Details about William Goetzmann

Homepage:	http://viking.som.yale.edu
Phone:	203 4325950
Postal address:	Yale School of Management 146 Prospect Street New Haven, CT 06511
Workplace:	School of Management, Yale University, (more information at EDIRC)

Access statistics for papers by William Goetzmann.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pgo59

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Working Papers

2024

1. Emotions and Subjective Crash Beliefs
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Procyclical Stocks Earn Higher Returns
   NBER Working Papers, National Bureau of Economic Research, Inc

2023

3. Convergent Evolution Toward the Joint-Stock Company
   NBER Working Papers, National Bureau of Economic Research, Inc
4. Selection-Neglect in the NFT Bubble
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2022

5. Cohort Effects on Expected Co-Movement
   NBER Working Papers, National Bureau of Economic Research, Inc
6. Crash Narratives
   NBER Working Papers, National Bureau of Economic Research, Inc
7. Evidence on Retrieved Context: How History Matters
   NBER Working Papers, National Bureau of Economic Research, Inc

2021

8. Real and Private Value Assets
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (6)

2019

9. The present value relation over six centuries: The case of the Bazacle company
   Post-Print, HAL View citations (3)
   Also in TSE Working Papers, Toulouse School of Economics (TSE) (2017) View citations (1)
   See also Journal Article The present value relation over six centuries: The case of the Bazacle company, Journal of Financial Economics, Elsevier (2019) View citations (3) (2019)

2017

10. Negative Bubbles: What Happens After a Crash
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article Negative bubbles: What happens after a crash, European Financial Management, European Financial Management Association (2018) View citations (16) (2018)

2016

11. Crash Beliefs From Investor Surveys
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)

2015

12. Bubble Investing: Learning from History
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
13. Momentum in Imperial Russia
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article Momentum in Imperial Russia, Journal of Financial Economics, Elsevier (2018) View citations (12) (2018)
14. The Development of Corporate Governance in Toulouse: 1372-1946
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)

2014

15. Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
16. The Economics of Aesthetics and Three Centuries of Art Price Records
    HEC Research Papers Series, HEC Paris View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (1)

2012

17. Competition Among University Endowments
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    See also Chapter Competition among University Endowments, NBER Chapters, National Bureau of Economic Research, Inc (2013) (2013)

2011

18. Art and Money
    Post-Print, HAL View citations (47)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (1)
    Discussion Paper, Tilburg University, Center for Economic Research (2010) View citations (2)
    See also Journal Article Art and Money, American Economic Review, American Economic Association (2011) View citations (47) (2011)

2010

19. Securitization in the 1920's
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)

2009

20. China and the World Financial Markets 1870-1930: Modern Lessons From Historical Globalization (English Version)
    Yale School of Management Working Papers, Yale School of Management View citations (1)
21. Fees on Fees in Funds of Funds
    Yale School of Management Working Papers, Yale School of Management View citations (3)
    Also in Yale School of Management Working Papers, Yale School of Management (2004) View citations (34)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (4)
    See also Chapter FEES ON FEES IN FUNDS OF FUNDS, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2005) View citations (1) (2005)
22. New Evidence on the First Financial Bubble
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (26)
    See also Journal Article New evidence on the first financial bubble, Journal of Financial Economics, Elsevier (2013) View citations (40) (2013)
23. Rain or Shine: Where is the Weather Effect?
    Yale School of Management Working Papers, Yale School of Management View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (14)
    Yale School of Management Working Papers, Yale School of Management (2004) View citations (2)
    See also Journal Article Rain or Shine: Where is the Weather Effect?, European Financial Management, European Financial Management Association (2005) View citations (98) (2005)
24. Risk Aversion and Clientele Effects
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
25. Short-Sales in Global Perspective
    Yale School of Management Working Papers, Yale School of Management View citations (2)
26. The Impact of Clientele Changes: Evidence from Stock Splits
    Yale School of Management Working Papers, Yale School of Management
27. The Subprime Crisis and House Price Appreciation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
    See also Journal Article The Subprime Crisis and House Price Appreciation, The Journal of Real Estate Finance and Economics, Springer (2012) View citations (43) (2012)
28. Tiebreaker: Certification and Multiple Credit Ratings
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article Tiebreaker: Certification and Multiple Credit Ratings, Journal of Finance, American Finance Association (2012) View citations (123) (2012)
29. Trust and Delegation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article Trust and delegation, Journal of Financial Economics, Elsevier (2012) View citations (29) (2012)

