Details about William Goetzmann

E-mail:
Homepage:	http://viking.som.yale.edu
Phone:	203 4325950
Postal address:	Yale School of Management 146 Prospect Street New Haven, CT 06511
Workplace:	School of Management, Yale University, (more information at EDIRC)

Access statistics for papers by William Goetzmann.

Last updated 2009-11-05. Update your information in the RePEc Author Service.

Short-id: pgo59

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Jump to Journal Articles Chapters

Working Papers

2009

1. Multiple Ratings and Credit Spreads
   NBER Working Papers, National Bureau of Economic Research, Inc
2. New Evidence on the First Financial Bubble
   NBER Working Papers, National Bureau of Economic Research, Inc
3. Risk Aversion and Clientele Effects
   NBER Working Papers, National Bureau of Economic Research, Inc
4. The Subprime Crisis and House Price Appreciation
   NBER Working Papers, National Bureau of Economic Research, Inc

2005

5. British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in Yale School of Management Working Papers, Yale School of Management (2005) View citations
   See also Journal Article in Review of Finance (2006)
6. Bubble Investors: What Were They Thinking?
   Yale School of Management Working Papers, Yale School of Management View citations
7. Dispersion of Opinion and Stock Returns
   Yale School of Management Working Papers, Yale School of Management
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004)
   See also Journal Article in Journal of Financial Markets (2005)
8. Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias
   Yale School of Management Working Papers, Yale School of Management View citations
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004)
   NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
   Yale School of Management Working Papers, Yale School of Management (2004)
   Yale School of Management Working Papers, Yale School of Management (2003) View citations
9. History and the Equity Risk Premium
   Yale School of Management Working Papers, Yale School of Management View citations
10. Institutional Perspectives on Real Estate Investing: The Role of Risk and Uncertainty
    Yale School of Management Working Papers, Yale School of Management View citations
11. More Social Security, Not Less
    Yale School of Management Working Papers, Yale School of Management
12. Performance Persistence
    Yale School of Management Working Papers, Yale School of Management View citations
    See also Journal Article in Journal of Finance (1995)
13. Portfolio Diversification, Proximity Investment and City Agglomeration
    Yale School of Management Working Papers, Yale School of Management
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations
14. Short-Sales in Global Perspective
    Yale School of Management Working Papers, Yale School of Management View citations
15. The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control
    Yale School of Management Working Papers, Yale School of Management
    See also Chapter (2005)
16. The Performance of Real Estate Portfolios: A Simulation Approach
    Yale School of Management Working Papers, Yale School of Management
17. Why Do Individual Investors Hold Under-Diversified Portfolios?
    Yale School of Management Working Papers, Yale School of Management View citations
18. Will History Rhyme? The Past as Financial Future
    Yale School of Management Working Papers, Yale School of Management

2004

19. A Century of Global Stock Markets
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000)
    Yale School of Management Working Papers, Yale School of Management (1997) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations
20. A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (2000)
    See also Journal Article in Journal of Financial Markets (2001)
21. An Analysis of the Relative Performance of Japanese and Foreign Money Management
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (2002)
    See also Journal Article in Pacific-Basin Finance Journal (2003)
22. An Emerging Market: The NYSE From 1815 to 1871
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (1998) View citations
23. Behavioral Factors in Mutual Fund Flows
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in Yale School of Management Working Papers, Yale School of Management (2000) View citations
24. China and the World Financial Markets 1870-1930
    Yale School of Management Working Papers, Yale School of Management
25. China and the World Financial Markets 1870-1930:Modern Lessons From Historical Globalization (Chinese Version)
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (2001)
26. Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in Yale School of Management Working Papers, Yale School of Management (1998)
27. Efficiency and the Bear: Short Sales and Markets Around the World
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in Yale School of Management Working Papers, Yale School of Management (2003) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
    Yale School of Management Working Papers, Yale School of Management (2004) View citations
    See also Journal Article in Journal of Finance (2007)
28. Equity Portfolio Diversification
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations
    Yale School of Management Working Papers, Yale School of Management (2001) View citations
    See also Journal Article in Review of Finance (2008)
29. Fees on Fees in Funds of Funds
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in Yale School of Management Working Papers, Yale School of Management (2002) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2003)
30. Fibonacci and the Financial Revolution
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in Yale School of Management Working Papers, Yale School of Management (2003)
    Yale School of Management Working Papers, Yale School of Management (2004) View citations
31. Global Real Estate Markets: Cycles And Fundamentals
    Yale School of Management Working Papers, Yale School of Management
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations
    Yale School of Management Working Papers, Yale School of Management (1999) View citations
32. Hedge Funds With Style
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations
    Yale School of Management Working Papers, Yale School of Management (2001) View citations
33. High Water Marks
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations
34. Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares (English version)
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (2002)
35. Portfolio Diversification and City Agglomeration
    NBER Working Papers, National Bureau of Economic Research, Inc
36. Positive Portfolio Factors
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (1998) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (1998)
37. Rain or Shine: Where is the Weather Effect?
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
    Yale School of Management Working Papers, Yale School of Management (2002) View citations
    See also Journal Article in European Financial Management (2005)
38. Soft Information, Hard Sell: The Role of Soft Information in the Pricing of Intellectual Property
    NBER Working Papers, National Bureau of Economic Research, Inc
39. The Dow Theory: William Peter Hamilton's Track Record Re-considered
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in Yale School of Management Working Papers, Yale School of Management (1998) View citations
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations
    See also Journal Article in Journal of Finance (1998)

