Details about Shmuel Kandel

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Access statistics for papers by Shmuel Kandel.

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Short-id: pka646

Working Papers

2009

1. Endogenous benchmarks
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR)

2005

2. The (Bad?) Timing of Mutual Fund Investors
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)

2004

3. A Portfolio Choice Model with Utility from Anticipation of Future Consumption and Stock Markets' Mean Reversion
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article A portfolio choice model with utility from anticipation of future consumption and stock market mean reversion, European Economic Review, Elsevier (2008) View citations (21) (2008)
4. A Variance Ratio Related Prediction Tool with Application to the NYSE Index 1825-2002
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

1995

5. On the Predictability of Stock Returns: An Asset-Allocation Perspective
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   See also Journal Article On the Predictability of Stock Returns: An Asset-Allocation Perspective, Journal of Finance, American Finance Association (1996) View citations (340) (1996)

1994

6. Portfolio Inefficiency and the Cross-Section of Expected Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   See also Journal Article Portfolio Inefficiency and the Cross-Section of Expected Returns, Journal of Finance, American Finance Association (1995) View citations (101) (1995)

1993

7. Bayesian Inference and Portfolio Efficiency
   NBER Technical Working Papers, National Bureau of Economic Research, Inc
   Also in Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research (1991) View citations (1)
   See also Journal Article Bayesian Inference and Portfolio Efficiency, The Review of Financial Studies, Society for Financial Studies (1995) View citations (43) (1995)

1991

8. Asset Returns and Intertemporal Preferences
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (223)
   See also Journal Article Asset returns and intertemporal preferences, Journal of Monetary Economics, Elsevier (1991) View citations (222) (1991)
9. On the Incentives for Money Nanagers: A Signalling Approach
   Working Papers, Columbia - Graduate School of Business
   See also Journal Article On the incentives for money managers: A signalling approach, European Economic Review, Elsevier (1993) View citations (10) (1993)

1990

10. ASSET RETURNS, INVESTMENT HORIZONS, AND INTERTEMPORAL PREFERENCES
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (7)

Undated

11. A Mean-Variance Framework for Tests for Asset Pricing Models
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    See also Journal Article A Mean-Variance Framework for Tests of Asset Pricing Models, The Review of Financial Studies, Society for Financial Studies (1989) View citations (27) (1989)
12. An Index-Contingent Trading Mechanism: Economic Implications
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
13. Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009)
    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 (4)
14. Bayesian Inference and Portfolio Efficiency (Revised: 4-93)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
15. Bayesian Inference and Portfolio Efficiency (Revision of 8-91) (Reprint 046)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
16. Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (6)
17. Expectations and Volatility of Long-Horizon Stock Returns
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
18. Modeling Expected Stock Returns for Long and Short Horizons
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (29)
19. On the Predictability of Stock Returns: An Asset-Allocation Perspective (Reprint 057)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
20. Portfolio Inefficiency and the Cross-Section of Expected Returns (Revision of 3-93)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
21. Portfolio Inefficiency and the Cross-Section of Mean Returns (Revised: 6-94)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
22. Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    See also Journal Article Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis, Journal of Finance, American Finance Association (1996) View citations (62) (1996)
23. The Dynamics of Information Incorporation into Asset Prices: An Empirical Analysis
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

Journal Articles

2014

1. Mutual fund performance evaluation with active peer benchmarks
   Journal of Financial Economics, 2014, 112, (1), 1-29 View citations (31)

2012

2. Measuring investor sentiment with mutual fund flows
   Journal of Financial Economics, 2012, 104, (2), 363-382 View citations (124)

2011

3. The Price Pressure of Aggregate Mutual Fund Flows
   Journal of Financial and Quantitative Analysis, 2011, 46, (2), 585-603 View citations (58)

2008

4. A portfolio choice model with utility from anticipation of future consumption and stock market mean reversion
   European Economic Review, 2008, 52, (8), 1338-1352 View citations (21)
   See also Working Paper A Portfolio Choice Model with Utility from Anticipation of Future Consumption and Stock Markets' Mean Reversion, CEPR Discussion Papers (2004) (2004)

2002

5. Real and nominal effects of central bank monetary policy
   Journal of Monetary Economics, 2002, 49, (8), 1493-1519 View citations (11)

