Bernard S. Black & Inessa Love & Andrei Rachinsky, 2005. "Corporate Governance and Firms' Market Values: Time Series Evidence from Russia," Working Papers w0053, Center for Economic and Financial Research (CEFIR).
- Berezinets, Irina & Ilina, Yulia & Muravyev, Alexander, 2011. "CEO and Board Characteristics as Determinants of Private Benefits of Control: Evidence from the Russian Stock Exchange," IZA Discussion Papers 6256, Institute of Labor Economics (IZA).
- Muravyev Alexander, 2004.
"The Puzzle of Dual Class Stock in Russia. Explaining the Price Differential between Common and Preferred Shares,"
EERC Working Paper Series
04-07e, EERC Research Network, Russia and CIS.
- William N. Goetzmann & Ning Zhu, 2003.
"Rain or Shine: Where is the Weather Effect?,"
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- 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, 2004. "Rain or Shine: Where is the Weather Effect?," Yale School of Management Working Papers ysm28, Yale School of Management.
Cited by:
- Muhammad Fayyaz Sheikh & Syed Zulfiqar Ali Shah & Shahid Mahmood, 2017. "Weather Effects on Stock Returns and Volatility in South Asian Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(2), pages 75-107, June.
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- Ma, Marshall (Xiaoyin) & Noussair, Charles & Renneboog, Luc, 2019.
"Colors, Emotions, and the Auction Value of Paintings,"
Discussion Paper
2019-006, Tilburg University, Center for Economic Research.
- Ma, X. & Noussair, C.N. & Renneboog, Luc, 2022. "Colors, emotions, and the auction value of paintings," Other publications TiSEM 6e02bd92-e90d-4b93-a066-4, Tilburg University, School of Economics and Management.
- Ma, Marshall (Xiaoyin) & Noussair, Charles & Renneboog, Luc, 2019. "Colors, Emotions, and the Auction Value of Paintings," Other publications TiSEM b628fa65-83cf-41c8-b321-d, Tilburg University, School of Economics and Management.
- Ma, Marshall Xiaoyin & Noussair, Charles N. & Renneboog, Luc, 2022. "Colors, Emotions, and the Auction Value of Paintings," European Economic Review, Elsevier, vol. 142(C).
- Chhaochharia, Vidhi & Kim, Dasol & Korniotis, George M. & Kumar, Alok, 2019. "Mood, firm behavior, and aggregate economic outcomes," Journal of Financial Economics, Elsevier, vol. 132(2), pages 427-450.
- De Silva, Dakshina G. & Pownall, Rachel A.J. & Wolk, Leonard, 2012. "Does the sun ‘shine’ on art prices?," Journal of Economic Behavior & Organization, Elsevier, vol. 82(1), pages 167-178.
- Odegaard, Bernt Arne, 2016. "Oslo Stock Exchange and the Weather," UiS Working Papers in Economics and Finance 2016/12, University of Stavanger.
- Chuang, Yi-Wei & Tsai, Wei-Che & Weng, Pei-Shih, 2020. "The impact of weather on order submissions and trading performance," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
- Shahzad, Farrukh, 2019. "Does weather influence investor behavior, stock returns, and volatility? Evidence from the Greater China region," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 525-543.
- Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang, 2008. "Weather and intraday patterns in stock returns and trading activity," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1754-1766, September.
- Frühwirth, Manfred & Sögner, Leopold, 2015. "Weather and SAD related mood effects on the financial market," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 11-31.
- Kaplanski, Guy & Levy, Haim, 2012. "Real estate prices: An international study of seasonality's sentiment effect," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 123-146.
- Rayenda Brahmana & Chee-Wooi Hooy & Zamri Ahmad, 2012. "Weather, investor irrationality and day-of-the-week anomaly: case of Indonesia," Journal of Bioeconomics, Springer, vol. 14(2), pages 129-146, July.
- Pedersen, Michael, 2019. "Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1100-1107.
- Jacobsen, Ben & Marquering, Wessel, 2008. "Is it the weather?," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 526-540, April.
- Ma, X., 2019. "Essays on alternative investments," Other publications TiSEM 7f4d5b36-96cb-4eac-ae91-f, Tilburg University, School of Economics and Management.
- Verrier, Tatjana, 2010. "Selected Essays in Stock Market Liquidity. Innovative XLM Measure at the Frankfurt Stock Exchange: Cloudy Skies, Time of the Day and the Role of Designated Sponsors for Stock Market Liquidity," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 41600, June.
- Dowling, Michael & Lucey, Brian M., 2005. "Weather, biorhythms, beliefs and stock returns--Some preliminary Irish evidence," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 337-355.
- Marie Connolly, 2013.
"Some Like It Mild and Not Too Wet: The Influence of Weather on Subjective Well-Being,"
Journal of Happiness Studies, Springer, vol. 14(2), pages 457-473, April.
- Marie Connolly Pray, 2011. "Some Like It Mild and Not Too Wet: the Influence of Weather on Subjective Well-Being," Cahiers de recherche 1116, CIRPEE.
- Hasan, Syed Akif & Subhani, Muhammad Imtiaz, 2011. "Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions)," MPRA Paper 34736, University Library of Munich, Germany, revised 2011.
- Levy, Ori & Galili, Itai, 2008. "Stock purchase and the weather: Individual differences," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 755-767, September.
- Kempf, Alexander & Niessen-Ruenzi, Alexandra & Merkle, Christoph, 2009.
"Low risk and high return - how emotions shape expectations on the stock market,"
CFR Working Papers
09-10, University of Cologne, Centre for Financial Research (CFR).
- Kempf, Alexander & Merkle, Christoph & Niessen-Ruenzi, Alexandra, 2012. "Low risk and high return: Affective attitudes and stock market expectations," CFR Working Papers 09-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Alexander Kempf & Christoph Merkle & Alexandra Niessen†Ruenzi, 2014. "Low Risk and High Return – Affective Attitudes and Stock Market Expectations," European Financial Management, European Financial Management Association, vol. 20(5), pages 995-1030, November.
- Yiuman Tse & Brian C. McTier & John K. Wald, 2011. "Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask sp," Working Papers 0004, College of Business, University of Texas at San Antonio.
- Yang, Chih-Yuan & Jhang, Ling-Jhen & Chang, Chia-Chien, 2016. "Do investor sentiment, weather and catastrophe effects improve hedging performance? Evidence from the Taiwan options market," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 35-51.
- Kim, Jae, 2016.
"Stock Returns and Investors’ Mood: Good Day Sunshine or Spurious Correlation?,"
MPRA Paper
70692, University Library of Munich, Germany.
- Kim, Jae H., 2017. "Stock returns and investors' mood: Good day sunshine or spurious correlation?," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 94-103.
- Yochi Cohen-Charash & Charles A Scherbaum & John D Kammeyer-Mueller & Barry M Staw, 2013. "Mood and the Market: Can Press Reports of Investors' Mood Predict Stock Prices?," PLOS ONE, Public Library of Science, vol. 8(8), pages 1-15, August.
- Nicholas Apergis & Alexandros Gabrielsen & Lee A. Smales, 2016.
"(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets,"
Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 63-94, February.
- Nicholas Apergis & Alexandros Gabrielsen & Lee Smales, 2016. "(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 63-94, February.
- Lu, Jing & Chou, Robin K., 2012. "Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 79-93.
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- 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.
Cited by:
- Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
- André Lucas & Arjen Siegmann, 2008. "The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 200-226, January.