2008

30. Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (2004) View citations (10)
31. Hedge Funds With Style
    Yale School of Management Working Papers, Yale School of Management View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (31)
    Yale School of Management Working Papers, Yale School of Management (2001) View citations (41)
32. Hedge Funds and the Asian Currency Crisis of 1997
    Yale School of Management Working Papers, Yale School of Management View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (16)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations (23)
33. Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
    Yale School of Management Working Papers, Yale School of Management View citations (31)
    Also in Yale School of Management Working Papers, Yale School of Management (2002) View citations (13)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (26)
34. Long-Term Global Market Correlations
    Yale School of Management Working Papers, Yale School of Management View citations (36)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (69)
    See also Journal Article Long-Term Global Market Correlations, The Journal of Business, University of Chicago Press (2005) View citations (258) (2005)
35. Offshore Hedge Funds: Survival & Performance 1989-1995
    Yale School of Management Working Papers, Yale School of Management
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998)
36. Positive Portfolio Factors
    Yale School of Management Working Papers, Yale School of Management
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (1)
    Yale School of Management Working Papers, Yale School of Management (2004)
37. The Dow Theory: William Peter Hamilton's Track Record Re-Considered
    Yale School of Management Working Papers, Yale School of Management View citations (4)
    Also in Yale School of Management Working Papers, Yale School of Management (2004) View citations (4)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations (33)
38. The Open-End Japanese Mutual Fund Puzzle
    Yale School of Management Working Papers, Yale School of Management

2006

39. Bubble Investors: What Were They Thinking?
    Yale School of Management Working Papers, Yale School of Management View citations (4)
40. Home Equity Insurance: A Pilot Project
    Yale School of Management Working Papers, Yale School of Management View citations (8)

2005

41. British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach
    Yale School of Management Working Papers, Yale School of Management View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (2)
    See also Journal Article British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach, Review of Finance, European Finance Association (2006) View citations (62) (2006)
42. Dispersion of Opinion and Stock Returns
    Yale School of Management Working Papers, Yale School of Management View citations (43)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004)
    See also Journal Article Dispersion of opinion and stock returns, Journal of Financial Markets, Elsevier (2005) View citations (39) (2005)
43. Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias
    Yale School of Management Working Papers, Yale School of Management View citations (5)
    Also in Yale School of Management Working Papers, Yale School of Management (2003) View citations (7)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (19)
    Yale School of Management Working Papers, Yale School of Management (2005) View citations (5)
    Yale School of Management Working Papers, Yale School of Management (2004) View citations (4)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (4)
44. Efficiency and the Bear: Short Sales and Markets around the World
    Yale School of Management Working Papers, Yale School of Management View citations (3)
    Also in Yale School of Management Working Papers, Yale School of Management (2004) View citations (13)
    Yale School of Management Working Papers, Yale School of Management (2003) View citations (22)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (25)
    See also Journal Article Efficiency and the Bear: Short Sales and Markets Around the World, Journal of Finance, American Finance Association (2007) View citations (324) (2007)
45. History and the Equity Risk Premium
    Yale School of Management Working Papers, Yale School of Management View citations (10)
46. Institutional Perspectives on Real Estate Investing: The Role of Risk and Uncertainty
    Yale School of Management Working Papers, Yale School of Management View citations (10)
47. More Social Security, Not Less
    Yale School of Management Working Papers, Yale School of Management View citations (4)
48. Performance Persistence
    Yale School of Management Working Papers, Yale School of Management View citations (12)
    See also Journal Article Performance Persistence, Journal of Finance, American Finance Association (1995) View citations (351) (1995)
49. Portfolio Diversification, Proximity Investment and City Agglomeration
    Yale School of Management Working Papers, Yale School of Management View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (11)
50. The Performance of Real Estate Portfolios: A Simulation Approach
    Yale School of Management Working Papers, Yale School of Management View citations (6)
51. Why Do Individual Investors Hold Under-Diversified Portfolios?
    Yale School of Management Working Papers, Yale School of Management View citations (22)

