Rotman Working Papers - Finance

Dates in parentheses indicate the date the paper was posted on the Social Science Research Network.

Christoffersen, Peter, Jacobs, Kris and Chang, Bo Young, Forecasting with Option Implied Information (December 2011).

Andersen, Torben G., Bollerslev, Tim, Christoffersen, Peter and Diebold, Francis X., Financial Risk Measurement for Financial Risk Management (November 2011). PIER Working Paper No. 11-037.

Kamstra, Mark J., Kramer, Lisa A., Levi, Maurice D. and Wermers, Russ R., Seasonal Asset Allocation: Evidence from Mutual Fund Flows (August 2011).

Christoffersen, Peter and Langlois, Hugues, The Joint Dynamics of Equity Market Factors (September 2011).

Booth, Laurence and Chang, Bin, The Global Financial Crisis and the Performance of Target-Date Funds in the United States (September 2011). Rotman International Journal of Pension Management, Vol. 4, No. 2, p. 46, Fall 2011; Rotman School of Management Working Paper No. 1936012.

Goldstein, Itay and Yang, Liyan, Information Diversity and Market Efficiency Spirals (August 2011).

Kramer, Lisa A. and Weber, J. Mark, This is Your Portfolio on Winter: Seasonal Affective Disorder and Risk Aversion in Financial Decision Making (July 2011). Social Psychological and Personality Science, 2011.

Kamstra, Mark J., Kramer, Lisa A. and Levi, Maurice D., A Careful Re-Examination of Seasonality in International Stock Markets: Comment on Sentiment and Stock Returns (August 2011).

Li, Yan and Yang, Liyan, The Asset Pricing Implications of Dividend Volatility (May 13, 2011).

Ambachtsheer, Keith, How Should Pension Funds Pay Their Own People? (April 2011). Rotman International Journal of Pension Management, Vol. 4, No. 1, pp. 18-25, 2011.

Gospodinov, Nikolay, Kan, Raymond and Robotti, Cesare, Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models (March 2011).

Kan, Raymond and Wang, Xiaolu, Seeking Positive Alpha (March 2011).

Christoffersen, Peter, Goyenko, Ruslan, Jacobs, Kris and Karoui, Mehdi, Illiquidity Premia in the Equity Options Market (March 2011).

Amaya, Diego, Christoffersen, Peter, Jacobs, Kris and Vasquez, Aurelio, Does Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? (March 2011).

Doidge, Craig, Karolyi, George Andrew and Stulz, Rene M., The U.S. Left Behind: The Rise of IPO Activity Around the World (March 2011).

Easley, David and Yang, Liyan, Loss Aversion, Survival and Asset Prices (March 2011).

Easley, David, O'Hara, Maureen and Yang, Liyan, Differential Access to Price Information in Financial Markets(March 2011).

Han, Bing and Yang, Liyan, Information Acquisition, Social Network and Asset Prices (March 2011).

Kamstra, Mark J., Kramer, Lisa A., Levi, Maurice D. and Wang, Tan, Seasonally Varying Preferences: Support from an Asset Pricing Model (June 2010).

Doidge, Craig and Dyck, I. J. Alexander, Taxes, Valuation, and Organizational Structure (February 2011).

Goldstein, Itay, Li, Yan and Yang, Liyan, Speculation and Hedging in Segmented Markets (November 2010).

Hull, John C. and White, Alan, The Risk of Tranches Created from Mortgages (October 2010). Financial Analysts Journal, Vol. 66, No. 5, 2010.

Easley, David, O'Hara, Maureen and Yang, Liyan, Differential Access to Price Information in Financial Markets (August 2010).

Hull, John C. and White, Alan, An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches (July 2010). Journal of Investment Management, Third Quarter, 2010.

Gospodinov, Nikolay, Kan, Raymond and Robotti, Cesare, Further Results on the Limiting Distribution of GMM Sample Moment Conditions (July 2010).

Buti, Sabrina, Rindi, Barbara and Werner, Ingrid M., Diving into Dark Pools(June 2010).

Konukoglu, A. Emre, Foreign Ownership and World Market Integration (June 2010).

Li, Yan and Yang, Liyan, Learning Complementarities Through Hedging-Motivated Trades (March 2010).

Gospodinov, Nikolay, Kan, Raymond and Robotti, Cesare, On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint (March 2010).

Zheng, Jinguo and Wei, Jason Zhanshun, Trading Activity and Bid-Ask Spreads of Individual Equity Options (February 2010).

Callen, Jeffrey L., Khan, Mozaffar and Lu, Hai, Accounting Quality, Stock Price Delay and Future Stock Returns (February 2010).