- Ali Lazrak & Jaksa Cvitanic & Tan Wang, 2008.
"Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings,"
Post-Print
hal-00485697, HAL.
- Cvitanic, Jaksa & Lazrak, Ali & Wang, Tan, 2008. "Implications of the Sharpe ratio as a performance measure in multi-period settings," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1622-1649, May.
- Kabir, M. Humayun & Hassan, M. Kabir & Maroney, Neal, 2011.
"International diversification with American Depository Receipts (ADRs),"
Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 98-114, January.
- Kabir, M. Humayun & Hassan, M. Kabir & Maroney, Neal C., 2005. "International Diversification with American Depository Receipts (ADRs)," Working Papers 2005-05, University of New Orleans, Department of Economics and Finance.
- Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009.
"Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381, September.
- Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and risk diversification in real estate investments: assessing the ex post economic value," Working Papers 2009-001, Federal Reserve Bank of St. Louis.
- Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," CeRP Working Papers 82, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022.
"Hedge Fund Performance: A Quantitative Survey,"
EconStor Preprints
260612, ZBW - Leibniz Information Centre for Economics.
- Yang, Fan & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," CEPR Discussion Papers 17417, C.E.P.R. Discussion Papers.
- Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022. "Hedge Fund Performance: A Quantitative Survey," Working Papers IES 2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
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"Structured portfolio analysis under SharpeOmega ratio,"
Documents de travail du Centre d'Economie de la Sorbonne
12002, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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"Option Strategies: Good Deals and Margin Calls,"
University of California at Los Angeles, Anderson Graduate School of Management
qt0499w44p, Anderson Graduate School of Management, UCLA.
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"Riding the South Sea bubble,"
Economics Working Papers
861, Department of Economics and Business, Universitat Pompeu Fabra.
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- Peter Temin & Hans-Joachim Voth, 2004. "Riding the South See Bubble," Working Papers 213, Barcelona School of Economics.
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- Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003.
"An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns,"
NBER Working Papers
9571, National Bureau of Economic Research, Inc.
- Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
- Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
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"Connecting Sharpe ratio and Student t-statistic, and beyond,"
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"Unequal returns: Using the Atkinson index to measure financial risk,"
Journal of Banking & Finance, Elsevier, vol. 116(C).
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- Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, Department of Economics, University of Venice "Ca' Foscari".
- Nicole Branger & Christian Schlag, 2007. "Option Betas: Risk Measures For Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(07), pages 1137-1157.
- Henn Overbeck, Jacqueline & Meier, Iwan, 2005. "Performance Analysis of Hedge Fonds," Working papers 2005/06, Faculty of Business and Economics - University of Basel.
- Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
- Kent Smetters & Xingtan Zhang, 2013. "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks," NBER Working Papers 19500, National Bureau of Economic Research, Inc.
- Hilary Till, 2004. "Risk Measurement Of Investments In The Satellite Ring Of A Core-Satellite Portfolio: Traditional Versus Alternative Approaches," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 49(01), pages 105-130.
- Alexis Bonnet & Isabelle Nagot, 2005. "Methodology of measuring performance in alternative investment," Post-Print halshs-00196443, HAL.
- Benjamin R. Auer, 2015. "On The Role Of Skewness, Kurtosis, And The Location And Scale Condition In A Sharpe Ratio Performance Evaluation Setting," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1-13.
- El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 55-66.
- Marie Brière & Jean-David Fermanian & Hassan Malongo & Ombretta Signori, 2012. "Volatility Strategies for Global and Country Specific European Investors," Post-Print hal-01494509, HAL.
- Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 299-306, September.
- João Frois Caldeira & Gulherme Valle Moura, 2013. "Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 49-80.
- Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, vol. 58(C), pages 599-614.
- Eric Benhamou, 2021. "Distribution and statistics of the Sharpe Ratio," Working Papers hal-03207169, HAL.
- 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.
Cited by:
- Hiraki, Takato & Ito, Akitoshi, 2009. "Investor biases in Japan: Another pathology of Keiretsu," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 100-124, January.
- 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.
Cited by:
- Avishek Bhandari, 2020. "A wavelet analysis of inter-dependence, contagion and long memory among global equity markets," Papers 2003.14110, arXiv.org.
- 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.
Cited by:
- Colino, Evelyn V. & Cabrini, Silvina M. & Aulerich, Nicole M. & Brandenberger, Tracy L. & Merrin, Robert P. & Shi, Wei & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2006. "Advisory Service Marketing Profiles for Soybeans over 2002-2004," AgMAS Project Research Reports 37485, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
- Duarte, Jefferson & Longstaff, Francis A. & Yu, Fan, 2005. "Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?," University of California at Los Angeles, Anderson Graduate School of Management qt6zx6m7fp, Anderson Graduate School of Management, UCLA.
- Colino, Evelyn V. & Cabrini, Silvina M. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2004. "Advisory Service Marketing Profiles for Corn in 2001," AgMAS Project Research Reports 37493, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
- Martines-Filho, Joao Gomes & Irwin, Scott H. & Good, Darrel L. & Cabrini, Silvina M. & Stark, Brian G. & Shi, Wei & Webber, Rick L. & Hagedorn, Lewis A. & Williams, Steven L., 2003. "Advisory Service Marketing Profiles For Corn Over 1995-2000," AgMAS Project Research Reports 14776, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
- Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005.
"Systemic Risk and Hedge Funds,"
NBER Working Papers
11200, National Bureau of Economic Research, Inc.
- Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
- Gaurav Amin & Harry. M Kat, 2001. "Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value?," ICMA Centre Discussion Papers in Finance icma-dp2001-05, Henley Business School, University of Reading, revised Sep 2001.
- Teo, Melvyn & Woo, Sung-Jun, 2004. "Style effects in the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 74(2), pages 367-398, November.
- Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003.
"An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns,"
NBER Working Papers
9571, National Bureau of Economic Research, Inc.
- Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
- Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Deetz, Marcus & Poddig, Thorsten & Varmaz, Armin, 2009. "Klassifizierung von Hedge-Fonds durch das k-means Clustering von Self-Organizing Maps: eine renditebasierte Analyse zur Selbsteinstufungsgüte und Stiländerungsproblematik [Classifying Hedge Funds u," MPRA Paper 16939, University Library of Munich, Germany.
- Colino, Evelyn V. & Cabrini, Silvina M. & Irwin, Scott H. & Good, Darrel L. & Joao, Martines-Filho, 2004. "Advisory Service Marketing Profiles for Soybeans in 2001," AgMAS Project Research Reports 37507, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
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"Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(3), pages 493-517, September.
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"What Matters for Financial Development? Capital Controls, Institutions, and Interactions,"
Santa Cruz Center for International Economics, Working Paper Series
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"China and the World Financial Markets 1870-1930: Modern Lessons From Historical Globalization,"
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"Long-Term Global Market Correlations,"
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"Has the Pricing of Stocks Become More Global?,"
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"Individual risk attitudes and the composition of financial portfolios: Evidence from German household portfolios,"
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"Financial Risk Aversion and Household Asset Diversification,"
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"Stock exchange competition in a simple model of capital market equilibrium,"
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"Dynamic stock market covariances in the Eurozone,"
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"Continuous wavelet transform and rolling correlation of European stock markets,"
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"Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins,"
ULB Institutional Repository
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"Negative bubbles: What happens after a crash,"
European Financial Management, European Financial Management Association, vol. 24(2), pages 171-191, March.
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"The Dark Side of Global Integration: Increasing Tail Dependence,"
LSF Research Working Paper Series
09-05, Luxembourg School of Finance, University of Luxembourg.
