EconPapers    
Economics at your fingertips  
 

Details about Philippe Jorion

Homepage:http://www.merage.uci.edu/~jorion/
Workplace:Paul Merage School of Business, University of California-Irvine, (more information at EDIRC)

Access statistics for papers by Philippe Jorion.

Last updated 2016-08-05. Update your information in the RePEc Author Service.

Short-id: pjo72


Jump to Journal Articles Chapters

Working Papers

2005

  1. Bank Trading Risk and Systemic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Chapter (2007)

2004

  1. A Century of Global Stock Markets
    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 (2000) Downloads View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2000)
    NBER Working Papers, National Bureau of Economic Research, Inc (1997) Downloads View citations (5)

2000

  1. Re-emerging Markets
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (14)
    Also in Yale School of Management Working Papers, Yale School of Management (1998) Downloads View citations (12)
    NBER Working Papers, National Bureau of Economic Research, Inc (1997) Downloads View citations (1)

    See also Journal Article in Journal of Financial and Quantitative Analysis (1999)

1999

  1. Multivariate Unit root Tests of the PPP Hypothesis
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (15)
    See also Journal Article in Journal of Empirical Finance (1999)

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)

1992

  1. Testing the Predictive Power of Dividend Yields
    Working Papers, Columbia - Graduate School of Business View citations (3)
    See also Journal Article in Journal of Finance (1993)

1991

  1. A Multi-Country Comparison of Term Structure Forecasts at Long Horizons
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (32)
    See also Journal Article in Journal of Financial Economics (1991)

1989

  1. OPTION LISTING AND STOCK RETURNS
    Working Papers, Columbia - Graduate School of Business View citations (8)
  2. Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article in European Economic Review (1993)

1988

  1. The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (45)

Journal Articles

2014

  1. Are hedge fund managers systematically misreporting? Or not?
    Journal of Financial Economics, 2014, 111, (2), 311-327 Downloads View citations (2)
  2. The Strategic Listing Decisions of Hedge Funds
    Journal of Financial and Quantitative Analysis, 2014, 49, (3), 773-796 Downloads

2011

  1. The Determinants of Operational Risk in U.S. Financial Institutions
    Journal of Financial and Quantitative Analysis, 2011, 46, (6), 1683-1725 Downloads View citations (4)

2010

  1. Information Transfer Effects of Bond Rating Downgrades
    The Financial Review, 2010, 45, (3), 683-706 Downloads View citations (16)
  2. Risk Management
    Annual Review of Financial Economics, 2010, 2, (1), 347-365 Downloads View citations (2)
  3. The performance of emerging hedge funds and managers
    Journal of Financial Economics, 2010, 96, (2), 238-256 Downloads View citations (54)

2009

  1. Credit Contagion from Counterparty Risk
    Journal of Finance, 2009, 64, (5), 2053-2087 Downloads View citations (89)

2007

  1. Good and bad credit contagion: Evidence from credit default swaps
    Journal of Financial Economics, 2007, 84, (3), 860-883 Downloads View citations (180)

2006

  1. Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers
    Journal of Finance, 2006, 61, (2), 893-919 Downloads View citations (110)

2005

  1. Informational effects of regulation FD: evidence from rating agencies
    Journal of Financial Economics, 2005, 76, (2), 309-330 Downloads View citations (105)

2003

  1. The Long-Term Risks of Global Stock Markets
    Financial Management, 2003, 32, (4) View citations (7)

2000

  1. Risk management lessons from Long‐Term Capital Management
    European Financial Management, 2000, 6, (3), 277-300 Downloads View citations (36)

1999

  1. Global Stock Markets in the Twentieth Century
    Journal of Finance, 1999, 54, (3), 953-980 Downloads View citations (156)
  2. Multivariate unit root tests of the PPP hypothesis
    Journal of Empirical Finance, 1999, 6, (4), 335-353 Downloads View citations (31)
    See also Working Paper (1999)
  3. Re-Emerging Markets
    Journal of Financial and Quantitative Analysis, 1999, 34, (1), 1-32 Downloads View citations (45)
    See also Working Paper (2000)