2003

40. Disposition Matters: Volume, Volatility and PriceImpact of a Behavioral Bias
    Yale School of Management Working Papers, Yale School of Management View citations
41. Diversification Decisions of Individual Investors and Asset Prices
    Yale School of Management Working Papers, Yale School of Management View citations
42. Estimating Indices in the Presence of Seller Reservation Prices
    Yale School of Management Working Papers, Yale School of Management
43. Home Equity Insurance: A Pilot Project
    Yale School of Management Working Papers, Yale School of Management View citations
44. Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Yale School of Management Working Papers, Yale School of Management (2002) View citations
    Yale School of Management Working Papers, Yale School of Management (2002) View citations
45. Long-Term Global Market Correlations
    DNB Staff Reports (discontinued), Netherlands Central Bank View citations
    Also in Yale School of Management Working Papers, Yale School of Management (2001) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations
    See also Journal Article in Journal of Business (2005)
46. Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
47. Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares (Russian Version)
    Yale School of Management Working Papers, Yale School of Management
48. The Impact of Clientele Changes: Evidence from Stock Splits
    Yale School of Management Working Papers, Yale School of Management

2002

49. Sharpening Sharpe Ratios
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in Yale School of Management Working Papers, Yale School of Management (2002) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations

2001

50. China and the World Financial Markets 1870-1930: Modern Lessons From Historical Globalization
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
51. China and the World Financial Markets 1870-1930: Modern Lessons From Historical Globalization (English Version)
    Yale School of Management Working Papers, Yale School of Management
52. Dispersion of Opinion and Stock Returns: Evidence from Index Fund Investors
    Yale School of Management Working Papers, Yale School of Management
53. Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors
    Yale School of Management Working Papers, Yale School of Management
54. High-Water Marks and Hedge Fund Management Contracts
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (1998)
    See also Journal Article in Journal of Finance (2003)
55. The Bias of the RSR Estimator and the Accuracy of Some Alternatives
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2001) View citations
    See also Journal Article in Real Estate Economics (2002)

2000

56. Daily Momentum And Contrarian Behavior Of Index Fund Investors
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in Yale School of Management Working Papers, Yale School of Management (1999) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations
57. Day Trading International Mutual Funds: Evidence And Policy Solutions
    Yale School of Management Working Papers, Yale School of Management View citations
58. The Policy Implications of Portfolio Choice in Underserved Mortgage Markets
    Yale School of Management Working Papers, Yale School of Management View citations

1999

59. Do Cities and Suburbs Cluster?
    Yale School of Management Working Papers, Yale School of Management View citations
60. Index Funds and Stock Market Growth
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in Yale School of Management Working Papers, Yale School of Management (1998) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations
    See also Journal Article in Journal of Business (2003)
61. Pairs Trading: Performance of a Relative Value Arbitrage Rule
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Yale School of Management Working Papers, Yale School of Management (1998)
    Yale School of Management Working Papers, Yale School of Management (1998)
    Yale School of Management Working Papers, Yale School of Management (1998)
    See also Journal Article in Review of Financial Studies (2006)
62. The Development Of Corporate Performance Measures: Benchmarks Before EVA
    Yale School of Management Working Papers, Yale School of Management View citations