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"International diversification with securitized real estate and the veiling glare from currency risk,"
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"Structural versus Temporary Drivers of Country and Industry Risk,"
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- Helmut Wagner & Wolfram Berger, 2004.
"Globalization, Financial Volatility and Monetary Policy,"
Economic Change and Restructuring, Springer, vol. 31(2), pages 163-184, June.
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"Correlations,"
Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
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"Financial Cycles: What? How? When?,"
NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), pages 303-344.
- Stijn Claessens & M. Ayhan Kose & Marco E. Terrones, 2010. "Financial Cycles: What? How? When?," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 303-343, National Bureau of Economic Research, Inc.
- Claessens, Stijn & Kose, Ayhan & Terrones, Marco E, 2011. "Financial Cycles: What? How? When?," CEPR Discussion Papers 8379, C.E.P.R. Discussion Papers.
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- Guglielmo Caporale & Burcu Erdogan & Vladimir Kuzin, 2015.
"Testing stock market convergence: a non-linear factor approach,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 481-498, August.
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"Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 20(2), pages 155-177, March.
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EconStor Preprints
260612, ZBW - Leibniz Information Centre for Economics.
- Yang, Fan & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," CEPR Discussion Papers 17417, C.E.P.R. Discussion Papers.
- Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022. "Hedge Fund Performance: A Quantitative Survey," Working Papers IES 2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
- Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
- Agarwal, Vikas & Daniel, Naveen D. & Naik, Narayan Y., 2009. "Role of managerial incentives and discretion in hedge fund performance," CFR Working Papers 04-04, University of Cologne, Centre for Financial Research (CFR).
- Servaes, Henri & Sigurdsson, Kari, 2022.
"The Costs and Benefits of Performance Fees in Mutual Funds,"
Journal of Financial Intermediation, Elsevier, vol. 50(C).
- Servaes, Henri & Sigurdsson, Kari, 2018. "The costs and benefits of performance fees in mutual funds," CEPR Discussion Papers 13399, C.E.P.R. Discussion Papers.
- Chen, Li-Wen & Chen, Fan, 2009. "Does concurrent management of mutual and hedge funds create conflicts of interest?," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1423-1433, August.
- David Landriault & Bin Li & Dongchen Li & Yumin Wang, 2021. "High‐water mark fee structure in variable annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(4), pages 1057-1094, December.
- Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005.
"Systemic Risk and Hedge Funds,"
NBER Working Papers
11200, National Bureau of Economic Research, Inc.
- Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
- Morten Sorensen & Neng Wang & Jinqiang Yang, 2014.
"Valuing Private Equity,"
Review of Financial Studies, Society for Financial Studies, vol. 27(7), pages 1977-2021.
- Morten Sorensen & Neng Wang & Jinqiang Yang, 2013. "Valuing Private Equity," NBER Working Papers 19612, National Bureau of Economic Research, Inc.
- Gaurav Amin & Harry. M Kat, 2001. "Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value?," ICMA Centre Discussion Papers in Finance icma-dp2001-05, Henley Business School, University of Reading, revised Sep 2001.
- Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013. "The economics of hedge funds," Journal of Financial Economics, Elsevier, vol. 110(2), pages 300-323.
- Lionel Martellini & Branko Uroševi'{c}, 2006. "Static Mean-Variance Analysis with Uncertain Time Horizon," Management Science, INFORMS, vol. 52(6), pages 955-964, June.
- Holmén, Martin & Kirchler, Michael & Kleinlercher, Daniel, 2012.
"Do Option-like Incentives Induce Overvaluation? Evidence from Experimental Asset Markets,"
Working Papers in Economics
540, University of Gothenburg, Department of Economics, revised 21 Nov 2012.
- Holmen, Martin & Kirchler, Michael & Kleinlercher, Daniel, 2014. "Do option-like incentives induce overvaluation? Evidence from experimental asset markets," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 179-194.
- Ganglmair, Bernhard & Holcomb, Alex & Myung, Noah, 2019.
"Expectations of reciprocity when competitors share information: Experimental evidence,"
ZEW Discussion Papers
19-032, ZEW - Leibniz Centre for European Economic Research.
- Ganglmair, Bernhard & Holcomb, Alex & Myung, Noah, 2020. "Expectations of reciprocity when competitors share information: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 244-267.
- Dandan Song & Jinqiang Yang & Zhaojun Yang, 2013. "High-Water Marks and Hedge Fund Management Contracts with Partial Information," Computational Economics, Springer;Society for Computational Economics, vol. 42(3), pages 327-350, October.
- Jonathan Wiley, 2014. "Illiquidity Risk in Non-Listed Funds: Evidence from REIT Fund Exits and Redemption Suspensions," The Journal of Real Estate Finance and Economics, Springer, vol. 49(2), pages 205-236, August.
- Ding, Bill & Shawky, Hany A. & Tian, Jianbo, 2009. "Liquidity shocks, size and the relative performance of hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 883-891, May.
- Michael S. O’Doherty & N. E. Savin & Ashish Tiwari, 2016. "Evaluating Hedge Funds with Pooled Benchmarks," Management Science, INFORMS, vol. 62(1), pages 69-89, January.
- Liljeblom, Eva & Pasternack, Daniel & Rosenberg, Matts, 2011. "What determines stock option contract design?," Journal of Financial Economics, Elsevier, vol. 102(2), pages 293-316.
- Mark D. Flood & Phillip Monin & Lina Bandyopadhyay, 2015. "Gauging Form PF: Data Tolerances in Regulatory Reporting on Hedge Fund Risk Exposures," Working Papers 15-13, Office of Financial Research, US Department of the Treasury.
- U D Kumar & A B Roy & H Saranga & K Singal, 2010. "Analysis of hedge fund strategies using slack-based DEA models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(12), pages 1746-1760, December.
- Patton, Andrew J & Ramadorai, Tarun, 2011.
"On the High-Frequency Dynamics of Hedge Fund Risk Exposures,"
CEPR Discussion Papers
8479, C.E.P.R. Discussion Papers.
- Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, April.
- Hong, Xin, 2014. "The dynamics of hedge fund share restrictions," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 82-99.
- Federico Nucera & Giorgio Valente, 2013.
"Carry Trades and the Performance of Currency Hedge Funds,"
Working Papers
032013, Hong Kong Institute for Monetary Research.
- Nucera, Federico & Valente, Giorgio, 2013. "Carry trades and the performance of currency hedge funds," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
- Hugo E. Ramirez & Peter Duck & Paul V. Johnson & Sydney Howell, 2019. "Hedge-Fund Management With Liquidity Constraint," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-31, September.
- Hung, Pi-Hsia & Lien, Donald & Kuo, Ming-Sin, 2020. "Window dressing in equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 338-354.
- Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015.
"Hedge Funds: A Dynamic Industry in Transition,"
Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
- Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
- Castaneda, Pablo, 2005.
"Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile,"
MPRA Paper
3346, University Library of Munich, Germany, revised 30 Dec 2006.
- Pablo Castañeda, 2006. "Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile," Working Papers 16, Superintendencia de Pensiones, revised May 2006.
- Gino Loyola & Yolanda Portilla, 2010. "Esquemas de Incentivos y Carteras de Inversión Innovadoras," Estudios de Economia, University of Chile, Department of Economics, vol. 37(1 Year 20), pages 43-66, June.
- Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2014.
"Momentum Trading, Return Chasing and Predictable Crashes,"
Working Paper Series
WP-2014-27, Federal Reserve Bank of Chicago.
