Details about Mark Grinblatt

Access statistics for papers by Mark Grinblatt.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pgr231

Working Papers

2023

1. Analyst Bias and Mispricing
   NBER Working Papers, National Bureau of Economic Research, Inc

2020

2. Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2008

3. 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 (2004)
   NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (1)

2006

4. Sensation Seeking, Overconfidence, and Trading Activity
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   See also Journal Article Sensation Seeking, Overconfidence, and Trading Activity, Journal of Finance, American Finance Association (2009) View citations (237) (2009)

2004

5. Interpersonal Effects in Consumption: Evidence from the Automobile Purchases of Neighbors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
   Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2003) View citations (1)

2003

6. The Disposition Effect and Momentum
   Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics View citations (1)
   Also in Yale School of Management Working Papers, Yale School of Management (2001) View citations (12)
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2001) View citations (11)
   NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (26)

2002

7. An Analytic Solution for Interest Rate Swap Spreads
   Yale School of Management Working Papers, Yale School of Management View citations (9)
   Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1995) View citations (25)
   See also Journal Article An Analytic Solution for Interest Rate Swap Spreads, International Review of Finance, International Review of Finance Ltd. (2001) View citations (51) (2001)
8. Debt Policy, Corporate Taxes, and Discount Rates
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (1)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (1)
   See also Journal Article Debt policy, corporate taxes, and discount rates, Journal of Economic Theory, Elsevier (2008) View citations (11) (2008)
9. Information Aggregation, Security Design and Currency Swaps
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   Also in Yale School of Management Working Papers, Yale School of Management (2002) View citations (3)
   See also Journal Article Information Aggregation, Security Design, and Currency Swaps, Journal of Political Economy, University of Chicago Press (2002) View citations (3) (2002)
10. Tax-Loss Trading and Wash Sales
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    Also in Yale School of Management Working Papers, Yale School of Management (2002)
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2000) View citations (1)
    See also Journal Article Tax-loss trading and wash sales, Journal of Financial Economics, Elsevier (2004) View citations (31) (2004)
11. What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    Also in Yale School of Management Working Papers, Yale School of Management (2002) View citations (3)

2001

12. Distance, Language, and Culture Bias: The Role of Investor Sophistication
    Yale School of Management Working Papers, Yale School of Management View citations (29)
13. Information Aggregation, Currency Swaps, and the Design of Derivative Securities
    Levine's Working Paper Archive, David K. Levine
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1997)
14. The Cross Section Of Expected Returns And Its Relation To Past Returns: New Evidence
    Yale School of Management Working Papers, Yale School of Management
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1999) View citations (10)
15. What Makes Investors Trade?
    Yale School of Management Working Papers, Yale School of Management View citations (429)
    See also Journal Article What Makes Investors Trade?, Journal of Finance, American Finance Association (2001) View citations (422) (2001)

1996

16. The Impact of Performance-Based Fees on Pension Fund Management
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (1)

1991

17. Do Benchmarks Matter? Do Measures Matter? A Study of Monthly Mutual Fund Returns
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (1)

1989

18. A Comparison of Measures of Abnormal Performance on a Sample of Monthly Mutual Fund Returns, formerly titled; The Evaluation of Mutual Fund Performance: An Analysis of Monthly Returns
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (1)

1984

19. The Jensen Measure and Errors in Variables: A Note
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA

Undated

20. Adverse Risk Incentives and the Design of Performance-Based Contracts
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (17)
    See also Journal Article Adverse Risk Incentives and the Design of Performance-Based Contracts, Management Science, INFORMS (1989) View citations (60) (1989)
21. Do Industries Explain Momentum?
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (4)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (4)
    See also Journal Article Do Industries Explain Momentum?, Journal of Finance, American Finance Association (1999) View citations (595) (1999)
22. Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (4)
    See also Journal Article Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings, The Journal of Business, University of Chicago Press (1989) View citations (377) (1989)
23. Portfolio Performance Evaluation: Old Issues and New Insights
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (36)
24. Signalling and the Pricing of Unseasoned New Issues
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (258)

Journal Articles

2012

1. IQ, trading behavior, and performance
   Journal of Financial Economics, 2012, 104, (2), 339-362 View citations (133)

2011

2. IQ and Stock Market Participation
   Journal of Finance, 2011, 66, (6), 2121-2164 View citations (275)

2009

3. Sensation Seeking, Overconfidence, and Trading Activity
   Journal of Finance, 2009, 64, (2), 549-578 View citations (237)
   See also Working Paper Sensation Seeking, Overconfidence, and Trading Activity, NBER Working Papers (2006) View citations (7) (2006)