2004

52. A Century of Global Stock Markets
    Yale School of Management Working Papers, Yale School of Management View citations (3)
    Also in Yale School of Management Working Papers, Yale School of Management (2000) View citations (6)
    NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations (7)
    NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (1)
53. A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (2000) View citations (11)
    See also Journal Article A new historical database for the NYSE 1815 to 1925: Performance and predictability, Journal of Financial Markets, Elsevier (2001) View citations (56) (2001)
54. An Analysis of the Relative Performance of Japanese and Foreign Money Management
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (2002)
    See also Journal Article An analysis of the relative performance of Japanese and foreign money management, Pacific-Basin Finance Journal, Elsevier (2003) View citations (1) (2003)
55. An Emerging Market: The NYSE From 1815 to 1871
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (1998) View citations (1)
56. China and the World Financial Markets 1870-1930
    Yale School of Management Working Papers, Yale School of Management View citations (2)
57. China and the World Financial Markets 1870-1930:Modern Lessons From Historical Globalization (Chinese Version)
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (2001) View citations (3)
58. Equity Portfolio Diversification
    Yale School of Management Working Papers, Yale School of Management View citations (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (21)
    Yale School of Management Working Papers, Yale School of Management (2001) View citations (21)
    See also Journal Article Equity Portfolio Diversification, Review of Finance, European Finance Association (2008) View citations (380) (2008)
59. Fibonacci and the Financial Revolution
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in Yale School of Management Working Papers, Yale School of Management (2004) View citations (11)
    Yale School of Management Working Papers, Yale School of Management (2004) View citations (9)
60. High Water Marks
    Yale School of Management Working Papers, Yale School of Management View citations (18)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (7)
61. Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares (English version)
    Yale School of Management Working Papers, Yale School of Management View citations (5)
    Also in Yale School of Management Working Papers, Yale School of Management (2002) View citations (11)
62. Portfolio Diversification and City Agglomeration
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
63. Soft Information, Hard Sell: The Role of Soft Information in the Pricing of Intellectual Property
    NBER Working Papers, National Bureau of Economic Research, Inc
64. The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control
    Yale School of Management Working Papers, Yale School of Management View citations (5)
    See also Chapter The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control, NBER Chapters, National Bureau of Economic Research, Inc (2005) View citations (12) (2005)
65. Will History Rhyme? The Past as Financial Future
    Yale School of Management Working Papers, Yale School of Management

2003

66. Dispersion of Opinion and Stock Returns: Evidence from Index Fund Investors
    Yale School of Management Working Papers, Yale School of Management
67. Diversification Decisions of Individual Investors and Asset Prices
    Yale School of Management Working Papers, Yale School of Management View citations (9)
68. Estimating Indices in the Presence of Seller Reservation Prices
    Yale School of Management Working Papers, Yale School of Management View citations (1)
69. Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
70. Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares (Russian Version)
    Yale School of Management Working Papers, Yale School of Management View citations (14)

2002

71. Sharpening Sharpe Ratios
    Yale School of Management Working Papers, Yale School of Management View citations (44)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (49)
    Yale School of Management Working Papers, Yale School of Management (2002) View citations (44)

2001

72. Behavioral Factors in Mutual Fund Flows
    Yale School of Management Working Papers, Yale School of Management View citations (10)
    Also in Yale School of Management Working Papers, Yale School of Management (2000) View citations (23)
73. China and the World Financial Markets 1870-1930: Modern Lessons From Historical Globalization
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (8)
74. Daily Momentum And Contrarian Behavior Of Index Fund Investors
    Yale School of Management Working Papers, Yale School of Management View citations (6)
    Also in Yale School of Management Working Papers, Yale School of Management (1999) View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (18)
    See also Journal Article Daily Momentum and Contrarian Behavior of Index Fund Investors, Journal of Financial and Quantitative Analysis, Cambridge University Press (2002) View citations (75) (2002)
75. Day Trading International Mutual Funds: Evidence And Policy Solutions
    Yale School of Management Working Papers, Yale School of Management View citations (49)
    See also Journal Article Day Trading International Mutual Funds: Evidence and Policy Solutions, Journal of Financial and Quantitative Analysis, Cambridge University Press (2001) View citations (44) (2001)
76. Global Real Estate Markets: Cycles And Fundamentals
    Yale School of Management Working Papers, Yale School of Management
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (41)
    Yale School of Management Working Papers, Yale School of Management (1999) View citations (28)
77. Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors
    Yale School of Management Working Papers, Yale School of Management View citations (2)
78. High-Water Marks and Hedge Fund Management Contracts
    Yale School of Management Working Papers, Yale School of Management View citations (3)
    Also in Yale School of Management Working Papers, Yale School of Management (2001) View citations (3)
    See also Journal Article High‐Water Marks and Hedge Fund Management Contracts, Journal of Finance, American Finance Association (2003) View citations (134) (2003)
79. The Bias of the RSR Estimator and the Accuracy of Some Alternatives
    Yale School of Management Working Papers, Yale School of Management View citations (5)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2001) View citations (5)
    See also Journal Article The Bias of the RSR Estimator and the Accuracy of Some Alternatives, Real Estate Economics, American Real Estate and Urban Economics Association (2002) View citations (18) (2002)
80. The Development Of Corporate Performance Measures: Benchmarks Before EVA
    Yale School of Management Working Papers, Yale School of Management View citations (2)
81. The Policy Implications of Portfolio Choice in Underserved Mortgage Markets
    Yale School of Management Working Papers, Yale School of Management View citations (10)
82. Two Decades Of Commercial Property Returns: A NCREIF Index Using Independent Appraisals
    Yale School of Management Working Papers, Yale School of Management

