Details about Philippe Jorion

Access statistics for papers by Philippe Jorion.

Last updated 2024-09-05. Update your information in the RePEc Author Service.

Short-id: pjo72

Working Papers

2024

1. Who is Minding the Store? Order Routing and Competition in Retail Trade Execution
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2005

2. Bank Trading Risk and Systemic Risk
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   See also Chapter Bank Trading Risk and Systemic Risk, NBER Chapters, National Bureau of Economic Research, Inc (2007) View citations (6) (2007)

2004

3. A Century of Global Stock Markets
   Yale School of Management Working Papers, Yale School of Management View citations (3)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (1)
   NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations (7)
   Yale School of Management Working Papers, Yale School of Management (2000) View citations (1)
   Yale School of Management Working Papers, Yale School of Management (2000) View citations (6)

2000

4. Re-emerging Markets
   Yale School of Management Working Papers, Yale School of Management View citations (14)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations (1)
   Yale School of Management Working Papers, Yale School of Management (2000)
   Yale School of Management Working Papers, Yale School of Management (1998) View citations (12)
   See also Journal Article Re-Emerging Markets, Journal of Financial and Quantitative Analysis, Cambridge University Press (1999) View citations (47) (1999)

1999

5. Multivariate Unit root Tests of the PPP Hypothesis
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (31)
   See also Journal Article Multivariate unit root tests of the PPP hypothesis, Journal of Empirical Finance, Elsevier (1999) View citations (34) (1999)

1998

6. A Longer Look at Dividend Yields
   Yale School of Management Working Papers, Yale School of Management View citations (3)
   See also Journal Article A Longer Look at Dividend Yields, The Journal of Business, University of Chicago Press (1995) View citations (32) (1995)

1992

7. Testing the Predictive Power of Dividend Yields
   Working Papers, Columbia - Graduate School of Business View citations (3)
   See also Journal Article Testing the Predictive Power of Dividend Yields, Journal of Finance, American Finance Association (1993) View citations (161) (1993)

1991

8. A Multi-Country Comparison of Term Structure Forecasts at Long Horizons
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (128)
   See also Journal Article A multicountry comparison of term-structure forecasts at long horizons, Journal of Financial Economics, Elsevier (1991) View citations (140) (1991)

1989

9. OPTION LISTING AND STOCK RETURNS
   Working Papers, Columbia - Graduate School of Business View citations (8)
10. Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    See also Journal Article Time-series tests of a non-expected-utility model of asset pricing, European Economic Review, Elsevier (1993) View citations (21) (1993)

1988

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

Journal Articles

2024

1. A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ
   Journal of Finance, 2024, 79, (4), 2403-2427 View citations (1)

2021

2. Hedge Funds vs. Alternative Risk Premia
   Financial Analysts Journal, 2021, 77, (4), 65-81 View citations (1)

2019

3. The Fix Is In: Properly Backing out Backfill Bias
   The Review of Financial Studies, 2019, 32, (12), 5048-5099 View citations (10)

2014

4. Are hedge fund managers systematically misreporting? Or not?
   Journal of Financial Economics, 2014, 111, (2), 311-327 View citations (7)
5. The Strategic Listing Decisions of Hedge Funds
   Journal of Financial and Quantitative Analysis, 2014, 49, (3), 773-796 View citations (10)

2012

6. Is There a Cost to Transparency?
   Financial Analysts Journal, 2012, 68, (2), 108-123 View citations (1)

2011

7. The Determinants of Operational Risk in U.S. Financial Institutions
   Journal of Financial and Quantitative Analysis, 2011, 46, (6), 1683-1725 View citations (41)

2010

8. Hidden Survivorship in Hedge Fund Returns
   Financial Analysts Journal, 2010, 66, (2), 69-74 View citations (2)
9. Information Transfer Effects of Bond Rating Downgrades
   The Financial Review, 2010, 45, (3), 683-706 View citations (27)
10. Risk Management
    Annual Review of Financial Economics, 2010, 2, (1), 347-365 View citations (2)
11. The performance of emerging hedge funds and managers
    Journal of Financial Economics, 2010, 96, (2), 238-256 View citations (78)

2009

12. Credit Contagion from Counterparty Risk
    Journal of Finance, 2009, 64, (5), 2053-2087 View citations (177)
13. Risk Management Lessons from the Credit Crisis
    European Financial Management, 2009, 15, (5), 923-933 View citations (38)

2008

14. Risk Management for Event-Driven Funds
    Financial Analysts Journal, 2008, 64, (1), 61-73

2007

15. Good and bad credit contagion: Evidence from credit default swaps
    Journal of Financial Economics, 2007, 84, (3), 860-883 View citations (275)

2006

16. Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers
    Journal of Finance, 2006, 61, (2), 893-919 View citations (225)

2005

17. Informational effects of regulation FD: evidence from rating agencies
    Journal of Financial Economics, 2005, 76, (2), 309-330 View citations (174)

2003

18. Portfolio Optimization with Tracking-Error Constraints
    Financial Analysts Journal, 2003, 59, (5), 70-82 View citations (8)
19. The Long-Term Risks of Global Stock Markets
    Financial Management, 2003, 32, (4) View citations (10)