2001

6. Do investors prefer round stock prices? Evidence from Israeli IPO auctions
   Journal of Banking & Finance, 2001, 25, (8), 1543-1551 View citations (40)

1999

7. The Demand for Stocks: An Analysis of IPO Auctions
   The Review of Financial Studies, 1999, 12, (2), 227-47 View citations (70)

1997

8. Implications of an Index-Contingent Trading Mechanism
   The Journal of Business, 1997, 70, (4), 471-88 View citations (5)

1996

9. On the Predictability of Stock Returns: An Asset-Allocation Perspective
   Journal of Finance, 1996, 51, (2), 385-424 View citations (340)
   See also Working Paper On the Predictability of Stock Returns: An Asset-Allocation Perspective, NBER Working Papers (1995) View citations (7) (1995)
10. Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis
    Journal of Finance, 1996, 51, (1), 205-25 View citations (62)
    See also Working Paper Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis, Rodney L. White Center for Financial Research Working Papers View citations (2)

1995

11. Bayesian Inference and Portfolio Efficiency
    The Review of Financial Studies, 1995, 8, (1), 1-53 View citations (43)
    See also Working Paper Bayesian Inference and Portfolio Efficiency, NBER Technical Working Papers (1993) (1993)
12. Portfolio Inefficiency and the Cross-Section of Expected Returns
    Journal of Finance, 1995, 50, (1), 157-84 View citations (101)
    See also Working Paper Portfolio Inefficiency and the Cross-Section of Expected Returns, NBER Working Papers (1994) View citations (3) (1994)

1994

13. A Mean-Variance Framework for Tests of Asset Pricing Models: Correction
    The Review of Financial Studies, 1994, 7, (4), 803-04 View citations (1)

1993

14. Learning from Trading
    The Review of Financial Studies, 1993, 6, (3), 507-26 View citations (9)
15. On the incentives for money managers: A signalling approach
    European Economic Review, 1993, 37, (5), 1065-1081 View citations (10)
    See also Working Paper On the Incentives for Money Nanagers: A Signalling Approach, Working Papers (1991) (1991)

1991

16. Asset returns and intertemporal preferences
    Journal of Monetary Economics, 1991, 27, (1), 39-71 View citations (222)
    See also Working Paper Asset Returns and Intertemporal Preferences, NBER Working Papers (1991) View citations (223) (1991)
17. Expected inflation, unexpected inflation, and relative price dispersion: An empirical analysis
    Economics Letters, 1991, 37, (4), 383-390 View citations (3)

1990

18. Expectations and Volatility of Consumption and Asset Returns
    The Review of Financial Studies, 1990, 3, (2), 207-32 View citations (113)
19. Market Efficiency and Value Line's Record
    The Journal of Business, 1990, 63, (2), 187-216 View citations (6)

1989

20. A Mean-Variance Framework for Tests of Asset Pricing Models
    The Review of Financial Studies, 1989, 2, (2), 125-56 View citations (27)
    See also Working Paper A Mean-Variance Framework for Tests for Asset Pricing Models, Rodney L. White Center for Financial Research Working Papers
21. Firms' fiscal years, size and industry
    Economics Letters, 1989, 29, (1), 69-75 View citations (5)

1987

22. Mean-Variance Spanning
    Journal of Finance, 1987, 42, (4), 873-88 View citations (225)
23. Mimicking Portfolios and Exact Arbitrage Pricing
    Journal of Finance, 1987, 42, (1), 1-9 View citations (70)
24. On correlations and inferences about mean-variance efficiency
    Journal of Financial Economics, 1987, 18, (1), 61-90 View citations (55)
25. Orthogonal Frontiers and Alternative Mean-Variance Efficiency Tests: Discussion
    Journal of Finance, 1987, 42, (3), 620-22
26. Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas
    Journal of Finance, 1987, 42, (2), 201-20 View citations (58)
27. Value Line Rank and Firm Size
    The Journal of Business, 1987, 60, (4), 577-89 View citations (9)

1986

28. The Geometry of the Maximum Likelihood Estimator of the Zero-Beta Return
    Journal of Finance, 1986, 41, (2), 339-46 View citations (4)

1984

29. On the Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio
    Journal of Finance, 1984, 39, (1), 63-75 View citations (6)
30. The likelihood ratio test statistic of mean-variance efficiency without a riskless asset
    Journal of Financial Economics, 1984, 13, (4), 575-592 View citations (28)