- Chabot, Benjamin & Ghysels, Eric & Jagannathan, Ravi, 2014. "Momentum Trading, Return Chasing, and Predictable Crashes," CEPR Discussion Papers 10234, C.E.P.R. Discussion Papers.
- Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2014. "Momentum Trading, Return Chasing, and Predictable Crashes," NBER Working Papers 20660, National Bureau of Economic Research, Inc.
- Aggarwal, Rajesh K. & Jorion, Philippe, 2010. "The performance of emerging hedge funds and managers," Journal of Financial Economics, Elsevier, vol. 96(2), pages 238-256, May.
- Zhao, Li & Huang, Wenli & Yang, Chen & Li, Shenghong, 2018. "Hedge fund leverage with stochastic market conditions," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 258-273.
- Horst, Jenke ter & Salganik, Galla, 2014. "Style chasing by hedge fund investors," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 29-42.
- Zhaojun Yang & Chunhong Zhang, 2015. "The Pricing of Two Newly Invented Swaps in a Jump-Diffusion Model," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 371-392, November.
- Mu, Congming & Yan, Jingzhou & Liang, Zhian, 2021. "Optimal risk taking under high-water mark contract with jump risk," Finance Research Letters, Elsevier, vol. 38(C).
- Julián David García-Pulgarín & Javier Gómez-Restrepo & Daniel Vela-Barón, 2015.
"An Asset Allocation Framework with Tranches for Foreign Reserves,"
BORRADORES DE ECONOMIA
013440, BANCO DE LA REPÚBLICA.
- Julián David García-Pulgarín & Javier Gómez-Restrepo & Daniel Vela-Barón, 2015. "An Asset Allocation Framework with Tranches for Foreign Reserves," Borradores de Economia 899, Banco de la Republica de Colombia.
- Bessler, Wolfgang & Drobetz, Wolfgang & Henn Overbeck, Jacqueline, 2005. "Hedge Funds: Die Königsdisziplin" der Kapitalanlage," Working papers 2005/04, Faculty of Business and Economics - University of Basel.
- Wang, Yuli & Niu, Yingjie, 2020. "Ambiguity aversion for risk choice," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Buchner, Axel & Wagner, Niklas F., 2017. "Rewarding risk-taking or skill? The case of private equity fund managers," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 14-32.
- Henn Overbeck, Jacqueline & Meier, Iwan, 2005. "Performance Analysis of Hedge Fonds," Working papers 2005/06, Faculty of Business and Economics - University of Basel.
- Junbeom Lee & Xiang Yu & Chao Zhou, 2019. "Lifetime Ruin under High-watermark Fees and Drift Uncertainty," Papers 1909.01121, arXiv.org, revised Oct 2020.
- Agarwal, Vikas & Daniel, Naveen D. & Naik, Narayan Y., 2009. "Do hedge funds manage their reported returns?," CFR Working Papers 07-09, University of Cologne, Centre for Financial Research (CFR).
- Michael Kirchler & Florian Lindner & Utz Weitzel, 2016.
"Rankings and Risk-Taking in the Finance Industry,"
Working Papers
2016-02, Faculty of Economics and Statistics, Universität Innsbruck, revised Mar 2018.
- Michael Kirchler & Florian Lindner & Utz Weitzel, 2018. "Rankings and Risk‐Taking in the Finance Industry," Journal of Finance, American Finance Association, vol. 73(5), pages 2271-2302, October.
- Baldwin, Kenneth & Alhalboni, Maryam, 2020. "The impact of profit-sharing investment accounts on shareholders’ wealth," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 69(C).
- Dai, Na & Nahata, Rajarishi & Brauner, Aaron, 2022. "Does individualism matter for hedge funds? A cross-country examination," Journal of Corporate Finance, Elsevier, vol. 72(C).
- Paolo Guasoni & Jan Obłój, 2016. "The Incentives Of Hedge Fund Fees And High-Water Marks," Mathematical Finance, Wiley Blackwell, vol. 26(2), pages 269-295, April.
- Stefano Herzel & Marco Nicolosi, 2019. "Optimal strategies with option compensation under mean reverting returns or volatilities," Computational Management Science, Springer, vol. 16(1), pages 47-69, February.
- Luo, Deqing & Wu, Xiaoping & Xu, Jiawen & Yan, Jingzhou, 2022. "Robust leverage decision under locked wealth and high-water mark contract," Finance Research Letters, Elsevier, vol. 46(PB).
- Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
- Kaniel, Ron & tompaidis, stathis & Zhou, Ti, 2017. "Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows," CEPR Discussion Papers 12285, C.E.P.R. Discussion Papers.
- Sinclair, Andrew J., 2023. "Do prime brokers intermediate capital?," Journal of Financial Intermediation, Elsevier, vol. 53(C).
- Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015.
"Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings,"
Working Papers on Finance
1508, University of St. Gallen, School of Finance.
- Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail risk in hedge funds: A unique view from portfolio holdings," CFR Working Papers 15-07, University of Cologne, Centre for Financial Research (CFR).
- Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2017. "Tail risk in hedge funds: A unique view from portfolio holdings," Journal of Financial Economics, Elsevier, vol. 125(3), pages 610-636.
- Phalippou, Ludovic & Rauch, Christian & Umber, Marc, 2018. "Private equity portfolio company fees," Journal of Financial Economics, Elsevier, vol. 129(3), pages 559-585.
- Bing Liang & Hyuna Park, 2007. "Risk Measures for Hedge Funds: a Cross‐sectional Approach," European Financial Management, European Financial Management Association, vol. 13(2), pages 333-370, March.
- Annalisa Fabretti & Tommy Gärling & Stefano Herzel & Martin Holmen, 2017.
"Convex incentives in financial markets: an agent-based analysis,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 375-395, November.
- Annalisa Fabretti & Tommy Gärling & Stefano Herzel & Martin Holmen, 2015. "Convex Incentives in Financial Markets: an Agent-Based Analysis," CEIS Research Paper 337, Tor Vergata University, CEIS, revised 08 Apr 2015.
- Dandan Song & Zhaojun Yang, 2016. "Contingent Capital, Real Options, and Agency Costs," International Review of Finance, International Review of Finance Ltd., vol. 16(1), pages 3-40, March.
- Bryant, Lonnie L. & Liu, Hao-Chen, 2011. "Mutual fund industry management structure, risk and the impacts to shareholders," Global Finance Journal, Elsevier, vol. 22(2), pages 101-115.
- Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
- Paul Calluzzo & Fabio Moneta & Selim Topaloglu, 2019. "When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly?," Management Science, INFORMS, vol. 65(10), pages 4555-4574, October.
- Zhao, Li & Huang, Wenli & Ba, Shusong, 2018. "Optimal effort under high-water mark contracts," Economic Modelling, Elsevier, vol. 68(C), pages 599-610.
- Marcos Escobar-Anel & Vincent Höhn & Luis Seco & Rudi Zagst, 2018. "Optimal fee structures in hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 522-542, December.
- Zbigniew Palmowski & Budhi Surya, 2019. "Optimal valuation of American callable credit default swaps under drawdown of L\'evy insurance risk process," Papers 1904.10063, arXiv.org, revised Apr 2020.
- Moreira, Alan, 2019. "Capital immobility and the reach for yield," Journal of Economic Theory, Elsevier, vol. 183(C), pages 907-951.
- Douglas Cumming & Na Dai, 2010. "A Law and Finance Analysis of Hedge Funds," Financial Management, Financial Management Association International, vol. 39(3), pages 997-1026, September.
- Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa-Ausina, 2013.
"Does active management add value? New evidence from a quantile regression approach,"
Working Papers. Serie EC
2013-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2019. "Does active management add value? New evidence from a quantile regression approach," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1734-1751, October.
- Florian Lindner & Michael Kirchler & Stephanie Rosenkranz & Utz Weitzel, 2019. "Social Status and Risk-Taking in Investment Decisions," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2019_07, Max Planck Institute for Research on Collective Goods.
- Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme," Working Papers 2013-22, Center for Research in Economics and Statistics.
- Ming Fang & Rui Zhong, 2004. "Default Risk, Firm's Characteristics, and Risk Shifting," Yale School of Management Working Papers amz2461, Yale School of Management, revised 01 Mar 2005.
- Ewens, Michael & Gupta, Arpit & Howell, Sabrina, 2021.
"Local Journalism under Private Equity Ownership,"
SocArXiv
6ynf4, Center for Open Science.
- Michael Ewens & Arpit Gupta & Sabrina T. Howell, 2022. "Local Journalism under Private Equity Ownership," NBER Working Papers 29743, National Bureau of Economic Research, Inc.
- Escobar-Anel, M. & Havrylenko, Y. & Zagst, R., 2020. "Optimal fees in hedge funds with first-loss compensation," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Juha Joenväärä & Bernd Scherer, 2017. "A note on the valuation of asset management firms," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(2), pages 181-199, May.
- G. Elaut & M. Frömmel & J. Sjödin, 2014. "Crystallization – the Hidden Dimension of Hedge Funds' Fee Structure," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/872, Ghent University, Faculty of Economics and Business Administration.
- J. Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression," Working Papers 2013/01, Economics Department, Universitat Jaume I, Castellón (Spain).
- Joenväärä, Juha & Kauppila, Mikko & Kahra, Hannu, 2021. "Hedge fund portfolio selection with fund characteristics," Journal of Banking & Finance, Elsevier, vol. 132(C).
- Moritz Duembgen & L. C. G. Rogers, 2014. "Investing and Stopping," Papers 1403.0202, arXiv.org.
- Aiken, Adam L. & Clifford, Christopher P. & Ellis, Jesse A., 2015. "Hedge funds and discretionary liquidity restrictions," Journal of Financial Economics, Elsevier, vol. 116(1), pages 197-218.
- B. A. Surya, 2018. "Parisian excursion below a fixed level from the last record maximum of Levy insurance risk process," Papers 1806.02083, arXiv.org.
- Matti Suominen & Petri Jylhä, 2009. "Arbitrage Capital and Currency Carry Trade Returns," 2009 Meeting Papers 84, Society for Economic Dynamics.
- Palmowski, Z. & Surya, B.A., 2020. "Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 168-177.
- Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2016. "Scale economies in pension fund investments: A dissection of investment costs across asset classes," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 147-171.
- Baquero, G. & Verbeek, M.J.C.M., 2005. "A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money," ERIM Report Series Research in Management ERS-2005-068-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Cumming, Douglas & Dai, Na & Johan, Sofia, 2015. "Are hedge funds registered in Delaware different?," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 232-246.
- Cuoco, Domenico & Kaniel, Ron, 2009.
"Equilibrium Prices in the Presence of Delegated Portfolio Management,"
CEPR Discussion Papers
7453, C.E.P.R. Discussion Papers.
- Cuoco, Domenico & Kaniel, Ron, 2011. "Equilibrium prices in the presence of delegated portfolio management," Journal of Financial Economics, Elsevier, vol. 101(2), pages 264-296, August.
- Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y., 2007. "Hedge funds for retail investors? An examination of hedged mutual funds," CFR Working Papers 07-04, University of Cologne, Centre for Financial Research (CFR).
- Bian, Yuxiang & Xiong, Xiong & Yang, Jinqiang, 2022. "Investor protection, hedge fund leverage and valuation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Hwang, Inchang & Xu, Simon & In, Francis & Kim, Tong Suk, 2017. "Systemic risk and cross-sectional hedge fund returns," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 109-130.
- Fung, William & Hsieh, David A., 2011. "The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 547-569, September.
- Kleinlercher, Daniel & Huber, Jürgen & Kirchler, Michael, 2014. "The impact of different incentive schemes on asset prices," European Economic Review, Elsevier, vol. 68(C), pages 137-150.
- Li, Jiangyuan & Liu, Bo & Yang, Jinqiang & Zou, Zhentao, 2020. "Hedge fund’s dynamic leverage decisions under time-inconsistent preferences," European Journal of Operational Research, Elsevier, vol. 284(2), pages 779-791.
- Jorion, Philippe & Schwarz, Christopher, 2014. "Are hedge fund managers systematically misreporting? Or not?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 311-327.
- Clemens Sialm & Zheng Sun & Lu Zheng, 2020.
"Home Bias and Local Contagion: Evidence from Funds of Hedge Funds,"
Review of Financial Studies, Society for Financial Studies, vol. 33(10), pages 4771-4810.
- Clemens Sialm & Zheng Sun & Lu Zheng, 2013. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," NBER Working Papers 19570, National Bureau of Economic Research, Inc.
- Judy Qiu & Leilei Tang & Ingo Walter, 2018. "Hedge fund incentives, management commitment and survivorship," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(2), pages 115-142, May.
- Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia, 2013.
"Stochastic modeling and fair valuation of drawdown insurance,"
Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 840-850.
- Hongzhong Zhang & Tim Leung & Olympia Hadjiliadis, 2013. "Stochastic Modeling and Fair Valuation of Drawdown Insurance," Papers 1310.3860, arXiv.org.
- Marina Agranov & Alberto Bisin & Andrew Schotter, 2014. "An experimental study of the impact of competition for Other People’s Money: the portfolio manager market," Experimental Economics, Springer;Economic Science Association, vol. 17(4), pages 564-585, December.
- Kolokolova, Olga, 2011. "Strategic behavior within families of hedge funds," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1645-1662, July.
- Loyola, Gino & Portilla, Yolanda, 2014. "Reward for failure and executive compensation in institutional investors," Finance Research Letters, Elsevier, vol. 11(4), pages 349-361.
- 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.
Cited by:
- Erdős, Péter & Ormos, Mihály, 2012. "Pricing of collectibles: Baedeker guidebooks," Economic Modelling, Elsevier, vol. 29(5), pages 1968-1978.
- Bernard Thion & Tatiana Bouzdine Chameeva, 2001. "Comparative Analysis of Several Models of Price Indices in Real Estate Transactions," ERES eres2001_285, European Real Estate Society (ERES).
- Arthur Korteweg & Roman Kräussl & Patrick Verwijmeren, 2016.
"Does it Pay to Invest in Art? A Selection-Corrected Returns Perspective,"
Review of Financial Studies, Society for Financial Studies, vol. 29(4), pages 1007-1038.
- Arthur Korteweg & Roman Kräussl & Patrick Verwijmeren, 2013. "Does it pay to invest in Art? A Selection-corrected Returns Perspective," Tinbergen Institute Discussion Papers 13-152/IV/DSF61, Tinbergen Institute.
- Roman Kraussl & Arthur Korteweg & Patrick Verwijmeren, 2013. "Does it Pay to Invest in Art? A Selection-corrected Returns Perspective," LSF Research Working Paper Series 13-7, Luxembourg School of Finance, University of Luxembourg.
