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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 2017-02-07. Update your information in the RePEc Author Service.

Short-id: pgo59


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Working Papers

2017

  1. Negative Bubbles: What Happens After a Crash
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2016

  1. Crash Beliefs From Investor Surveys
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

2015

  1. Bubble Investing: Learning from History
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
  2. Momentum in Imperial Russia
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. The Development of Corporate Governance in Toulouse: 1372-1946
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2014

  1. 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, National Bureau of Economic Research, Inc Downloads View citations (1)
  2. The Economics of Aesthetics and Three Centuries of Art Price Records
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in HEC Research Papers Series, HEC Paris (2014) Downloads

2012

  1. Competition Among University Endowments
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Chapter (2013)

2010

  1. Art and Money
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2010) Downloads View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (1)

    See also Journal Article in American Economic Review (2011)
  2. Securitization in the 1920's
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in Yale School of Management Working Papers, Yale School of Management (2010) Downloads

2009

  1. 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 Downloads
  2. Estimating Operational Risk for Hedge Funds: The ?-Score
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (17)
  3. Fees on Fees in Funds of Funds
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (3)
    Also in Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (25)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (2)
  4. Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
  5. Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
    See also Journal Article in Journal of Finance (2008)
  6. New Evidence on the First Financial Bubble
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
    Also in Yale School of Management Working Papers, Yale School of Management (2009) Downloads View citations (1)

    See also Journal Article in Journal of Financial Economics (2013)
  7. Rain or Shine: Where is the Weather Effect?
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
    Also in Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (2)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (9)

    See also Journal Article in European Financial Management (2005)
  8. Risk Aversion and Clientele Effects
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  9. Short-Sales in Global Perspective
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (2)
  10. The Impact of Clientele Changes: Evidence from Stock Splits
    Yale School of Management Working Papers, Yale School of Management Downloads
  11. The Subprime Crisis and House Price Appreciation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    See also Journal Article in The Journal of Real Estate Finance and Economics (2012)
  12. Tiebreaker: Certification and Multiple Credit Ratings
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in Yale School of Management Working Papers, Yale School of Management (2009) Downloads View citations (3)

    See also Journal Article in Journal of Finance (2012)
  13. Trust and Delegation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Yale School of Management Working Papers, Yale School of Management (2009) Downloads

    See also Journal Article in Journal of Financial Economics (2012)

2008

  1. Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (10)
  2. Hedge Funds With Style
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (3)
    Also in Yale School of Management Working Papers, Yale School of Management (2001) Downloads View citations (28)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (18)
  3. Hedge Funds and the Asian Currency Crisis of 1997
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads View citations (9)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations (19)
  4. Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (29)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (19)
    Yale School of Management Working Papers, Yale School of Management (2002) Downloads View citations (10)
  5. Long-Term Global Market Correlations
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (39)
    Also in DNB Staff Reports (discontinued), Netherlands Central Bank (2003) Downloads View citations (36)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (56)

    See also Journal Article in The Journal of Business (2005)
  6. Offshore Hedge Funds: Survival & Performance 1989-1995
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998)
  7. Positive Portfolio Factors
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Yale School of Management Working Papers, Yale School of Management (2004) Downloads
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads View citations (1)
  8. Safety First Portfolio Insurance
    Yale School of Management Working Papers, Yale School of Management Downloads
  9. The Dow Theory: William Peter Hamilton's Track Record Re-Considered
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (4)
    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 (23)
    Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (4)
  10. The Open-End Japanese Mutual Fund Puzzle
    Yale School of Management Working Papers, Yale School of Management Downloads

2006

  1. Bubble Investors: What Were They Thinking?
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (3)
  2. Home Equity Insurance: A Pilot Project
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (8)
  3. Portfolio Performance Manipulation and Manipulation-Proof Performance Measures
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (6)
  4. Simulating Real Estate in the Investment Portfolio: Model Uncertainty and Inflation Hedging
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (4)

2005

  1. British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (1)

    See also Journal Article in Review of Finance (2006)
  2. Dispersion of Opinion and Stock Returns
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (22)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads

    See also Journal Article in Journal of Financial Markets (2005)
  3. Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
    Also in Yale School of Management Working Papers, Yale School of Management (2003) Downloads View citations (5)
    Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (1)
    Yale School of Management Working Papers, Yale School of Management (2005) Downloads View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (9)
  4. Efficiency and the Bear: Short Sales and Markets around the World
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (3)
    Also in Yale School of Management Working Papers, Yale School of Management (2003) Downloads View citations (17)
    Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (10)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (25)

