Details about Amit Goyal

Access statistics for papers by Amit Goyal.

Last updated 2024-08-31. Update your information in the RePEc Author Service.

Short-id: pgo419

Working Papers

2023

1. A Joint Factor Model for Bonds, Stocks, and Options
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
2. R&D, Innovation, and the Stock Market
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2022

3. Are Equity Option Returns Abnormal? IPCA Says No
   Working Papers, Federal Reserve Bank of Dallas View citations (1)

2021

4. A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (16)
   Also in Yale School of Management Working Papers, Yale School of Management (2006)
   NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (53)
   See also Journal Article A Comprehensive Look at The Empirical Performance of Equity Premium Prediction, The Review of Financial Studies, Society for Financial Studies (2008) View citations (1722) (2008)
5. Illiquidity and the Cost of Equity Capital: Evidence from Actual Estimates of Capital Cost for U.S. Data
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Illiquidity and the cost of equity capital: Evidence from actual estimates of capital cost for U.S. data, Review of Financial Economics, John Wiley & Sons (2023) (2023)
6. Picking Partners: Manager Selection in Private Equity
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
7. Pricing Event Risk: Evidence from Concave Implied Volatility Curves
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
8. Unlocking ESG Premium from Options
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2020

9. Cheap Options Are Expensive
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
10. Choosing Investment Managers
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
11. The Cross-Sectional Pricing of Corporate Bonds Using Big Data and Machine Learning
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2019

12. Implied Volatility Changes and Corporate Bond Returns
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Implied Volatility Changes and Corporate Bond Returns, Management Science, INFORMS (2023) View citations (2) (2023)
13. Option Trading and Stock Price Informativeness
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)

2018

14. p-Hacking: Evidence from Two Million Trading Strategies
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2012

15. Misvaluation and Return Anomalies in Distress Stocks
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2011

16. Buyers Versus Sellers: Who Initiates Trades And When?
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Buyers versus Sellers: Who Initiates Trades, and When?, Journal of Financial and Quantitative Analysis, Cambridge University Press (2016) View citations (7) (2016)

2008

17. How common are common return factors across NYSE and Nasdaq?
    Post-Print, HAL View citations (15)
    See also Journal Article How common are common return factors across the NYSE and Nasdaq?, Journal of Financial Economics, Elsevier (2008) View citations (15) (2008)

2004

18. A Note On 'Predicting Returns With Financial Ratios'
    Yale School of Management Working Papers, Yale School of Management
19. A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    See also Journal Article A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability, The Review of Financial Studies, Society for Financial Studies (2005) View citations (147) (2005)

2002

20. Predicting the Equity Premium With Dividend Ratios
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (64)
    Also in Yale School of Management Working Papers, Yale School of Management (2002) View citations (1)
    See also Journal Article Predicting the Equity Premium with Dividend Ratios, Management Science, INFORMS (2003) View citations (355) (2003)

Journal Articles

2023

1. Forbearance in Institutional Investment Management: Evidence from Survey Data
   Financial Analysts Journal, 2023, 79, (2), 7-20
2. Illiquidity and the cost of equity capital: Evidence from actual estimates of capital cost for U.S. data
   Review of Financial Economics, 2023, 41, (4), 364-391
   See also Working Paper Illiquidity and the Cost of Equity Capital: Evidence from Actual Estimates of Capital Cost for U.S. Data, Swiss Finance Institute Research Paper Series (2021) (2021)
3. Implied Volatility Changes and Corporate Bond Returns
   Management Science, 2023, 69, (3), 1375-1397 View citations (2)
   See also Working Paper Implied Volatility Changes and Corporate Bond Returns, Swiss Finance Institute Research Paper Series (2019) (2019)

2020

4. Anomalies and False Rejections
   The Review of Financial Studies, 2020, 33, (5), 2134-2179 View citations (37)

2019

5. Equity Misvaluation and Default Options
   Journal of Finance, 2019, 74, (2), 845-898 View citations (7)

2018

6. Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?
   The Review of Financial Studies, 2018, 31, (5), 1784-1824 View citations (41)
7. Distress Anomaly and Shareholder Risk: International Evidence
   Financial Management, 2018, 47, (3), 553-581 View citations (7)

2017

8. Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation
   Journal of Financial and Quantitative Analysis, 2017, 52, (4), 1301-1342 View citations (41)

2016

9. Buyers versus Sellers: Who Initiates Trades, and When?
   Journal of Financial and Quantitative Analysis, 2016, 51, (5), 1467-1490 View citations (7)
   See also Working Paper Buyers Versus Sellers: Who Initiates Trades And When?, Swiss Finance Institute Research Paper Series (2011) (2011)

2015

10. Is Momentum an Echo?
    Journal of Financial and Quantitative Analysis, 2015, 50, (6), 1237-1267 View citations (41)

2014

11. Investing in a Global World
    Review of Finance, 2014, 18, (2), 561-590 View citations (25)

2012

12. Assessing Project Risk
    Journal of Applied Corporate Finance, 2012, 24, (3), 94-100 View citations (3)
13. Empirical cross-sectional asset pricing: a survey
    Financial Markets and Portfolio Management, 2012, 26, (1), 3-38 View citations (48)

2010

14. Performance and Persistence in Institutional Investment Management
    Journal of Finance, 2010, 65, (2), 765-790 View citations (88)

2009

15. Cross-section of option returns and volatility
    Journal of Financial Economics, 2009, 94, (2), 310-326 View citations (96)
16. Liquidity and the Post-Earnings-Announcement Drift
    Financial Analysts Journal, 2009, 65, (4), 18-32 View citations (2)

2008

17. A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
    The Review of Financial Studies, 2008, 21, (4), 1455-1508 View citations (1722)
    See also Working Paper A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II, Swiss Finance Institute Research Paper Series (2021) View citations (16) (2021)
18. How common are common return factors across the NYSE and Nasdaq?
    Journal of Financial Economics, 2008, 90, (3), 252-271 View citations (15)
    See also Working Paper How common are common return factors across NYSE and Nasdaq?, Post-Print (2008) View citations (15) (2008)
19. The Selection and Termination of Investment Management Firms by Plan Sponsors
    Journal of Finance, 2008, 63, (4), 1805-1847 View citations (52)

2007

20. Growth Options, Beta, and the Cost of Capital
    Financial Management, 2007, 36, (2), 1-13 View citations (23)

2006

21. Liquidity and Autocorrelations in Individual Stock Returns
    Journal of Finance, 2006, 61, (5), 2365-2394 View citations (170)
22. The Impact of Trades on Daily Volatility
    The Review of Financial Studies, 2006, 19, (4), 1241-1277 View citations (121)

2005

23. A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
    The Review of Financial Studies, 2005, 18, (3), 831-873 View citations (147)
    See also Working Paper A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability, NBER Working Papers (2004) View citations (7) (2004)

2004

24. Demographics, Stock Market Flows, and Stock Returns
    Journal of Financial and Quantitative Analysis, 2004, 39, (1), 115-142 View citations (45)

2003

25. Idiosyncratic Risk Matters!
    Journal of Finance, 2003, 58, (3), 975-1007 View citations (142)
26. Predicting the Equity Premium with Dividend Ratios
    Management Science, 2003, 49, (5), 639-654 View citations (355)
    See also Working Paper Predicting the Equity Premium With Dividend Ratios, NBER Working Papers (2002) View citations (64) (2002)

2000

27. Understanding the financial crisis in Asia
    Pacific-Basin Finance Journal, 2000, 8, (2), 135-152 View citations (28)

Chapters

2021

1. Digital Identity in India
   Springer