2000

83. Monthly Measurement of Daily Timers
    Yale School of Management Working Papers, Yale School of Management View citations (76)
    See also Journal Article Monthly Measurement of Daily Timers, Journal of Financial and Quantitative Analysis, Cambridge University Press (2000) View citations (77) (2000)
84. 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 (1998) View citations (12)
    See also Journal Article Re-Emerging Markets, Journal of Financial and Quantitative Analysis, Cambridge University Press (1999) View citations (45) (1999)
85. The Effect of Seller Reserves on Market Index Estimation
    Yale School of Management Working Papers, Yale School of Management

1999

86. Do Cities and Suburbs Cluster?
    Yale School of Management Working Papers, Yale School of Management View citations (1)
87. Index Funds and Stock Market Growth
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
    Also in Yale School of Management Working Papers, Yale School of Management (1998) View citations (4)
    Yale School of Management Working Papers, Yale School of Management (1999) View citations (19)
    See also Journal Article Index Funds and Stock Market Growth, The Journal of Business, University of Chicago Press (2003) View citations (74) (2003)
88. Pairs Trading: Performance of a Relative Value Arbitrage Rule
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
    Also in Yale School of Management Working Papers, Yale School of Management (1998) View citations (4)
    Yale School of Management Working Papers, Yale School of Management (1998) View citations (5)
    Yale School of Management Working Papers, Yale School of Management (1998) View citations (4)
    See also Journal Article Pairs Trading: Performance of a Relative-Value Arbitrage Rule, The Review of Financial Studies, Society for Financial Studies (2006) View citations (233) (2006)

1998

89. 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 (34) (1995)
90. Clustering Methods for Real Estate Portfolios
    Yale School of Management Working Papers, Yale School of Management View citations (6)
    See also Journal Article Clustering Methods for Real Estate Portfolios, Real Estate Economics, American Real Estate and Urban Economics Association (1995) View citations (23) (1995)
91. Mutual Fund Styles
    Yale School of Management Working Papers, Yale School of Management
    See also Journal Article Mutual fund styles, Journal of Financial Economics, Elsevier (1997) View citations (133) (1997)
92. Offshore Hedge Funds: Survival and Performance, 1989-1995
    Yale School of Management Working Papers, Yale School of Management
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations (11)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1997) View citations (4)
93. The Japanese Open-End Fund Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations (2)
    See also Journal Article The Japanese Open-End Fund Puzzle, The Journal of Business, University of Chicago Press (2001) View citations (13) (2001)

1997

94. A Spatial Model of Housing Returns and Neighborhood Substitutability
    Yale School of Management Working Papers, Yale School of Management View citations (28)
    Also in Research Program in Finance Working Papers, University of California at Berkeley (1995) View citations (2)
    See also Journal Article A Spatial Model of Housing Returns and Neighborhood Substitutability, The Journal of Real Estate Finance and Economics, Springer (1997) View citations (28) (1997)

1996

95. Risks and Incentives in Underserved Mortgage Markets
    Yale School of Management Working Papers, Yale School of Management
    See also Journal Article Risks and Incentives in Underserved Mortgage Markets, Journal of Housing Economics, Elsevier (1998) View citations (3) (1998)
96. Suburbs and Cities
    Yale School of Management Working Papers, Yale School of Management View citations (1)