    See also Journal Article in Journal of Finance (2007)
  5. History and the Equity Risk Premium
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (6)
  6. Institutional Perspectives on Real Estate Investing: The Role of Risk and Uncertainty
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (5)
  7. More Social Security, Not Less
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (2)
  8. Performance Persistence
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (13)
    See also Journal Article in Journal of Finance (1995)
  9. Portfolio Diversification, Proximity Investment and City Agglomeration
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (7)
  10. The Performance of Real Estate Portfolios: A Simulation Approach
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (4)
  11. Why Do Individual Investors Hold Under-Diversified Portfolios?
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (17)

2004

  1. A Century of Global Stock Markets
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) Downloads View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2000)
    Yale School of Management Working Papers, Yale School of Management (2000) Downloads View citations (5)
  2. A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Yale School of Management Working Papers, Yale School of Management (2000) Downloads View citations (8)

    See also Journal Article in Journal of Financial Markets (2001)
  3. An Analysis of the Relative Performance of Japanese and Foreign Money Management
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Yale School of Management Working Papers, Yale School of Management (2002) Downloads

    See also Journal Article in Pacific-Basin Finance Journal (2003)
  4. An Emerging Market: The NYSE From 1815 to 1871
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Yale School of Management Working Papers, Yale School of Management (1998) Downloads View citations (1)
  5. Beauty is in the Bid of the Beholder: An Empirical Basis for Style
    Yale School of Management Working Papers, Yale School of Management Downloads
  6. China and the World Financial Markets 1870-1930
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (2)
  7. 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 Downloads
    Also in Yale School of Management Working Papers, Yale School of Management (2001) Downloads View citations (1)
  8. Equity Portfolio Diversification
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (6)
    Also in Yale School of Management Working Papers, Yale School of Management (2001) Downloads View citations (15)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (15)

    See also Journal Article in Review of Finance (2008)
  9. Fibonacci and the Financial Revolution
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (5)
    Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (6)
  10. High Water Marks
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (18)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads View citations (5)
  11. 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 Downloads
    Also in Yale School of Management Working Papers, Yale School of Management (2002) Downloads View citations (5)
  12. Portfolio Diversification and City Agglomeration
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
  13. Soft Information, Hard Sell: The Role of Soft Information in the Pricing of Intellectual Property
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  14. Soft Information, Hard Sell: The Role of Soft Information in the Pricing of Intellectual Property - Evidence from Screenplays Sales
    Yale School of Management Working Papers, Yale School of Management Downloads
  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 Downloads View citations (3)
    See also Chapter (2005)
  16. Will History Rhyme? The Past as Financial Future
    Yale School of Management Working Papers, Yale School of Management Downloads

2003

  1. Dispersion of Opinion and Stock Returns: Evidence from Index Fund Investors
    Yale School of Management Working Papers, Yale School of Management Downloads
  2. Diversification Decisions of Individual Investors and Asset Prices
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (5)
  3. Estimating Indices in the Presence of Seller Reservation Prices
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
  4. Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
  5. 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 Downloads View citations (3)

2002

  1. Sharpening Sharpe Ratios
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (20)
    Also in Yale School of Management Working Papers, Yale School of Management (2002) Downloads View citations (20)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (29)

2001

  1. Behavioral Factors in Mutual Fund Flows
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (9)
    Also in Yale School of Management Working Papers, Yale School of Management (2000) Downloads View citations (19)
  2. 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 Downloads View citations (2)
  3. Daily Momentum And Contrarian Behavior Of Index Fund Investors
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (5)
    Also in Yale School of Management Working Papers, Yale School of Management (1999) Downloads View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (12)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2002)
  4. Day Trading International Mutual Funds: Evidence And Policy Solutions
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (22)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2001)
  5. Global Real Estate Markets: Cycles And Fundamentals
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (29)
    Yale School of Management Working Papers, Yale School of Management (1999) Downloads View citations (10)
  6. Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
  7. High-Water Marks and Hedge Fund Management Contracts
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (2)
    Also in Yale School of Management Working Papers, Yale School of Management (2001) Downloads View citations (2)
  8. The Bias of the RSR Estimator and the Accuracy of Some Alternatives
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (4)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (4)