Christoffersen, Peter, Jacobs, Kris and Heston, Steven L., Option Anomalies and the Pricing Kernel (January 2010).

Gospodinov, Nikolay, Robotti, Cesare and Kan, Raymond, On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint (January 2010).

Konukoglu, A. Emre, Uninformed Momentum Traders. (December 2009)

Duan, Jin-Chuan, Clustered Defaults (December 2009).

De Roon, Frans A., Eiling, Esther, Hillion, Pierre and Gerard, Bruno, International Portfolio Diversification: Currency, Industry and Country Effects Revisited (December 2009).

Eiling, Esther, Gerard, Bruno and De Roon, Frans A., Euro-Zone Equity Returns: Country Versus Industry Effects (October 2009).

Callen, Jeffrey L., Klein, April and Tinkelman, Daniel, The Contextual Impact of Nonprofit Board Composition and Structure on Organizational Performance: Agency and Resource Dependence Perspectives(September 2009).

Hillier, Grant, Kan, Raymond and Wang, Xiaolu, Generating Functions and Short Recursions, with Applications to the Moments of Quadratic Forms in Noncentral Normal Vectors (May 2009).

Duan, Jin-chuan and Wei, Jason Zhanshun, Systematic Risk and the Price Structure of Individual Equity Options (May 2009).

Choy, Siu Kai and Wei, Jason Zhanshun, Option Trading: Information or Differences of Opinion? (April 2009).

Wang, Kevin Q. and Xu, Jianguo, Market Volatility and Momentum (March 2009).

Doidge, Craig Andrew, Karolyi, George Andrew and Stulz, Rene M., Why Do Foreign Firms Leave U.S. Equity Markets? (March 2009).

Kan, Raymond, Robotti, Cesare and Shanken, Jay A., Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology (March 2009).

Kamstra, Mark J., Kramer, Lisa A. and Levi, Maurice D., Opposing Seasonalities in Treasury Versus Equity Returns (March 2009).

Zheng, Jinguo and Wei, Jason Zhanshun, Trading Activity and Bid-Ask Spreads of Individual Equity Options (February 2010).

Kan, Raymond, Robotti, Cesare and Shanken, Jay A., Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology (February 2009).

Wang, Kevin Q. and Xu, Jianguo, Market Volatility and Momentum (February 2009).

Kan, Raymond and Robotti, Cesare, A Note of the Estimation of Asset Pricing Models Using Simple Regression Betas(January 2009).

Yang, Liyan and Ganguli, Jayant V., Complementarities, Multiplicity, and Supply Information (September 2008). Journal of the European Economic Association, Vol. 7, No. 1, pp. 90-115, 2009 .

Kamstra, Mark J., Kramer, Lisa A. and Levi, Maurice D., Is it the Weather? Comment (September 2008).

Callen, Jeffrey L. and Segal, Dan, A Variance Decomposition Primer for Accounting Researchers. (December 2008).

Callen, Jeffrey L., Livnat, Joshua and Segal, Dan, The Impact of Earnings on the Pricing of Credit Default Swaps (December 2008).

Kan, Raymond and Wang, Xiaolu, Distribution of the Sample Autocorrelation Coefficients (November 2008).

Callen, Jeffrey L. and Segal, Dan, An Analytical and Empirical Measure of the Degree of Conditional Conservatism (November 2008).

Booth, Laurence and Zhou, Jun, Market Power and Dividend Policy: A Risk-Based Perspective (November 2008).

Kan, Raymond and Zhou, Guofu, What Likely Range of My Wealth Will Be? (October 2008).

Aivazian, Varouj A., Callen, Jeffrey L. and McCracken, Susan A., Experimental Tests of Core Theory and the Coase Theorem: Inefficiency and Cycling(September 2008).

Doidge, Craig Andrew, Karolyi, George Andrew and Stulz, Rene M., Why Do Foreign Firms Leave U.S. Equity Markets? An Analysis of Deregistrations Under SEC Exchange Act Rule 12h-6 (August 2008).

Sonmez Saryal, Fatma, Rethinking Idiosyncratic Volatility: Is it Really a Puzzle? (July 2008).

Maheu, John M. and McCurdy, Thomas H., Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? (June 2008).

Davydenko, Sergei A., What Triggers Default? A Study of the Default Boundary (November 2010). EFA 2005 Moscow Meetings Paper; AFA 2009 San Francisco Meetings Paper; WFA 2006 Keystone Meetings Paper.

Booth, Laurence and Xu, Zhaoxia, Who Smoothes Dividends?. (February 2008)

Cao, Melanie and Wei, Jason Zhanshun, Option Market Liquidity: Commonality and Other Characteristics  (January 2008).

Wang, Kevin Q., Reversal Fear and Momentum(February 2008).

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