1993

97. Attrition and Mutual Fund Performance
    Working Papers, Columbia - Graduate School of Business View citations (7)
98. Commodity Funds as an Investment Asset
    Working Papers, Columbia - Graduate School of Business

1992

99. Market Response to Mutual Fund Performance
    Working Papers, Columbia - Graduate School of Business View citations (2)
100. Non-temporal Components of Residential Real Estate Appreciation
     Working Papers, Columbia - Graduate School of Business
     See also Journal Article Non-temporal Components of Residential Real Estate Appreciation, The Review of Economics and Statistics, MIT Press (1995) View citations (34) (1995)
101. Safety First Portfolio Choice
     Working Papers, Columbia - Graduate School of Business View citations (1)
102. Testing the Predictive Power of Dividend Yields
     Working Papers, Columbia - Graduate School of Business View citations (3)
     Also in Working Papers, Columbia - Graduate School of Business (1990) View citations (4)
     See also Journal Article Testing the Predictive Power of Dividend Yields, Journal of Finance, American Finance Association (1993) View citations (162) (1993)

1991

103. Clustering Methods and Commercial Rents
     Working Papers, Columbia - Graduate School of Business

1990

104. ACCOUNTING FOR TASTE: AN ANALYSIS OF ART RETURNS OVER THREE CENTURIES
     Working Papers, Columbia - Graduate School of Business View citations (6)
105. BOOTSTRAPPING TESTS OF LONG-TERM STOCK MARKET EFFICIENCY
     Working Papers, Columbia - Graduate School of Business
106. Do Winners Repeat? Patterns in Mutual Fund Behavior
     Working Papers, Columbia - Graduate School of Business View citations (25)
107. THE ACCURACY OF REAL ESTIMATE INDICES: REPEAT SALE ESTIMATORS
     Working Papers, Columbia - Graduate School of Business
     See also Journal Article The Accuracy of Real Estate Indices: Repeat Sale Estimators, The Journal of Real Estate Finance and Economics, Springer (1992) View citations (78) (1992)
108. THE SINGLE FAMILY HOME IN THE INVESTMENT PORTFOLIO
     Working Papers, Columbia - Graduate School of Business View citations (2)
     See also Journal Article The Single Family Home in the Investment Portfolio, The Journal of Real Estate Finance and Economics, Springer (1993) View citations (80) (1993)

Journal Articles

2019

1. Art and gender: market bias or selection bias?
   Journal of Cultural Economics, 2019, 43, (2), 279-307 View citations (17)
2. The present value relation over six centuries: The case of the Bazacle company
   Journal of Financial Economics, 2019, 132, (1), 248-265 View citations (3)
   See also Working Paper The present value relation over six centuries: The case of the Bazacle company, Post-Print (2019) View citations (3) (2019)

2018

3. Estimating Private Equity Returns from Limited Partner Cash Flows
   Journal of Finance, 2018, 73, (4), 1751-1783 View citations (34)
4. Investment beliefs of endowments
   European Financial Management, 2018, 24, (1), 3-33 View citations (7)
5. Les compagnies de moulins en Occitanie: émergence et gouvernance de sociétés par actions multiséculaires
   Revue d'économie financière, 2018, N° 130, (2), 55-69
6. Momentum in Imperial Russia
   Journal of Financial Economics, 2018, 130, (3), 579-591 View citations (12)
   See also Working Paper Momentum in Imperial Russia, NBER Working Papers (2015) View citations (1) (2015)
7. Negative bubbles: What happens after a crash
   European Financial Management, 2018, 24, (2), 171-191 View citations (16)
   See also Working Paper Negative Bubbles: What Happens After a Crash, NBER Working Papers (2017) View citations (1) (2017)

2016

8. Beauty is in the bid of the beholder: An empirical basis for style
   Research in Economics, 2016, 70, (3), 388-402 View citations (6)

2015

9. The economics of aesthetics and record prices for art since 1701
   Explorations in Economic History, 2015, 57, (C), 79-94 View citations (20)
10. Weather-Induced Mood, Institutional Investors, and Stock Returns
    The Review of Financial Studies, 2015, 28, (1), 73-111 View citations (95)

2014

11. Is trading behavior stable across contexts? Evidence from style and multi-style investors
    Quantitative Finance, 2014, 14, (4), 605-627 View citations (4)