    See also Journal Article in Real Estate Economics (2002)
  9. The Development Of Corporate Performance Measures: Benchmarks Before EVA
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (2)
  10. The Policy Implications of Portfolio Choice in Underserved Mortgage Markets
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (10)
  11. Two Decades Of Commercial Property Returns: A NCREIF Index Using Independent Appraisals
    Yale School of Management Working Papers, Yale School of Management Downloads

2000

  1. Monthly Measurement of Daily Timers
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (59)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2000)
  2. Re-emerging Markets
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (14)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) Downloads View citations (1)
    Yale School of Management Working Papers, Yale School of Management (1998) Downloads View citations (12)

    See also Journal Article in Journal of Financial and Quantitative Analysis (1999)
  3. The Effect of Seller Reserves on Market Index Estimation
    Yale School of Management Working Papers, Yale School of Management Downloads

1999

  1. Do Cities and Suburbs Cluster?
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
  2. Index Funds and Stock Market Growth
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    Also in Yale School of Management Working Papers, Yale School of Management (1998) Downloads View citations (3)
    Yale School of Management Working Papers, Yale School of Management (1999) Downloads View citations (12)

    See also Journal Article in The Journal of Business (2003)
  3. Pairs Trading: Performance of a Relative Value Arbitrage Rule
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    Also in Yale School of Management Working Papers, Yale School of Management (1998) Downloads View citations (1)
    Yale School of Management Working Papers, Yale School of Management (1998) Downloads
    Yale School of Management Working Papers, Yale School of Management (1998) Downloads

    See also Journal Article in Review of Financial Studies (2006)

1998

  1. A Longer Look at Dividend Yields
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (3)
    See also Journal Article in The Journal of Business (1995)
  2. Clustering Methods for Real Estate Portfolios
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (6)
    See also Journal Article in Real Estate Economics (1995)
  3. Mutual Fund Styles
    Yale School of Management Working Papers, Yale School of Management Downloads
    See also Journal Article in Journal of Financial Economics (1997)
  4. Offshore Hedge Funds: Survival and Performance, 1989-1995
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) Downloads View citations (10)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1997) View citations (3)
  5. The Japanese Open-End Fund Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    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 (2)

1997

  1. A Spatial Model of Housing Returns and Neighborhood Substitutability
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (20)
    Also in Research Program in Finance Working Papers, University of California at Berkeley (1995) Downloads View citations (2)

    See also Journal Article in The Journal of Real Estate Finance and Economics (1997)

1996

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

1993

  1. Attrition and Mutual Fund Performance
    Working Papers, Columbia - Graduate School of Business View citations (4)
  2. Commodity Funds as an Investment Asset
    Working Papers, Columbia - Graduate School of Business

1992

  1. Market Response to Mutual Fund Performance
    Working Papers, Columbia - Graduate School of Business View citations (2)
  2. 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)
  3. Safety First Portfolio Choice
    Working Papers, Columbia - Graduate School of Business View citations (1)
  4. Testing the Predictive Power of Dividend Yields
    Working Papers, Columbia - Graduate School of Business View citations (3)
    Also in Working Papers, Columbia - Graduate School of Business (1990) View citations (4)

    See also Journal Article in Journal of Finance (1993)

1991

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

1990

  1. ACCOUNTING FOR TASTE: AN ANALYSIS OF ART RETURNS OVER THREE CENTURIES
    Working Papers, Columbia - Graduate School of Business View citations (4)
  2. BOOTSTRAPPING TESTS OF LONG-TERM STOCK MARKET EFFICIENCY
    Working Papers, Columbia - Graduate School of Business
  3. Do Winners Repeat? Patterns in Mutual Fund Behavior
    Working Papers, Columbia - Graduate School of Business View citations (25)
  4. 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)
  5. THE SINGLE FAMILY HOME IN THE INVESTMENT PORTFOLIO
    Working Papers, Columbia - Graduate School of Business View citations (2)
    See also Journal Article in The Journal of Real Estate Finance and Economics (1993)

Journal Articles

2015

  1. The economics of aesthetics and record prices for art since 1701
    Explorations in Economic History, 2015, 57, (C), 79-94 Downloads View citations (3)
  2. Weather-Induced Mood, Institutional Investors, and Stock Returns
    Review of Financial Studies, 2015, 28, (1), 73-111 Downloads View citations (9)

