WORKING PAPERS - (1997)

For a printed versions of any of these papers, please contact Mary Ann Nelson at maryann.nelson@yale.edu.  Requests from non-academic institutions will be billed $20 for processing and mailing

1997

 Brown, Stephen J., William N. Goetzmann and James Park, "Conditions for Survival: changing risk and the performance of hedge fund managers and CTAs." November 1997

 Brown, Stephen J, William N. Goetzmann, Takato Hiraki and Toshiyuki Otsuki, "The Japanese Open-End Fund Puzzle."  November 1997

 Brown, Stephen J., William N. Goetzmann and Roger Ibbotson, "Off-Shore Hedge Funds: Survival and Performance: 1989-1995." August 1997

 Campbell, John Y., and Robert J. Shiller, "Valuation Ratios and the Long-Run Stock Market Outlook," July, 1997.

 Goetzmann, William N. and Philippe Jorion, "A Century of Global Stock Markets." July 1997

 Goetzmann, William N. and Philippe Jorion, "Re-Emerging Markets." June 1997

 Ibbotson, Roger G., Paul D. Kaplan and James D. Peterson, "Estimates of Small Stock Betas are Much Too Low" June, 1997

 Jeffrey, Andrew, "Asymptotic Maturity Behavior of Single Factor Heath-Jarrow-Morton Term Structure Models: A Note." September 1997

Mandelbrot, Benoit, Aldai Fisher and Laurent Calvet, "A Multi-Fractal Model of Asset Returns" September, 1997

Mandelbrot, Benoit, Aldai Fisher and Laurent Calvet, "Large Deviations and the Distribution of Price Changes," September, 1997.

Mandelbrot, Benoit, Aldai Fisher and Laurent Calvet, "Multifractality of Deutschemark / US Dollar Exchange Rates" September, 1997.

 Rouwenhorst, K. Geert, "International Momentum Strategies." December, 1997

 Rouwenhorst, K. Geert, Steven Heston and Roberto E. Wessels "The role of size and beta in the cross-section of European stock returns"

 Robert J. Shiller, "Human Behavior and the Efficiency of the Financial System," September, 1997

 Robert J. Shiller, "Indexed Units of Account for the United States" July, 1997.

  Spiegel, Matthew I., and S. Abraham Ravid, ""Optimal Financial Contracts for a Start-Up with Unlimited Operating Discretion" February 1997

 Spiegel, Matthew I., "Closed-End Fund Discounts in a Rational Agent Economy" November 25, 1997

 Spiegel, Matthew I., "Stock Price Volatility in a Multiple Security Overlapping" March 1997


Search archives by year:

1985-1991 | 1992-1994 | 1995-1996 | 1997 | 1998 | 1999 | Current