2013

12. New evidence on the first financial bubble
    Journal of Financial Economics, 2013, 108, (3), 585-607 View citations (40)
    See also Working Paper New Evidence on the First Financial Bubble, NBER Working Papers (2009) View citations (26) (2009)
13. The pricing of soft and hard information: economic lessons from screenplay sales
    Journal of Cultural Economics, 2013, 37, (2), 271-307 View citations (10)

2012

14. The Subprime Crisis and House Price Appreciation
    The Journal of Real Estate Finance and Economics, 2012, 44, (1), 36-66 View citations (43)
    See also Working Paper The Subprime Crisis and House Price Appreciation, NBER Working Papers (2009) View citations (19) (2009)
15. Tiebreaker: Certification and Multiple Credit Ratings
    Journal of Finance, 2012, 67, (1), 113-152 View citations (123)
    See also Working Paper Tiebreaker: Certification and Multiple Credit Ratings, NBER Working Papers (2009) View citations (2) (2009)
16. Trust and delegation
    Journal of Financial Economics, 2012, 103, (2), 221-234 View citations (29)
    See also Working Paper Trust and Delegation, NBER Working Papers (2009) View citations (2) (2009)

2011

17. Art and Money
    American Economic Review, 2011, 101, (3), 222-26 View citations (47)
    See also Working Paper Art and Money, Post-Print (2011) View citations (47) (2011)
18. The Efficient Market Theory and Evidence: Implications for Active Investment Management
    Foundations and Trends(R) in Finance, 2011, 5, (3), 157-242 View citations (3)

2008

19. Equity Portfolio Diversification
    Review of Finance, 2008, 12, (3), 433-463 View citations (380)
    See also Working Paper Equity Portfolio Diversification, Yale School of Management Working Papers (2004) View citations (7) (2004)
20. Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
    Journal of Finance, 2008, 63, (6), 2785-2815 View citations (72)

2007

21. China and the world financial markets 1870–1939: Modern lessons from historical globalization1
    Economic History Review, 2007, 60, (2), 267-312 View citations (6)
22. Efficiency and the Bear: Short Sales and Markets Around the World
    Journal of Finance, 2007, 62, (3), 1029-1079 View citations (324)
    See also Working Paper Efficiency and the Bear: Short Sales and Markets around the World, Yale School of Management Working Papers (2005) View citations (3) (2005)

2006

23. British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach
    Review of Finance, 2006, 10, (2), 261-300 View citations (62)
    See also Working Paper British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach, Yale School of Management Working Papers (2005) View citations (3) (2005)
24. Estimating House Price Indexes in the Presence of Seller Reservation Prices
    The Review of Economics and Statistics, 2006, 88, (1), 100-112 View citations (47)
25. Pairs Trading: Performance of a Relative-Value Arbitrage Rule
    The Review of Financial Studies, 2006, 19, (3), 797-827 View citations (233)
    See also Working Paper Pairs Trading: Performance of a Relative Value Arbitrage Rule, NBER Working Papers (1999) View citations (24) (1999)

2005

26. Dispersion of opinion and stock returns
    Journal of Financial Markets, 2005, 8, (3), 324-349 View citations (39)
    See also Working Paper Dispersion of Opinion and Stock Returns, Yale School of Management Working Papers (2005) View citations (43) (2005)
27. Long-Term Global Market Correlations
    The Journal of Business, 2005, 78, (1), 1-38 View citations (258)
    See also Working Paper Long-Term Global Market Correlations, Yale School of Management Working Papers (2008) View citations (36) (2008)
28. Rain or Shine: Where is the Weather Effect?
    European Financial Management, 2005, 11, (5), 559-578 View citations (98)
    See also Working Paper Rain or Shine: Where is the Weather Effect?, Yale School of Management Working Papers (2009) View citations (1) (2009)

2003

29. An analysis of the relative performance of Japanese and foreign money management
    Pacific-Basin Finance Journal, 2003, 11, (4), 393-412 View citations (1)
    See also Working Paper An Analysis of the Relative Performance of Japanese and Foreign Money Management, Yale School of Management Working Papers (2004) (2004)
30. High‐Water Marks and Hedge Fund Management Contracts
    Journal of Finance, 2003, 58, (4), 1685-1718 View citations (134)
    See also Working Paper High-Water Marks and Hedge Fund Management Contracts, Yale School of Management Working Papers (2001) View citations (3) (2001)
31. Index Funds and Stock Market Growth
    The Journal of Business, 2003, 76, (1), 1-28 View citations (74)
    See also Working Paper Index Funds and Stock Market Growth, NBER Working Papers (1999) View citations (21) (1999)