- Korteweg, Arthur & Kräussl, Roman & Verwijmeren, Patrick, 2013. "Does it pay to invest in art? A selection-corrected returns perspective," CFS Working Paper Series 2013/18, Center for Financial Studies (CFS).
- Melser, Daniel, 2017. "Disaggregated property price appreciation: The mixed repeat sales model," Regional Science and Urban Economics, Elsevier, vol. 66(C), pages 108-118.
- Kathryn Graddy & Jonathan Hamilton & Rachel Pownall, 2012.
"Repeat‐Sales Indexes: Estimation without Assuming that Errors in Asset Returns Are Independently Distributed,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 131-166, March.
- Campbell, Rachel & Graddy, Kathryn & Hamilton, Jonathan, 2009. "Repeat Sales Indexes: Estimation Without Assuming that Errors in Asset Returns Are Independently Distributed," CEPR Discussion Papers 7344, C.E.P.R. Discussion Papers.
- Claudio Borio & Øyvind Eitrheim & Marc Flandreau & Clemens Jobst & Jan F Qvigstad & Ryland Thomas, 2022. "Historical monetary and financial statistics for policymakers: towards a unified framework," BIS Papers, Bank for International Settlements, number 127.
- Liang Peng, 2012. "Repeat Sales Regression on Heterogeneous Properties," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 804-827, October.
- Jianhua Gang & Liang Peng & Jinfan Zhang, 2021. "Are Pricier Houses Less Risky? Evidence from China," The Journal of Real Estate Finance and Economics, Springer, vol. 63(4), pages 662-677, November.
- Rainer Schulz & Martin Wersing & Axel Werwatz, 2014.
"Automated valuation modelling: a specification exercise,"
Journal of Property Research, Taylor & Francis Journals, vol. 31(2), pages 131-153, June.
- Rainer Schulz & Martin Wersing & Axel Werwatz, 2013. "Automated Valuation Modelling: A Specification Exercise," SFB 649 Discussion Papers SFB649DP2013-046, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- James Bugden, 2013. "Renovations and the Repeat-Sales House Price Index," Working Papers 2013.08, School of Economics, La Trobe University.
- David Chambers & Elroy Dimson & Christophe Spaenjers, 0.
"Art as an Asset: Evidence from Keynes the Collector,"
The Review of Asset Pricing Studies, Oxford University Press, vol. 10(3), pages 490-520.
- , & Spaenjers, Christophe, 2020. "Art as an Asset: Evidence from Keynes the Collector," CEPR Discussion Papers 14357, C.E.P.R. Discussion Papers.
- Liang Peng & Thomas G. Thibodeau, 2020. "Interest Rates and Investment: Evidence from Commercial Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 60(4), pages 554-586, May.
- Jarl G. Kallberg & Crocker H. Liu & Paolo Pasquariello, 2014. "On the Price Comovement of U.S. Residential Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(1), pages 71-108, March.
- Vecco, Marilena & Zanola, Roberto, 2017. "Don’t let the easy be the enemy of the good. Returns from art investments: What is wrong with it?," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 120-129.
- Jianping Mei & Michael Moses, 2002. "Art as an Investment and the Underperformance of Masterpieces," American Economic Review, American Economic Association, vol. 92(5), pages 1656-1668, December.
- Erdos, Péter & Ormos, Mihály, 2010. "Random walk theory and the weak-form efficiency of the US art auction prices," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1062-1076, May.
- Victor Ginsburgh & Jianping Mei & Michael Moses, 2006. "On the computation of art indices in art," ULB Institutional Repository 2013/7290, ULB -- Universite Libre de Bruxelles.
- James Pesando & Pauline Shum, 2007. "The law of one price, noise and “irrational exuberance”: the auction market for Picasso prints," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 31(4), pages 263-277, December.
- Liang Peng, 2020. "Benchmarking Local Commercial Real Estate Returns: Statistics Meets Economics," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(4), pages 1004-1029, December.
- Deng, Yongheng & McMillen, Daniel P. & Sing, Tien Foo, 2014. "Matching indices for thinly-traded commercial real estate in Singapore," Regional Science and Urban Economics, Elsevier, vol. 47(C), pages 86-98.
- 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.
Cited by:
- Dubofsky, David A., 2010. "Mutual fund portfolio trading and investor flow," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 802-812, April.
- Moritz Wagner & Dimitris Margaritis, 2019. "Late Trading in Mutual Fund Shares – The Sequel?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 55(1), pages 89-109, February.
- Jay R. Ritter, 2008. "Forensic Finance," Journal of Economic Perspectives, American Economic Association, vol. 22(3), pages 127-147, Summer.
- Martijn Cremers & Antti Petajisto & Eric Zitzewitz, 2008. "Should Benchmark Indices Have Alpha? Revisiting Performance," Yale School of Management Working Papers amz2452, Yale School of Management, revised 26 Jan 2010.
- Eric Zitzewitz, 2006.
"How Widespread Was Late Trading in Mutual Funds?,"
American Economic Review, American Economic Association, vol. 96(2), pages 284-289, May.
- Zitzewitz, Eric, 2003. "How Widespread Is Late Trading in Mutual Funds?," Research Papers 1817, Stanford University, Graduate School of Business.
- Eric Zitzewitz, 2005. "How Widespread is Late Trading in Mutual Funds?," Finance 0501002, University Library of Munich, Germany.
- Ramiro Losada, 2022. "La información pública periódica de los fondos de inversión: como influyen en las decisiones de los inversores," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.
- Dirk Nitzsche & Keith Cuthbertson & Niall O'Sullivan, 2005. "Mutual Fund Performance: Skill Or Luck?," Money Macro and Finance (MMF) Research Group Conference 2005 4, Money Macro and Finance Research Group.
- Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003.
"An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns,"
NBER Working Papers
9571, National Bureau of Economic Research, Inc.
- Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
- Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2008.
"Unobserved Actions of Mutual Funds,"
Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2379-2416, November.
- Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "Unobserved Actions of Mutual Funds," NBER Working Papers 11766, National Bureau of Economic Research, Inc.
- Zitzewitz Eric W, 2009. "Prosecutorial Discretion in Mutual Fund Settlement Negotiations, 2003-7," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 9(1), pages 1-42, June.
- Martijn Cremers & Antti Petajisto, 2006. "How Active is Your Fund Manager? A New Measure That Predicts Performance," Yale School of Management Working Papers amz2370, Yale School of Management, revised 01 May 2009.
- James J. Choi & David Laibson & Andrew Metrick, "undated".
"Does the Internet Increase Trading? Evidence from Investor Behavior in 401(K) Plans,"
Rodney L. White Center for Financial Research Working Papers
15-00, Wharton School Rodney L. White Center for Financial Research.
- James J. Choi & David Laibson & Andrew Metrick, 2000. "Does the Internet Increase Trading? Evidence from Investor Behavior in 401(k) Plans," NBER Working Papers 7878, National Bureau of Economic Research, Inc.
- Ramiro Losada, 2022. "Periodic public information on investment funds and how it influences investors´ decisions," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Matthew Spiegel & Harry Mamaysky & Hong Zhang, 2005. "Improved Forecasting of Mutual Fund Alphas and Betas," Yale School of Management Working Papers amz2361, Yale School of Management, revised 01 Mar 2006.
- Tsai, Pei-Jung, 2010. "Country funds and the role of international equity flows in pricing and in premiums and discounts," Global Finance Journal, Elsevier, vol. 21(1), pages 43-70.
- Qian, Meijun, 2011. "Is "voting with your feet" an effective mutual fund governance mechanism?," Journal of Corporate Finance, Elsevier, vol. 17(1), pages 45-61, February.