2000

20. Risk management lessons from Long‐Term Capital Management
    European Financial Management, 2000, 6, (3), 277-300 View citations (104)

1999

21. Global Stock Markets in the Twentieth Century
    Journal of Finance, 1999, 54, (3), 953-980 View citations (190)
22. Multivariate unit root tests of the PPP hypothesis
    Journal of Empirical Finance, 1999, 6, (4), 335-353 View citations (34)
    See also Working Paper Multivariate Unit root Tests of the PPP Hypothesis, ULB Institutional Repository (1999) View citations (31) (1999)
23. Re-Emerging Markets
    Journal of Financial and Quantitative Analysis, 1999, 34, (1), 1-32 View citations (47)
    See also Working Paper Re-emerging Markets, Yale School of Management Working Papers (2000) View citations (14) (2000)

1996

24. Does real interest parity hold at longer maturities?
    Journal of International Economics, 1996, 40, (1-2), 105-126 View citations (20)
25. Mean reversion in real exchange rates: evidence and implications for forecasting
    Journal of International Money and Finance, 1996, 15, (4), 535-550 View citations (122)
26. Returns to Japanese investors from US investments
    Japan and the World Economy, 1996, 8, (3), 229-241 View citations (3)
27. Risk2: Measuring the Risk in Value at Risk
    Financial Analysts Journal, 1996, 52, (6), 47-56 View citations (3)
28. The January Effect: Still There after All These Years
    Financial Analysts Journal, 1996, 52, (1), 27-31 View citations (2)

1995

29. A Longer Look at Dividend Yields
    The Journal of Business, 1995, 68, (4), 483-508 View citations (32)
    See also Working Paper A Longer Look at Dividend Yields, Yale School of Management Working Papers (1998) View citations (3) (1998)
30. Predicting Volatility in the Foreign Exchange Market
    Journal of Finance, 1995, 50, (2), 507-28 View citations (276)
31. Valuing executive stock options with endogenous departure
    Journal of Accounting and Economics, 1995, 20, (2), 193-205 View citations (34)

1993

32. Currency Hedging for International Portfolios
    Journal of Finance, 1993, 48, (5), 1865-86 View citations (124)
33. Testing the Predictive Power of Dividend Yields
    Journal of Finance, 1993, 48, (2), 663-79 View citations (161)
    See also Working Paper Testing the Predictive Power of Dividend Yields, Working Papers (1992) View citations (3) (1992)
34. Time-series tests of a non-expected-utility model of asset pricing
    European Economic Review, 1993, 37, (5), 1083-1100 View citations (21)
    See also Working Paper Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing, NBER Working Papers (1989) View citations (7) (1989)

1992

35. Term premiums and the integration of the eurocurrency markets
    Journal of International Money and Finance, 1992, 11, (1), 17-39 View citations (9)
36. The choice of a multicurrency portfolio for a central bank: Bonds, eurodeposits, and forward contracts
    Global Finance Journal, 1992, 3, (1), 1-22

1991

37. A multicountry comparison of term-structure forecasts at long horizons
    Journal of Financial Economics, 1991, 29, (1), 59-80 View citations (140)
    See also Working Paper A Multi-Country Comparison of Term Structure Forecasts at Long Horizons, NBER Working Papers (1991) View citations (128) (1991)
38. Bayesian and CAPM estimators of the means: Implications for portfolio selection
    Journal of Banking & Finance, 1991, 15, (3), 717-727 View citations (86)
39. The Pricing of Exchange Rate Risk in the Stock Market
    Journal of Financial and Quantitative Analysis, 1991, 26, (3), 363-376 View citations (267)

1990

40. Option listing and stock returns: An empirical analysis
    Journal of Banking & Finance, 1990, 14, (4), 781-801 View citations (55)
41. Purchasing Power Parity in the Long Run
    Journal of Finance, 1990, 45, (1), 157-74 View citations (441)
42. The Exchange-Rate Exposure of U.S. Multinationals
    The Journal of Business, 1990, 63, (3), 331-45 View citations (447)

1989

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

1988

44. Foreign exchange risk premia volatility once again
    Journal of International Money and Finance, 1988, 7, (1), 111-113 View citations (4)
45. On Jump Processes in the Foreign Exchange and Stock Markets
    The Review of Financial Studies, 1988, 1, (4), 427-445 View citations (268)

1987

46. 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 View citations (63)

1986

47. Bayes-Stein Estimation for Portfolio Analysis
    Journal of Financial and Quantitative Analysis, 1986, 21, (3), 279-292 View citations (320)
48. Integration vs. Segmentation in the Canadian Stock Market
    Journal of Finance, 1986, 41, (3), 603-14 View citations (127)

1985

49. International Portfolio Diversification with Estimation Risk
    The Journal of Business, 1985, 58, (3), 259-78 View citations (249)

Chapters

2007

1. Bank Trading Risk and Systemic Risk
   A chapter in The Risks of Financial Institutions, 2007, pp 29-57 View citations (6)
   See also Working Paper Bank Trading Risk and Systemic Risk, National Bureau of Economic Research, Inc (2005) View citations (6) (2005)

1996

2. Risk and Turnover in the Foreign Exchange Market
   A chapter in The Microstructure of Foreign Exchange Markets, 1996, pp 19-40 View citations (52)