2002

32. Daily Momentum and Contrarian Behavior of Index Fund Investors
    Journal of Financial and Quantitative Analysis, 2002, 37, (3), 375-389 View citations (75)
    See also Working Paper Daily Momentum And Contrarian Behavior Of Index Fund Investors, Yale School of Management Working Papers (2001) View citations (6) (2001)
33. The Bias of the RSR Estimator and the Accuracy of Some Alternatives
    Real Estate Economics, 2002, 30, (1), 13-39 View citations (18)
    See also Working Paper The Bias of the RSR Estimator and the Accuracy of Some Alternatives, Yale School of Management Working Papers (2001) View citations (5) (2001)

2001

34. A new historical database for the NYSE 1815 to 1925: Performance and predictability
    Journal of Financial Markets, 2001, 4, (1), 1-32 View citations (56)
    See also Working Paper A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability, Yale School of Management Working Papers (2004) (2004)
35. Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry
    Journal of Finance, 2001, 56, (5), 1869-1886 View citations (153)
36. Day Trading International Mutual Funds: Evidence and Policy Solutions
    Journal of Financial and Quantitative Analysis, 2001, 36, (3), 287-309 View citations (44)
    See also Working Paper Day Trading International Mutual Funds: Evidence And Policy Solutions, Yale School of Management Working Papers (2001) View citations (49) (2001)
37. The Japanese Open-End Fund Puzzle
    The Journal of Business, 2001, 74, (1), 59-77 View citations (13)
    See also Working Paper The Japanese Open-End Fund Puzzle, NBER Working Papers (1998) (1998)

2000

38. Monthly Measurement of Daily Timers
    Journal of Financial and Quantitative Analysis, 2000, 35, (3), 257-290 View citations (77)
    See also Working Paper Monthly Measurement of Daily Timers, Yale School of Management Working Papers (2000) View citations (76) (2000)
39. Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index
    The Journal of Real Estate Finance and Economics, 2000, 21, (1), 5-21 View citations (33)

1999

40. Global Stock Markets in the Twentieth Century
    Journal of Finance, 1999, 54, (3), 953-980 View citations (189)
41. Offshore Hedge Funds: Survival and Performance, 1989-95
    The Journal of Business, 1999, 72, (1), 91-117 View citations (149)
42. Re-Emerging Markets
    Journal of Financial and Quantitative Analysis, 1999, 34, (1), 1-32 View citations (45)
    See also Working Paper Re-emerging Markets, Yale School of Management Working Papers (2000) View citations (14) (2000)

1998

43. Risks and Incentives in Underserved Mortgage Markets
    Journal of Housing Economics, 1998, 7, (3), 274-285 View citations (3)
    See also Working Paper Risks and Incentives in Underserved Mortgage Markets, Yale School of Management Working Papers (1996) (1996)

1997

44. A Spatial Model of Housing Returns and Neighborhood Substitutability
    The Journal of Real Estate Finance and Economics, 1997, 14, (1-2), 11-31 View citations (28)
    See also Working Paper A Spatial Model of Housing Returns and Neighborhood Substitutability, Yale School of Management Working Papers (1997) View citations (28) (1997)
45. COGNITIVE DISSONANCE AND MUTUAL FUND INVESTORS
    Journal of Financial Research, 1997, 20, (2), 145-158 View citations (153)
46. Mutual fund styles
    Journal of Financial Economics, 1997, 43, (3), 373-399 View citations (133)
    See also Working Paper Mutual Fund Styles, Yale School of Management Working Papers (1998) (1998)
47. Rejoinder: The J-Shape Of Performance Persistence Given Survivorship Bias
    The Review of Economics and Statistics, 1997, 79, (2), 167-170 View citations (5)