- M. Imtiaz Mazumder & Edward M. Miller & Oscar A. Varela, 2010. "Market Timing the Trading of International Mutual Funds: Weekend, Weekday and Serial Correlation Strategies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7‐8), pages 979-1007, July.
- Nanda, Vikram K. & Wang, Z. Jay & Zheng, Lu, 2009. "The ABCs of mutual funds: On the introduction of multiple share classes," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 329-361, July.
- Chong, Terence Tai-Leung & Wong, Ying-Chiu & Yan, Isabel Kit-Ming, 2008. "International linkages of the Japanese stock market," Japan and the World Economy, Elsevier, vol. 20(4), pages 601-621, December.
- María Isabel Cambón Murcia & Ramiro Losada, 2013. "Evidence from purchases and redemptions in the Spanish equity fund market," CNMV Working Papers CNMV Working Papers no 56, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Delcoure, Natalya & Zhong, Maosen, 2007. "On the premiums of iShares," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 168-195, March.
- Eric Zitzewitz, 2003.
"Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds,"
The Journal of Law, Economics, and Organization, Oxford University Press, vol. 19(2), pages 245-280, October.
- Zitzewitz, Eric, 2002. "Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds," Research Papers 1749, Stanford University, Graduate School of Business.
- Chua, Choong Tze & Lai, Sandy & Wu, Yangru, 2008. "Effective fair pricing of international mutual funds," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2307-2324, November.
- Cici, Gjergji & Gibson, Scott & Merrick Jr., John J., 2011. "Missing the marks? Dispersion in corporate bond valuations across mutual funds," Journal of Financial Economics, Elsevier, vol. 101(1), pages 206-226, July.
- Agarwal, Vikas & Barber, Brad M. & Cheng, Si & Hameed, Allaudeen & Yasuda, Ayako, 2021. "Private company valuations by mutual funds," CFR Working Papers 21-09, University of Cologne, Centre for Financial Research (CFR).
- Cici, Gjergji & Gibson, Scott & Moussawi, Rabih, 2010. "Mutual fund performance when parent firms simultaneously manage hedge funds," Journal of Financial Intermediation, Elsevier, vol. 19(2), pages 169-187, April.
- Dang, Thuy Duong & Hollstein, Fabian & Prokopczuk, Marcel, 2022. "How do corporate bond investors measure performance? Evidence from mutual fund flows," Journal of Banking & Finance, Elsevier, vol. 142(C).
- Martijn Cremers & Antti Petajisto & Eric Zitzewitz, 2012.
"Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation,"
NBER Working Papers
18050, National Bureau of Economic Research, Inc.
- Cremers, Martijn & Petajisto, Antti & Zitzewitz, Eric, 2013. "Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation," Critical Finance Review, now publishers, vol. 2(1), pages 1-48, July.
- Susan Christoffersen & Christopher C. Geczy & David K. Musto & Adam V. Reed, 2004. "Do Shareholders' Preferences Affect their Funds' Management? Evidence from the Cross Section of Shareholders and Funds," CIRANO Working Papers 2004s-22, CIRANO.
- Tsai, Pei-Jung, 2009. "International equity flows and country funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 862-894, December.
- Greene, Jason T. & Hodges, Charles W., 2002. "The dilution impact of daily fund flows on open-end mutual funds," Journal of Financial Economics, Elsevier, vol. 65(1), pages 131-158, July.
- Patrick E. McCabe, 2009. "The economics of the mutual fund trading scandal," Finance and Economics Discussion Series 2009-06, Board of Governors of the Federal Reserve System (U.S.).
- Hugh L. Christensen, 2015. "Algorithmic arbitrage of open-end funds using variational Bayes," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-38, December.
- Christoffersen, Susan E.K. & Geczy, Christopher C. & Musto, David K. & Reed, Adam V., 2005. "Crossborder dividend taxation and the preferences of taxable and nontaxable investors: Evidence from Canada," Journal of Financial Economics, Elsevier, vol. 78(1), pages 121-144, October.
- Jon A. Fulkerson & Timothy B. Riley, 2017. "Mutual Fund Liquidity Costs," Financial Management, Financial Management Association International, vol. 46(2), pages 359-375, June.
- Arturo Bris & Huseyin Gulen & Padmaja Kadiyala & Raghavendra Rau, 2005. "Good Stewards, Cheap Talkers, or Family Men? The Impact of Mutual Fund Closures on Fund Managers, Flows, Fees, and Performance," Yale School of Management Working Papers amz2658, Yale School of Management, revised 01 Sep 2006.
- Greene, Jason T. & Hodges, Charles W. & Rakowski, David A., 2007. "Daily mutual fund flows and redemption policies," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3822-3842, December.
- 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.
- 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 & Bradford Case & K. Geert Rouwenhorst, 1999. "Global Real Estate Markets: Cycles And Fundamentals," Yale School of Management Working Papers ysm116, Yale School of Management.
Cited by:
- Gunther Maier & Shanaka Herath, 2009.
"Real Estate Market Efficiency: A Survey of Literature,"
SRE-Disc
sre-disc-2009_07, Institute for Multilevel Governance and Development, Department of Socioeconomics, Vienna University of Economics and Business.
- Gunther Maier & Shanaka Herath, 2009. "Real Estate Market Efficiency: A Survey of Literature," ERES eres2009_155, European Real Estate Society (ERES).
- Maier, Gunther & Herath, Shanaka, 2009. "Real Estate Market Efficiency. A Survey of Literature," SRE-Discussion Papers 2009/07, WU Vienna University of Economics and Business.
- Beltratti, Andrea & Morana, Claudio, 2010. "International house prices and macroeconomic fluctuations," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 533-545, March.
- Andrey Pavlov & Eva Steiner & Susan Wachter, 2015. "Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 241-270, March.
- Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E. Terrones, 2012.
"Global House Price Fluctuations: Synchronization and Determinants,"
NBER Chapters, in: NBER International Seminar on Macroeconomics 2012, pages 119-166,
National Bureau of Economic Research, Inc.
- Hideaki Hirata & M. Ayhan Kose & Chris Otrok & Marco Terrones, "undated". "Global House Price Fluctuations: Synchronization and Determinants," Working Paper 164451, Harvard University OpenScholar.
- Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E. Terrones, 2013. "Global House Price Fluctuations: Synchronization and Determinants," CAMA Working Papers 2013-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Mr. Hideaki Hirata & Mr. Ayhan Kose & Mr. Christopher Otrok & Mr. Marco Terrones, 2013. "Global House Price Fluctuations: Synchronization and Determinants," IMF Working Papers 2013/038, International Monetary Fund.
- Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E. Terrones, 2012. "Global House Price Fluctuations: Synchronization and Determinants," NBER Working Papers 18362, National Bureau of Economic Research, Inc.
- Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E Terrones, 2013. "Global House Price Fluctuations: Synchronization and Determinants," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 9(1), pages 119-166.
- Andrew Baum & Claudia Murray, 2010. "Understanding the Barriers to Real Estate Investment in Developing Economies," LARES lares-2010-artigo-314-412, Latin American Real Estate Society (LARES).
- David Ho & Kwame Addae-Dapaah & John Glascock, 2015. "International Direct Real Estate Risk Premiums in a Multi-Factor Estimation Model," The Journal of Real Estate Finance and Economics, Springer, vol. 51(1), pages 52-85, July.
- Ivo Wit, 2010. "International Diversification Strategies for Direct Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 41(4), pages 433-457, November.