1998

63. A Longer Look at Dividend Yields
    Yale School of Management Working Papers, Yale School of Management View citations
    See also Journal Article in Journal of Business (1995)
64. Clustering Methods for Real Estate Portfolios
    Yale School of Management Working Papers, Yale School of Management View citations
    See also Journal Article in Real Estate Economics (1995)
65. Hedge Funds and the Asian Currency Crisis of 1997
    Yale School of Management Working Papers, Yale School of Management
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations
66. Monthly Measurement of Daily Timers
    Yale School of Management Working Papers, Yale School of Management View citations
67. Mutual Fund Styles
    Yale School of Management Working Papers, Yale School of Management
    See also Journal Article in Journal of Financial Economics (1997)
68. Offshore Hedge Funds: Survival & Performance 1989-1995
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-
    Also in Yale School of Management Working Papers, Yale School of Management (1997)
69. Offshore Hedge Funds: Survival and Performance, 1989-1995
    Yale School of Management Working Papers, Yale School of Management
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1997)
    See also Journal Article in Journal of Business (1999)
70. Re-Emerging Markets
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in Yale School of Management Working Papers, Yale School of Management (1998) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations
71. The Effect of Seller Reserves on Market Index Estimation
    Yale School of Management Working Papers, Yale School of Management
72. The Japanese Open-End Fund Puzzle
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998)
73. The Open-End Japanese Mutual Fund Puzzle
    Yale School of Management Working Papers, Yale School of Management
74. Two Decades Of Commercial Property Returns: A NCREIF Index Using Independent Appraisals
    Yale School of Management Working Papers, Yale School of Management

1997

75. A Spatial Model of Housing Returns and Neighborhood Substitutability
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in Research Program in Finance Working Papers, University of California at Berkeley (1995)
    See also Journal Article in The Journal of Real Estate Finance and Economics (1997)

1996

76. Risks and Incentives in Underserved Mortgage Markets
    Yale School of Management Working Papers, Yale School of Management
    See also Journal Article in Journal of Housing Economics (1998)
77. Suburbs and Cities
    Yale School of Management Working Papers, Yale School of Management

1993

78. Attrition and Mutual Fund Performance
    Working Papers, Columbia - Graduate School of Business View citations
79. Commodity Funds as an Investment Asset
    Working Papers, Columbia - Graduate School of Business

1992

80. Market Response to Mutual Fund Performance
    Working Papers, Columbia - Graduate School of Business View citations
81. Non-temporal Components of Residential Real Estate Appreciation
    Working Papers, Columbia - Graduate School of Business
    See also Journal Article in The Review of Economics and Statistics (1995)
82. Safety First Portfolio Choice
    Working Papers, Columbia - Graduate School of Business
83. Testing the Predictive Power of Dividend Yields
    Working Papers, Columbia - Graduate School of Business View citations
    Also in Working Papers, Columbia - Graduate School of Business (1990) View citations
    See also Journal Article in Journal of Finance (1993)

1991

84. Clustering Methods and Commercial Rents
    Working Papers, Columbia - Graduate School of Business

1990

85. ACCOUNTING FOR TASTE: AN ANALYSIS OF ART RETURNS OVER THREE CENTURIES
    Working Papers, Columbia - Graduate School of Business View citations
86. BOOTSTRAPPING TESTS OF LONG-TERM STOCK MARKET EFFICIENCY
    Working Papers, Columbia - Graduate School of Business
87. Do Winners Repeat? Patterns in Mutual Fund Behavior
    Working Papers, Columbia - Graduate School of Business View citations
88. THE ACCURACY OF REAL ESTIMATE INDICES: REPEAT SALE ESTIMATORS
    Working Papers, Columbia - Graduate School of Business
    See also Journal Article in The Journal of Real Estate Finance and Economics (1992)
89. THE SINGLE FAMILY HOME IN THE INVESTMENT PORTFOLIO
    Working Papers, Columbia - Graduate School of Business View citations
    See also Journal Article in The Journal of Real Estate Finance and Economics (1993)

Journal Articles

2008

1. Equity Portfolio Diversification
   Review of Finance, 2008, 12, (3), 433-463 View citations
   See also Working Paper (2004)
2. Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
   Journal of Finance, 2008, 63, (6), 2785-2815

2007

3. China and the world financial markets 1870-1939: Modern lessons from historical globalization -super-1
   Economic History Review, 2007, 60, (2), 267-312
4. Efficiency and the Bear: Short Sales and Markets Around the World
   Journal of Finance, 2007, 62, (3), 1029-1079 View citations
   See also Working Paper (2004)

2006

5. British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach
   Review of Finance, 2006, 10, (2), 261-300 View citations
   Also in Review of Finance, 2006, 10, (2), 261-300 (2006)
   See also Working Paper (2005)
6. Estimating House Price Indexes in the Presence of Seller Reservation Prices
   The Review of Economics and Statistics, 2006, 88, (1), 100-112 View citations
7. Pairs Trading: Performance of a Relative-Value Arbitrage Rule
   Review of Financial Studies, 2006, 19, (3), 797-827 View citations
   See also Working Paper (1999)

2005

8. Dispersion of opinion and stock returns
   Journal of Financial Markets, 2005, 8, (3), 324-349
   See also Working Paper (2005)
9. Long-Term Global Market Correlations
   Journal of Business, 2005, 78, (1), 1-38 View citations
   See also Working Paper (2003)
10. Rain or Shine: Where is the Weather Effect?
    European Financial Management, 2005, 11, (5), 559-578
    See also Working Paper (2004)