1996

  1. Does real interest parity hold at longer maturities?
    Journal of International Economics, 1996, 40, (1-2), 105-126 Downloads View citations (14)
  2. Mean reversion in real exchange rates: evidence and implications for forecasting
    Journal of International Money and Finance, 1996, 15, (4), 535-550 Downloads View citations (111)
  3. Returns to Japanese investors from US investments
    Japan and the World Economy, 1996, 8, (3), 229-241 Downloads View citations (3)

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. Predicting Volatility in the Foreign Exchange Market
    Journal of Finance, 1995, 50, (2), 507-28 Downloads View citations (215)
  3. Valuing executive stock options with endogenous departure
    Journal of Accounting and Economics, 1995, 20, (2), 193-205 Downloads View citations (23)

1993

  1. Currency Hedging for International Portfolios
    Journal of Finance, 1993, 48, (5), 1865-86 Downloads View citations (86)
  2. Testing the Predictive Power of Dividend Yields
    Journal of Finance, 1993, 48, (2), 663-79 Downloads View citations (141)
    See also Working Paper (1992)
  3. Time-series tests of a non-expected-utility model of asset pricing
    European Economic Review, 1993, 37, (5), 1083-1100 Downloads View citations (15)
    See also Working Paper (1989)

1992

  1. Term premiums and the integration of the eurocurrency markets
    Journal of International Money and Finance, 1992, 11, (1), 17-39 Downloads View citations (8)
  2. The choice of a multicurrency portfolio for a central bank: Bonds, eurodeposits, and forward contracts
    Global Finance Journal, 1992, 3, (1), 1-22 Downloads

1991

  1. A multicountry comparison of term-structure forecasts at long horizons
    Journal of Financial Economics, 1991, 29, (1), 59-80 Downloads View citations (124)
    See also Working Paper (1991)
  2. Bayesian and CAPM estimators of the means: Implications for portfolio selection
    Journal of Banking & Finance, 1991, 15, (3), 717-727 Downloads View citations (61)
  3. The Pricing of Exchange Rate Risk in the Stock Market
    Journal of Financial and Quantitative Analysis, 1991, 26, (3), 363-376 Downloads View citations (211)

1990

  1. Option listing and stock returns: An empirical analysis
    Journal of Banking & Finance, 1990, 14, (4), 781-801 Downloads View citations (50)
  2. Purchasing Power Parity in the Long Run
    Journal of Finance, 1990, 45, (1), 157-74 Downloads View citations (376)
  3. The Exchange-Rate Exposure of U.S. Multinationals
    The Journal of Business, 1990, 63, (3), 331-45 Downloads View citations (352)

1989

  1. An empirical investigation of the early exercise premium of foreign currency options
    Journal of Futures Markets, 1989, 9, (5), 365-375 Downloads View citations (3)

1988

  1. Foreign exchange risk premia volatility once again
    Journal of International Money and Finance, 1988, 7, (1), 111-113 Downloads View citations (4)
  2. On Jump Processes in the Foreign Exchange and Stock Markets
    Review of Financial Studies, 1988, 1, (4), 427-445 Downloads View citations (222)

1987

  1. Interest rates and risk premia in the stock market and in the foreign exchange market
    Journal of International Money and Finance, 1987, 6, (1), 107-123 Downloads View citations (52)

1986

  1. Bayes-Stein Estimation for Portfolio Analysis
    Journal of Financial and Quantitative Analysis, 1986, 21, (3), 279-292 Downloads View citations (211)
  2. Integration vs. Segmentation in the Canadian Stock Market
    Journal of Finance, 1986, 41, (3), 603-14 Downloads View citations (105)

1985

  1. International Portfolio Diversification with Estimation Risk
    The Journal of Business, 1985, 58, (3), 259-78 Downloads View citations (191)

Chapters

2007

  1. Bank Trading Risk and Systemic Risk
    A chapter in The Risks of Financial Institutions, 2007, pp 29-58 Downloads View citations (4)
    See also Working Paper (2005)

1996

  1. Risk and Turnover in the Foreign Exchange Market
    A chapter in The Microstructure of Foreign Exchange Markets, 1996, pp 19-40 Downloads View citations (34)
 
Page updated 2020-01-23