2008

4. Debt policy, corporate taxes, and discount rates
   Journal of Economic Theory, 2008, 141, (1), 225-254 View citations (11)
   See also Working Paper Debt Policy, Corporate Taxes, and Discount Rates, University of California at Los Angeles, Anderson Graduate School of Management (2002) View citations (1) (2002)
5. Social Influence and Consumption: Evidence from the Automobile Purchases of Neighbors
   The Review of Economics and Statistics, 2008, 90, (4), 735-753 View citations (84)

2005

6. Prospect theory, mental accounting, and momentum
   Journal of Financial Economics, 2005, 78, (2), 311-339 View citations (295)

2004

7. Predicting stock price movements from past returns: the role of consistency and tax-loss selling
   Journal of Financial Economics, 2004, 71, (3), 541-579 View citations (154)
8. Tax-loss trading and wash sales
   Journal of Financial Economics, 2004, 71, (1), 51-76 View citations (31)
   See also Working Paper Tax-Loss Trading and Wash Sales, NBER Working Papers (2002) View citations (1) (2002)

2002

9. Information Aggregation, Security Design, and Currency Swaps
   Journal of Political Economy, 2002, 110, (3), 609-633 View citations (3)
   See also Working Paper Information Aggregation, Security Design and Currency Swaps, NBER Working Papers (2002) View citations (3) (2002)

2001

10. An Analytic Solution for Interest Rate Swap Spreads
    International Review of Finance, 2001, 2, (3), 113-149 View citations (51)
    See also Working Paper An Analytic Solution for Interest Rate Swap Spreads, Yale School of Management Working Papers (2002) View citations (9) (2002)
11. How Distance, Language, and Culture Influence Stockholdings and Trades
    Journal of Finance, 2001, 56, (3), 1053-1073 View citations (617)
12. What Makes Investors Trade?
    Journal of Finance, 2001, 56, (2), 589-616 View citations (422)
    See also Working Paper What Makes Investors Trade?, Yale School of Management Working Papers (2001) View citations (429) (2001)

2000

13. Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program
    Journal of Finance, 2000, 55, (3), 1415-1436 View citations (36)
14. The investment behavior and performance of various investor types: a study of Finland's unique data set
    Journal of Financial Economics, 2000, 55, (1), 43-67 View citations (645)

1999

15. Do Industries Explain Momentum?
    Journal of Finance, 1999, 54, (4), 1249-1290 View citations (595)
    See also Working Paper Do Industries Explain Momentum?, CRSP working papers View citations (4)

1996

16. Relative Pricing of Eurodollar Features and Forward Contracts
    Journal of Finance, 1996, 51, (4), 1499-1522 View citations (6)

1995

17. Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior
    American Economic Review, 1995, 85, (5), 1088-1105 View citations (708)

1994

18. A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques
    Journal of Financial and Quantitative Analysis, 1994, 29, (3), 419-444 View citations (139)

1993

19. Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns
    The Journal of Business, 1993, 66, (1), 47-68 View citations (233)

1992

20. The Persistence of Mutual Fund Performance
    Journal of Finance, 1992, 47, (5), 1977-84 View citations (207)

1989

21. Adverse Risk Incentives and the Design of Performance-Based Contracts
    Management Science, 1989, 35, (7), 807-822 View citations (60)
    See also Working Paper Adverse Risk Incentives and the Design of Performance-Based Contracts, Rodney L. White Center for Financial Research Working Papers View citations (17)
22. Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings
    The Journal of Business, 1989, 62, (3), 393-416 View citations (377)
    See also Working Paper Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings, Rodney L. White Center for Financial Research Working Papers View citations (4)

1988

23. A Put Option Paradox
    Journal of Financial and Quantitative Analysis, 1988, 23, (1), 23-26 View citations (4)

1987

24. The Relation between Mean-Variance Efficiency and Arbitrage Pricing
    The Journal of Business, 1987, 60, (1), 97-112 View citations (34)

1985

25. Approximate Factor Structures: Interpretations and Implications for Empirical Tests
    Journal of Finance, 1985, 40, (5), 1367-73 View citations (5)
26. Market Power in a Securities Market with Endogenous Information
    The Quarterly Journal of Economics, 1985, 100, (4), 1143-1167 View citations (15)

1984

27. The valuation effects of stock splits and stock dividends
    Journal of Financial Economics, 1984, 13, (4), 461-490 View citations (174)

1983

28. Factor pricing in a finite economy
    Journal of Financial Economics, 1983, 12, (4), 497-507 View citations (32)