2003

11. An analysis of the relative performance of Japanese and foreign money management
    Pacific-Basin Finance Journal, 2003, 11, (4), 393-412
    See also Working Paper (2004)
12. High-Water Marks and Hedge Fund Management Contracts
    Journal of Finance, 2003, 58, (4), 1685-1718 View citations
    See also Working Paper (2001)
13. Index Funds and Stock Market Growth
    Journal of Business, 2003, 76, (1), 1-28 View citations
    See also Working Paper (1999)

2002

14. The Bias of the RSR Estimator and the Accuracy of Some Alternatives
    Real Estate Economics, 2002, 30, (1), 13-39 View citations
    See also Working Paper (2001)

2001

15. A new historical database for the NYSE 1815 to 1925: Performance and predictability
    Journal of Financial Markets, 2001, 4, (1), 1-32 View citations
    See also Working Paper (2004)

2000

16. Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index
    The Journal of Real Estate Finance and Economics, 2000, 21, (1), 5-21 View citations

1999

17. Global Stock Markets in the Twentieth Century
    Journal of Finance, 1999, 54, (3), 953-980 View citations
18. Offshore Hedge Funds: Survival and Performance, 1989-95
    Journal of Business, 1999, 72, (1), 91-117 View citations
    See also Working Paper (1998)

1998

19. Risks and Incentives in Underserved Mortgage Markets
    Journal of Housing Economics, 1998, 7, (3), 274-285
    See also Working Paper (1996)
20. The Dow Theory: William Peter Hamilton's Track Record Reconsidered
    Journal of Finance, 1998, 53, (4), 1311-1333 View citations
    See also Working Paper (2004)

1997

21. A Spatial Model of Housing Returns and Neighborhood Substitutability
    The Journal of Real Estate Finance and Economics, 1997, 14, (1-2), 11-31 View citations
    See also Working Paper (1997)
22. Mutual fund styles
    Journal of Financial Economics, 1997, 43, (3), 373-399 View citations
    See also Working Paper (1998)
23. Rejoinder: The J-Shape Of Performance Persistence Given Survivorship Bias
    The Review of Economics and Statistics, 1997, 79, (2), 167-170 View citations

1995

24. A Longer Look at Dividend Yields
    Journal of Business, 1995, 68, (4), 483-508 View citations
    See also Working Paper (1998)
25. Clustering Methods for Real Estate Portfolios
    Real Estate Economics, 1995, 23, (3), 271-310 View citations
    See also Working Paper (1998)
26. Non-temporal Components of Residential Real Estate Appreciation
    The Review of Economics and Statistics, 1995, 77, (1), 199-206 View citations
    See also Working Paper (1992)
27. Performance Persistence
    Journal of Finance, 1995, 50, (2), 679-98 View citations
    See also Working Paper (2005)
28. Survival
    Journal of Finance, 1995, 50, (3), 853-73 View citations

1994

29. Homogeneous Groupings of Metropolitan Housing Markets
    Journal of Housing Economics, 1994, 3, (3), 186-206 View citations

1993

30. Accounting for Taste: Art and the Financial Markets over Three Centuries
    American Economic Review, 1993, 83, (5), 1370-76 View citations
31. Patterns in Three Centuries of Stock Market Prices
    Journal of Business, 1993, 66, (2), 249-70 View citations
32. Testing the Predictive Power of Dividend Yields
    Journal of Finance, 1993, 48, (2), 663-79 View citations
    See also Working Paper (1992)
33. The Single Family Home in the Investment Portfolio
    The Journal of Real Estate Finance and Economics, 1993, 6, (3), 201-22 View citations
    See also Working Paper (1990)

1992

34. The Accuracy of Real Estate Indices: Repeat Sale Estimators
    The Journal of Real Estate Finance and Economics, 1992, 5, (1), 5-53 View citations
    See also Working Paper (1990)

1990

35. THE PERFORMANCE OF REAL ESTATE AS AN ASSET CLASS
    Journal of Applied Corporate Finance, 1990, 3, (1), 65-76 View citations

1988

36. The effect of the "triple witching hour" on stock market volatility
    Economic Review, 1988, (Sep), 2-18

Chapters

2005

1. The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control
   A chapter in A History of Corporate Governance around the World: Family Business Groups to Professional Managers, 2005, pp 149-184
   See also Working Paper (2005)

2003

2. Does Governance Matter? The Case of Art Museums
   A chapter in The Governance of Not-for-Profit Organizations, 2003, pp 71-100 View citations