- Christian Rehring, 2012. "Real Estate in a Mixed‐Asset Portfolio: The Role of the Investment Horizon," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 65-95, March.
- Holly, Sean & Hashem Pesaran, M. & Yamagata, Takashi, 2011.
"The spatial and temporal diffusion of house prices in the UK,"
Journal of Urban Economics, Elsevier, vol. 69(1), pages 2-23, January.
- Sean Holly & M. Hashem Pesaran & Takashi Yamagata, 2010. "Spatial and Temporal Diffusion of House Prices in the UK," CESifo Working Paper Series 2913, CESifo.
- S Holly & M Hashem Pesaran & T Yamagata, "undated". "Spatial and Temporal Diffusion of House Prices in the UK," Discussion Papers 09/32, Department of Economics, University of York.
- Holly, S. & Pesaran, M.H. & Yamagata, T., 2009. "Spatial and Temporal Diffusion of House Prices in the UK," Cambridge Working Papers in Economics 0952, Faculty of Economics, University of Cambridge.
- Holly, Sean & Pesaran, M. Hashem & Yamagata, Takashi, 2010. "Spatial and Temporal Diffusion of House Prices in the UK," IZA Discussion Papers 4694, Institute of Labor Economics (IZA).
- Renneboog, L.D.R. & Spaenjers, C., 2014.
"Investment Returns and Economic Fundamentals in International Art Markets,"
Discussion Paper
2014-018, Tilburg University, Center for Economic Research.
- Renneboog, L.D.R. & Spaenjers, C., 2014. "Investment Returns and Economic Fundamentals in International Art Markets," Other publications TiSEM a93f84dd-2411-4b7d-ad58-6, Tilburg University, School of Economics and Management.
- Anthony Sanders & Bond Shaun & Karolyi Andrew, 2003.
"International Real Estate Returns: A Multifactor, Multicountry Approach,"
ERES
eres2003_255, European Real Estate Society (ERES).
- Shaun A. Bond & G. Andrew Karolyi & Anthony B. Sanders, 2003. "International Real Estate Returns: A Multifactor, Multicountry Approach," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(3), pages 481-500, September.
- Cesa-Bianchi, Ambrogio, 2012.
"Housing Cycles and Macroeconomic Fluctuations: A Global Perspective,"
IDB Publications (Working Papers)
4085, Inter-American Development Bank.
- Cesa-Bianchi, Ambrogio, 2013. "Housing cycles and macroeconomic fluctuations: A global perspective," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 215-238.
- Ambrogio Cesa-Bianchi, 2012. "Housing Cycles and Macroeconomic Fluctuations: A Global Perspective," Research Department Publications 4810, Inter-American Development Bank, Research Department.
- Nafeesa Yunus, 2009. "Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 383-411, September.
- De Santis, Paola & Drago, Carlo, 2014. "Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche [Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidence]," MPRA Paper 59381, University Library of Munich, Germany.
- Krzysztof Olszewski, 2012.
"The impact of commercial real estate on the financial sector, its tracking by central banks and some recommendations for the macro-financial stability policy of central banks,"
NBP Working Papers
132, Narodowy Bank Polski.
- Krzysztof Olszewski, 2013. "The Commercial Real Estate Market, Central Bank Monitoring and Macroprudential Policy," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 5(2), pages 213-250, December.
- Olszewski, Krzysztof, 2012. "The impact of commercial real estate on the financial sector, its tracking by central banks and some recommendations for the macro-financial stability policy of central banks," MPRA Paper 41059, University Library of Munich, Germany.
- N. Kundan Kishor & Hardik A. Marfatia, 2017. "The Dynamic Relationship Between Housing Prices and the Macroeconomy: Evidence from OECD Countries," The Journal of Real Estate Finance and Economics, Springer, vol. 54(2), pages 237-268, February.
- Roland Füss & Daniel Ruf, 2018. "Office Market Interconnectedness and Systemic Risk Exposure," Working Papers on Finance 1830, University of St. Gallen, School of Finance.
- Andrew Baum & Claudia Murray, "undated". "Understanding the Barriers to Real Estate Investment in Developing Economies," Real Estate & Planning Working Papers rep-wp2011-08, Henley Business School, University of Reading.
- Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
- Patrick J. Wilson & Ralf Zurbruegg & Richard Gerlach, 2002.
"Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia Pacific Real Estate Markets,"
ERES
eres2002_140, European Real Estate Society (ERES).
- Pat Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets," Working Paper Series 121, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Gerlach, Richard & Wilson, Patrick & Zurbruegg, Ralf, 2006. "Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 974-991, October.
- John Okunev & Patrick J. Wilson, 2008. "Predictability of Equity REIT Returns: Implications for Property Tactical Asset Allocation," International Real Estate Review, Global Social Science Institute, vol. 11(2), pages 32-46.
- Plazzi, Alberto & Torous, Walt & Valkanov, Rossen, 2004. "13-04 Expected Returns and the Expected Growth in Rents of Commercial Real Estate," University of California at Los Angeles, Anderson Graduate School of Management qt8c68m5tk, Anderson Graduate School of Management, UCLA.
- Aizenman, Joshua & Jinjarak, Yothin, 2009.
"Current account patterns and national real estate markets,"
Journal of Urban Economics, Elsevier, vol. 66(2), pages 75-89, September.
- Aizenman, Joshua & Jinjarak, Yothin, 2008. "Current account patterns and national real estate markets," Santa Cruz Department of Economics, Working Paper Series qt1rh4s127, Department of Economics, UC Santa Cruz.
- Joshua Aizenman & Yothin Jinjarak, 2008. "Current Account Patterns and National Real Estate Markets," NBER Working Papers 13921, National Bureau of Economic Research, Inc.
- Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy.
- Jinjarak, Yothin & Sheffrin, Steven M., 2011. "Causality, real estate prices, and the current account," Journal of Macroeconomics, Elsevier, vol. 33(2), pages 233-246, June.
- Ashok Bardhan & Robert Edelstein & Desmond Tsang, 2008. "Global Financial Integration and Real Estate Security Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(2), pages 285-311, June.
- Diego Salzman, 2013. "Behavioural Real Estate," ERES eres2013_334, European Real Estate Society (ERES).
- Jean-François Carpantier & Christelle Sapata, 2020.
"The Ups and Downs of European Real Estate Markets’ Integration,"
Finance, Presses universitaires de Grenoble, vol. 41(2), pages 109-139.
- Jean-François Carpantier & Christelle Sapata, 2019. "The Ups and Downs of European Real Estate Markets’ Integration," Working Papers hal-02171480, HAL.
- Veera Lenkkeri & Wessel Marquering & Ben Strunkmann-Meister, 2006. "The Friday Effect in European Securitized Real Estate Index Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 31-50, August.
- Yong Tu, 2004. "The Dynamics of the Singapore Private Housing Market," Urban Studies, Urban Studies Journal Limited, vol. 41(3), pages 605-619, March.
- Shaukat, Mughees, 2010. "The Benefits and Importance of Commercial Real Estate," MPRA Paper 28268, University Library of Munich, Germany.
- C.F. Sirmans & Elaine Worzala, 2003. "International Direct Real Estate Investment: A Review of the Literature," Urban Studies, Urban Studies Journal Limited, vol. 40(5-6), pages 1081-1114, May.
- Neal Maroney & Atsuyuki Naka, 2006. "Diversification Benefits of Japanese Real Estate Over the Last Four Decades," The Journal of Real Estate Fin