1995

48. A Longer Look at Dividend Yields
    The Journal of Business, 1995, 68, (4), 483-508 View citations (34)
    See also Working Paper A Longer Look at Dividend Yields, Yale School of Management Working Papers (1998) View citations (3) (1998)
49. Clustering Methods for Real Estate Portfolios
    Real Estate Economics, 1995, 23, (3), 271-310 View citations (23)
    See also Working Paper Clustering Methods for Real Estate Portfolios, Yale School of Management Working Papers (1998) View citations (6) (1998)
50. Non-temporal Components of Residential Real Estate Appreciation
    The Review of Economics and Statistics, 1995, 77, (1), 199-206 View citations (34)
    See also Working Paper Non-temporal Components of Residential Real Estate Appreciation, Working Papers (1992) (1992)
51. Performance Persistence
    Journal of Finance, 1995, 50, (2), 679-98 View citations (351)
    See also Working Paper Performance Persistence, Yale School of Management Working Papers (2005) View citations (12) (2005)
52. Survival
    Journal of Finance, 1995, 50, (3), 853-73 View citations (50)

1994

53. Homogeneous Groupings of Metropolitan Housing Markets
    Journal of Housing Economics, 1994, 3, (3), 186-206 View citations (8)

1993

54. Accounting for Taste: Art and the Financial Markets over Three Centuries
    American Economic Review, 1993, 83, (5), 1370-76 View citations (199)
55. Patterns in Three Centuries of Stock Market Prices
    The Journal of Business, 1993, 66, (2), 249-70 View citations (32)
56. Testing the Predictive Power of Dividend Yields
    Journal of Finance, 1993, 48, (2), 663-79 View citations (162)
    See also Working Paper Testing the Predictive Power of Dividend Yields, Working Papers (1992) View citations (3) (1992)
57. The Single Family Home in the Investment Portfolio
    The Journal of Real Estate Finance and Economics, 1993, 6, (3), 201-22 View citations (80)
    See also Working Paper THE SINGLE FAMILY HOME IN THE INVESTMENT PORTFOLIO, Working Papers (1990) View citations (2) (1990)

1992

58. The Accuracy of Real Estate Indices: Repeat Sale Estimators
    The Journal of Real Estate Finance and Economics, 1992, 5, (1), 5-53 View citations (78)
    See also Working Paper THE ACCURACY OF REAL ESTIMATE INDICES: REPEAT SALE ESTIMATORS, Working Papers (1990) (1990)

1990

59. THE PERFORMANCE OF REAL ESTATE AS AN ASSET CLASS
    Journal of Applied Corporate Finance, 1990, 3, (1), 65-76 View citations (43)

1988

60. The effect of the \"triple witching hour\" on stock market volatility
    Economic Review, 1988, (Sep), 2-18

Books

2016

1. Money Changes Everything: How Finance Made Civilization Possible
   Economics Books, Princeton University Press View citations (38)

2006

2. The Equity Risk Premium: Essays and Explorations
   OUP Catalogue, Oxford University Press View citations (18)

Edited books

2005

1. The Origins of Value: The Financial Innovations that Created Modern Capital Markets
   OUP Catalogue, Oxford University Press View citations (65)

Chapters

2016

1. Introduction
   A chapter in Money Changes Everything: How Finance Made Civilization Possible, 2016

2014

2. Dutch Securities for American Land Speculation in the Late Eighteenth Century
   A chapter in Housing and Mortgage Markets in Historical Perspective, 2014, pp 287-304 View citations (5)

2013

3. Competition among University Endowments
   A chapter in How the Financial Crisis and Great Recession Affected Higher Education, 2013, pp 99-126
   See also Working Paper Competition Among University Endowments, National Bureau of Economic Research, Inc (2012) View citations (12) (2012)

2011

4. A Shareholder Lawsuit in Fourteenth-Century Toulouse
   Palgrave Macmillan View citations (2)

2005

5. FEES ON FEES IN FUNDS OF FUNDS
   Chapter 7 in The World Of Hedge Funds Characteristics and Analysis, 2005, pp 141-160 View citations (1)
   See also Working Paper Fees on Fees in Funds of Funds, Yale School of Management (2009) View citations (3) (2009)
6. The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control
   A chapter in A History of Corporate Governance around the World: Family Business Groups to Professional Managers, 2005, pp 149-184 View citations (12)
   See also Working Paper The History of Corporate Ownership in China: State Patronage, Company Legislation, and the Issue of Control, Yale School of Management (2004) View citations (5) (2004)

2003

7. Does Governance Matter? The Case of Art Museums
   A chapter in The Governance of Not-for-Profit Organizations, 2003, pp 71-100 View citations (2)