2014

  1. Is trading behavior stable across contexts? Evidence from style and multi-style investors
    Quantitative Finance, 2014, 14, (4), 605-627 Downloads

2013

  1. New evidence on the first financial bubble
    Journal of Financial Economics, 2013, 108, (3), 585-607 Downloads View citations (16)
    See also Working Paper (2009)
  2. The pricing of soft and hard information: economic lessons from screenplay sales
    Journal of Cultural Economics, 2013, 37, (2), 271-307 Downloads View citations (2)

2012

  1. The Subprime Crisis and House Price Appreciation
    The Journal of Real Estate Finance and Economics, 2012, 44, (1), 36-66 Downloads View citations (27)
    See also Working Paper (2009)
  2. Tiebreaker: Certification and Multiple Credit Ratings
    Journal of Finance, 2012, 67, (1), 113-152 Downloads View citations (54)
    See also Working Paper (2009)
  3. Trust and delegation
    Journal of Financial Economics, 2012, 103, (2), 221-234 Downloads View citations (17)
    See also Working Paper (2009)

2011

  1. Art and Money
    American Economic Review, 2011, 101, (3), 222-26 Downloads View citations (18)
    See also Working Paper (2010)
  2. The Efficient Market Theory and Evidence: Implications for Active Investment Management
    Foundations and Trends(R) in Finance, 2011, 5, (3), 157-242 Downloads View citations (1)

2008

  1. Equity Portfolio Diversification
    Review of Finance, 2008, 12, (3), 433-463 Downloads View citations (160)
    See also Working Paper (2004)
  2. Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
    Journal of Finance, 2008, 63, (6), 2785-2815 Downloads View citations (47)
    See also Working Paper (2009)

2007

  1. China and the world financial markets 1870–1939: Modern lessons from historical globalization1
    Economic History Review, 2007, 60, (2), 267-312 Downloads View citations (2)
  2. Efficiency and the Bear: Short Sales and Markets Around the World
    Journal of Finance, 2007, 62, (3), 1029-1079 Downloads View citations (187)
    See also Working Paper (2005)

2006

  1. British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach
    Review of Finance, 2006, 10, (2), 261-300 Downloads View citations (40)
    See also Working Paper (2005)
  2. Estimating House Price Indexes in the Presence of Seller Reservation Prices
    The Review of Economics and Statistics, 2006, 88, (1), 100-112 Downloads View citations (29)
  3. Pairs Trading: Performance of a Relative-Value Arbitrage Rule
    Review of Financial Studies, 2006, 19, (3), 797-827 Downloads View citations (131)
    See also Working Paper (1999)

2005

  1. Dispersion of opinion and stock returns
    Journal of Financial Markets, 2005, 8, (3), 324-349 Downloads View citations (21)
    See also Working Paper (2005)
  2. Long-Term Global Market Correlations
    The Journal of Business, 2005, 78, (1), 1-38 Downloads View citations (183)
    See also Working Paper (2008)
  3. Rain or Shine: Where is the Weather Effect?
    European Financial Management, 2005, 11, (5), 559-578 Downloads View citations (50)
    See also Working Paper (2009)

2003

  1. An analysis of the relative performance of Japanese and foreign money management
    Pacific-Basin Finance Journal, 2003, 11, (4), 393-412 Downloads
    See also Working Paper (2004)
  2. Index Funds and Stock Market Growth
    The Journal of Business, 2003, 76, (1), 1-28 Downloads View citations (54)
    See also Working Paper (1999)

2002

  1. Daily Momentum and Contrarian Behavior of Index Fund Investors
    Journal of Financial and Quantitative Analysis, 2002, 37, (03), 375-389 Downloads View citations (50)
    See also Working Paper (2001)
  2. The Bias of the RSR Estimator and the Accuracy of Some Alternatives
    Real Estate Economics, 2002, 30, (1), 13-39 Downloads View citations (12)
    See also Working Paper (2001)

2001

  1. A new historical database for the NYSE 1815 to 1925: Performance and predictability
    Journal of Financial Markets, 2001, 4, (1), 1-32 Downloads View citations (36)
    See also Working Paper (2004)
  2. Day Trading International Mutual Funds: Evidence and Policy Solutions
    Journal of Financial and Quantitative Analysis, 2001, 36, (03), 287-309 Downloads View citations (24)
    See also Working Paper (2001)

