Yale School of Management Working Papers

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2010: Should Benchmark Indices Have Alpha? Revisiting Performance

Martijn Cremers, Antti Petajisto and Eric Zitzewitz

2010: Securitizations in the 1920's

William Goetzmann and Frank Newman

2010: Do Investment Banks' Relationships with Investors Impact Pricing? The Case of Convertible Bond Issues

Heather Tookes and Brian Henderson

2010: Art and Money

William Goetzmann, Luc Renneboog and Christophe Spaenjers

2009: Convertible Bond Arbitrageurs as Suppliers of Capital

Darwin Choi, Mila Getmansky, Brian Henderson and Heather Tookes

2009: Trust and Delegation

Stephen Brown, William Goetzmann, Bing Liang and Christopher Schwarz

2009: Thirty Years of Corporate Governance: Firm Valuation & Stock Returns

Martijn Cremers and Allen Ferrell

2009: New Evidence on the First Financial Bubble

Rik P., William Goetzmann and K. Rouwenhorst

2009: Crises and Hedge Fund Risk

Monica Billio, Mila Getmansky and Loriana Pelizzon

2009: Internal Capital Markets and Corporate Politics in a Banking Group

Martijn Cremers, Rocco Huang and Zacharias Sautner

2009: Analyzing Macroeconomic Forecastability

Ray Fair

2009: The Chinese Bond Market: Historical Lessons, Present Challenges and Future Perspectives

Haizhou Huang and Ning Zhu

2009: The Costs of Bankruptcy

Arturo Bris, Ivo Welch and Ning Zhu

2009: Estimating Operational Risk for Hedge Funds: The ?-Score

Stephen Brown, William Goetzmann, Bing Liang and Christopher Schwarz

2009: Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration

Stephen Brown, William Goetzmann, Bing Liang and Christopher Schwarz

2009: Institutional Investors’ Investment Durations and Stock Return Anomalies: Momentum, Reversal, Accruals, Share Issuance and R&D Increases

Martijn Cremers and Ankur Pareek

2009: Short-Sales in Global Perspective

Arturo Bris, William Goetzmann and Ning Zhu

2009: Do Individual Investors Learn from Their Trading Experience?

Gina Nicolosi, Liang Peng and Ning Zhu

2009: Is Cash Auction Procedure a Bargain? Evidence from U.S. Bankruptcy Courts

Ning Zhu

2009: The Impact of Clientele Changes: Evidence from Stock Splits

Ravi Dhar, William Goetzmann, Ning Zhu and Efa Moscow

2009: Fees on Fees in Funds of Funds

Stephen Brown, William Goetzmann and Bing Liang

2009: Rain or Shine: Where is the Weather Effect?

William Goetzmann and Ning Zhu

2009: The Local Bias of Individual Investors

Ning Zhu

2009: Up Close and Personal: An Individual Level Analysis of the Disposition Effect

Ravi Dhar and Ning Zhu

2009: China and the World Financial Markets 1870-1930: Modern Lessons From Historical Globalization (English Version)

William Goetzmann, Andrey Ukhov and Ning Zhu

2009: Asset Prices and Trading Volume Under Fixed Transactions Costs

Andrew Lo, Harry Mamaysky and Jiang Wang

2009: Property Derivatives for Managing European Real-Estate Risk

Frank Fabozzi, Robert Shiller and Radu Tunaru

2009: The Dynamics of Large and Small Chapter 11 Cases: An Empirical Study

Douglas Baird, Arturo Bris and Ning Zhu

2009: The Impact of Earnings Surprises on Stock Returns: Theory and Evidence

Panos Patatoukas and Hongjun Yan

2009: Possible Macroeconomic Consequences of Large Future Federal Government Deficits

Ray Fair

2009: Has Macro Progressed?

Ray Fair

2009: Haircuts

Andrew Metrick and Gary Gorton

2009: Tiebreaker: Certification and Multiple Credit Ratings

Dion Bongaerts, Martijn Cremers and William Goetzmann

2009: The Market for CEO Talent: Implications for CEO Compensation

Martijn Cremers and Yaniv Grinstein

2009: Securitized Banking and the Run on Repo

Gary Gorton and Andrew Metrick

2009: An Economic Approach to the Psychology of Change: Amnesia, Inertia, and Impulsiveness

David Hirshleifer and Ivo Welch

2009: The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation

Mark Kamstra and Robert Shiller

2009: Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion

Suleyman Basak and Hongjun Yan

2009: $100 Bills on the Sidewalk: Suboptimal Investment in 401(K) Plans

James Choi, David Laibson and Brigitte Madrian

2009: Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings

Dennis Vink and Frank Fabozzi

2009: How Does Simplified Disclosure Affect Individuals' Mutual Fund Choices?

John Beshears, James Choi, David Laibson and Brigitte Madrian

2009: Granularity, Time and Control of Economic Resources

Ramji Balakrishnan, Shyam Sunder and Shiva Sivaramakrishnan

2009: Heterogeneous Expectations and Bond Markets

Wei Xiong, Hongjun Yan and Review Financial

2009: Extensive Income and Value of the Firm: Who Gets What?

Shyam Sunder

2009: A Theory of Optimal Expropriation, Mergers and Industry Competition

Arturo Bris and Neil Brisley

2009: Does the Sarbanes-Oxley Act Have a Future?

Roberta Romano

2009: Understanding Inflation-Indexed Bond Markets

John Campbell, Robert Shiller and Luis Viceira

2009: Computing VAR and AVaR in Infinitely Divisible Distributions

Young Kim, Svetlozar Rachev, Michele Bianchi and Frank Fabozzi

2009: Uncertainty and Valuations

Martijn Cremers and Hongjun Yan

2009: How Active is Your Fund Manager? A New Measure That Predicts Performance

Martijn Cremers and Antti Petajisto

2009: Reinforcement Learning and Savings Behavior

James Choi, David Laibson, Brigitte Madrian and Andrew Metrick

2009: A Discretionary Wealth Approach to Investment Policy

Jarrod Wilcox and Frank Fabozzi

2009: Nickels versus Black Swans: Reputation, Trading Strategies and Asset Prices

Steven Malliaris and Hongjun Yan

2009: The Promise and Peril of Corporate Governance Indices

Sanjai Bhagat, Brian Bolton and Roberta Romano

2009: The Effect of Litigation Risk on Management Earnings Forecasts

Zhiyan Cao and Ganapathi Narayanamoorthy

2009: The Equity Share in New Issues and Aggregate Stock Returns

Malcolm Baker and Jeffrey Wurgler

2009: Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk

William Goetzmann, Akiko Watanabe and Masahiro Watanabe

2009: Is Noise Trading Cancelled Out by Aggregation?

Hongjun Yan

2009: The Benefits of Aggregate Performance Metrics in the Presence of Career Concerns

Anil Arya and Brian Mittendorf

2009: An Economy with Personal Currency: Theory and Evidence

Martin Angerer, Juergen Huber, Martin Shubik and Shyam Sunder