2000

  1. Monthly Measurement of Daily Timers
    Journal of Financial and Quantitative Analysis, 2000, 35, (03), 257-290 Downloads View citations (58)
    See also Working Paper (2000)
  2. 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 Downloads View citations (22)

1999

  1. Offshore Hedge Funds: Survival and Performance, 1989-95
    The Journal of Business, 1999, 72, (1), 91-117 Downloads View citations (113)
  2. Re-Emerging Markets
    Journal of Financial and Quantitative Analysis, 1999, 34, (01), 1-32 Downloads View citations (45)
    See also Working Paper (2000)

1998

  1. Risks and Incentives in Underserved Mortgage Markets
    Journal of Housing Economics, 1998, 7, (3), 274-285 Downloads View citations (3)
    See also Working Paper (1996)

1997

  1. A Spatial Model of Housing Returns and Neighborhood Substitutability
    The Journal of Real Estate Finance and Economics, 1997, 14, (1-2), 11-31 Downloads View citations (20)
    See also Working Paper (1997)
  2. COGNITIVE DISSONANCE AND MUTUAL FUND INVESTORS
    Journal of Financial Research, 1997, 20, (2), 145-158 Downloads View citations (60)
  3. Mutual fund styles
    Journal of Financial Economics, 1997, 43, (3), 373-399 Downloads View citations (84)
    See also Working Paper (1998)
  4. Rejoinder: The J-Shape Of Performance Persistence Given Survivorship Bias
    The Review of Economics and Statistics, 1997, 79, (2), 167-170 Downloads View citations (4)

1995

  1. A Longer Look at Dividend Yields
    The Journal of Business, 1995, 68, (4), 483-508 Downloads View citations (28)
    See also Working Paper (1998)
  2. Clustering Methods for Real Estate Portfolios
    Real Estate Economics, 1995, 23, (3), 271-310 Downloads View citations (16)
    See also Working Paper (1998)
  3. Non-temporal Components of Residential Real Estate Appreciation
    The Review of Economics and Statistics, 1995, 77, (1), 199-206 Downloads View citations (26)
    See also Working Paper (1992)
  4. Performance Persistence
    Journal of Finance, 1995, 50, (2), 679-98 Downloads View citations (266)
    See also Working Paper (2005)
  5. Survival
    Journal of Finance, 1995, 50, (3), 853-73 Downloads View citations (50)

1994

  1. Homogeneous Groupings of Metropolitan Housing Markets
    Journal of Housing Economics, 1994, 3, (3), 186-206 Downloads View citations (5)

1993

  1. Accounting for Taste: Art and the Financial Markets over Three Centuries
    American Economic Review, 1993, 83, (5), 1370-76 Downloads View citations (115)
  2. Patterns in Three Centuries of Stock Market Prices
    The Journal of Business, 1993, 66, (2), 249-70 Downloads View citations (29)
  3. Testing the Predictive Power of Dividend Yields
    Journal of Finance, 1993, 48, (2), 663-79 Downloads View citations (139)
    See also Working Paper (1992)
  4. The Single Family Home in the Investment Portfolio
    The Journal of Real Estate Finance and Economics, 1993, 6, (3), 201-22 View citations (62)
    See also Working Paper (1990)

1992

  1. The Accuracy of Real Estate Indices: Repeat Sale Estimators
    The Journal of Real Estate Finance and Economics, 1992, 5, (1), 5-53 View citations (49)
    See also Working Paper (1990)

1990

  1. THE PERFORMANCE OF REAL ESTATE AS AN ASSET CLASS
    Journal of Applied Corporate Finance, 1990, 3, (1), 65-76 Downloads View citations (34)

1988

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

Books

2006

  1. The Equity Risk Premium: Essays and Explorations
    OUP Catalogue, Oxford University Press View citations (14)

Edited books

2005

  1. The Origins of Value: The Financial Innovations that Created Modern Capital Markets
    OUP Catalogue, Oxford University Press View citations (14)

Chapters

2014

  1. Dutch Securities for American Land Speculation in the Late Eighteenth Century
    A chapter in Housing and Mortgage Markets in Historical Perspective, 2014, pp 287-304 Downloads

2013

  1. Competition among University Endowments
    A chapter in How the Financial Crisis and Great Recession Affected Higher Education, 2013, pp 99-126 Downloads
    See also Working Paper (2012)

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 Downloads View citations (2)
    See also Working Paper (2004)

2003

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